# EDGAR Filing Document

**Accession Number:** 0001804196
**File Stem:** 0002071691-26-007286
**Filing Date:** 2026-3
**Character Count:** 439238
**Document Hash:** 47499e196e78b057b63335d225ccb3ec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-007286.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0002071691-26-007286

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260327

**DATE AS OF CHANGE**: 20260327

**PERIOD START**: 20260430

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23511
- **FILM NUMBER:** 26803275

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-01-31

**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:** $476585144.45

**Total Liabilities:** $16969549.93

**Net Assets:** $459615594.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 21243.91000000 | **1-Year:** 4647.24000000 | **5-Year:** 54391.17000000 | **10-Year:** 4385.83000000 | **30-Year:** 15748.74000000

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

- **3-Month:** 25144.66000000 | **1-Year:** 2142.21000000 | **5-Year:** 11277.07000000 | **10-Year:** 6208.42000000 | **30-Year:** 10863.33000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260348 | 0.76%                | 0.22%                | 0.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $39223.70                | $1063229.88                                |
| Month 2  | $90142.59                | $-381107.53                                |
| Month 3  | $212341.34               | $85323.53                                  |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                     | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $442138.13    | 0.10%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                          | Hilton USA Trust, Series 2025-NVIL, Class A                                                                                  | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607000 | PA      | $609276.25    | 0.13%             | 2042-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                                       | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852425 | PA      | $852424.57    | 0.19%             | 2040-12-09      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78                                                                     | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514376 | PA      | $87295.51     | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26660 | PA      | $26137.11     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                                                      | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739904 | PA      | $740366.29    | 0.16%             | 2037-06-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                               | Goldman Home Improvement Trust Issuer Trust, Series 2022-GRN2, Class A                                                       | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156710 | PA      | $160706.09    | 0.03%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-1, Class M4                                                              | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064787 | PA      | $903909.50    | 0.20%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-79CB, Class A1                                                                           | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675936 | PA      | $780720.97    | 0.17%             | 2036-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class E                                            | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300376.11    | 0.07%             | 2039-11-09      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1979 | PA      | $2082.90      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2793709 | PA      | $29366.63     | 0.01%             | 2054-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class A                                                        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    470000 | PA      | $469445.73    | 0.10%             | 2034-12-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                 | Santander Mortgage Asset Receivable Trust, Series 2025-NQM3, Class A1                                                        | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581206 | PA      | $587952.91    | 0.13%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2022-3, Class B2                                                                            | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631047 | PA      | $1386494.01   | 0.30%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-4, Class M5                                                              | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608111 | PA      | $1279525.11   | 0.28%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37058 | PA      | $34073.69     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class E                                                                         | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $225851.25    | 0.05%             | 2035-04-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   9000000 | PA      | $8999103.24   | 1.96%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                              | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |    817762 | PA      | $830213.49    | 0.18%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                                                           | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332669 | PA      | $333154.61    | 0.07%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class E                                                                     | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250625.00    | 0.05%             | 2037-10-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393128 | PA      | $371728.53    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6650626 | PA      | $300443.34    | 0.07%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2019-BA, Class A2B                                                                        | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309613 | PA      | $309173.05    | 0.07%             | 2059-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2019-J2, Class B6                                                                                          | CUSIP: 12558TBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824792 | PA      | $988931.07    | 0.22%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM2, Class A1                                                              | CUSIP: 36272EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403186 | PA      | $408325.49    | 0.09%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2021-A, Class A                                                       | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232785 | PA      | $218569.75    | 0.05%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -260000 | PA      | $-230408.64   | -0.05%            | 2056-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LBAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1000 | PA      | $1051.15      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M3                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    459116 | PA      | $442462.76    | 0.10%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5749 | PA      | $6068.59      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 2A                                        | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314498 | PA      | $1113508.02   | 0.24%             | 2047-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22134 | PA      | $22231.30     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class B                                                                     | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $390621.90    | 0.08%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DBC Mortgage Trust                                                        | DBC Mortgage Trust, Series 2025-DBC, Class A                                                                                 | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1630050.63   | 0.35%             | 2042-11-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $799750.00    | 0.17%             | 2041-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-26, Class M1                                                              | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    892995 | PA      | $868655.32    | 0.19%             | 2037-06-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ORL Trust                                                                 | ORL Trust, Series 2024-GLKS, Class A                                                                                         | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $401000.00    | 0.09%             | 2039-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264884 | PA      | $1266816.90   | 0.28%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                            | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133724 | PA      | $133974.71    | 0.03%             | 2040-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $829242.98    | 0.18%             | 2035-05-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                         | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                                                  | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    105390 | PA      | $105375.54    | 0.02%             | 2037-02-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-54CB, Class 3A1                                                                          | CUSIP: 12668APL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048614 | PA      | $517440.52    | 0.11%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST6, Class B                                                                     | CUSIP: 91533QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211000 | PA      | $211377.12    | 0.05%             | 2032-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2025-B41, Class A5                                                                          | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $414350.40    | 0.09%             | 2068-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15871 | PA      | $15472.30     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                             | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-1, Class A3                                                       | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384716 | PA      | $148536.01    | 0.03%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $2125.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-INV2, Class B1                                                                         | CUSIP: 12673UAE4<br>LEI: 213800M5KYYIOHI7KW93 | Long             | ABS-MBS          | CORP              | US        |    369344 | PA      | $374113.56    | 0.08%             | 2070-02-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1A                                                  | CUSIP: 617932AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322838 | PA      | $327997.53    | 0.07%             | 2069-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-BA, Class A                                                                      | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $414215.54    | 0.09%             | 2036-11-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Issuer LLC                                        | ACRES Commercial Realty Issuer LLC, Series 2026-FL4, Class A                                                                 | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1385000 | PA      | $1385575.33   | 0.30%             | 2044-08-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust                                            | PKHL Commercial Mortgage Trust, Series 2021-MF, Class NR                                                                     | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $36407.04     | 0.01%             | 2038-07-15      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6410000 | PA      | $110589.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VCC Trust                                                                 | VCC Trust, Series 2025-MC1, Class A1                                                                                         | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547750 | PA      | $545036.26    | 0.12%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| GSAT Trust                                                                | GSAT Trust, Series 2025-BMF, Class A                                                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742000 | PA      | $1744715.43   | 0.38%             | 2040-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9259 | PA      | $8875.50      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-2A, Class A2                                                                              | CUSIP: 74690FAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $72061.88     | 0.02%             | 2056-01-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                                     | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402527 | PA      | $389102.42    | 0.08%             | 2036-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A5                                                          | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571678 | PA      | $87926.92     | 0.02%             | 2036-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                                     | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $337325.73    | 0.07%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2023-SFR1, Class E1                                                                       | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $924638.51    | 0.20%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class D                                                                      | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $380373.72    | 0.08%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4949157 | PA      | $279243.83    | 0.06%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class B1A                                                                              | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253421 | PA      | $257174.57    | 0.06%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                                      | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279195 | PA      | $1281993.70   | 0.28%             | 2041-08-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X1, Class B                                                                   | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400956.48    | 0.09%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-48, Class FC                                          | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    839786 | PA      | $845225.90    | 0.18%             | 2054-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2007-8, Class 1A4                                                                    | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320847 | PA      | $129885.57    | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                   | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    427056 | PA      | $443627.78    | 0.10%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2025-CES3, Class A1                                                                 | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760457 | PA      | $763922.31    | 0.17%             | 2055-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class A                                                                                         | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $435777.72    | 0.09%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class C                                                                           | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364546 | PA      | $508541.08    | 0.11%             | 2051-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-300P, Class D                                                                     | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507397.15    | 0.11%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91457 | PA      | $94997.05     | 0.02%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-2, Class M5                                                              | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428475 | PA      | $324792.12    | 0.07%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class A3                                                                                             | CUSIP: 06541CBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $220502.99    | 0.05%             | 2064-05-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                 | ALA Trust, Series 2025-OANA, Class A                                                                                         | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671000 | PA      | $676451.88    | 0.15%             | 2040-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B2                                                                  | CUSIP: 10569NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500625.00    | 0.11%             | 2064-11-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-B, Class A1B                                                                   | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159541 | PA      | $162722.10    | 0.04%             | 2056-10-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR23, Class 6A1                                                                | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622872 | PA      | $587323.65    | 0.13%             | 2035-11-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1514 | PA      | $1599.03      | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-1A, Class A                                                                            | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185296 | PA      | $189773.25    | 0.04%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4462 | PA      | $4387.43      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26613 | PA      | $26031.35     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class B1                                                                                       | CUSIP: 00112EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1026227.00   | 0.22%             | 2064-10-25      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2015-6R, Class 5A2                                                                                        | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1228079 | PA      | $971683.07    | 0.21%             | 2036-03-27      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 30 Ltd.                                | Neuberger Berman Loan Advisers CLO 30 Ltd., Series 2018-30A, Class A1R2                                                      | CUSIP: 64132MBA5<br>LEI: 549300WWWM7IDWOVIL36 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006663.60   | 0.44%             | 2037-01-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2018-EA, Class A2                                                                         | CUSIP: 63890BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131040 | PA      | $131011.13    | 0.03%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                     | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-MN1A, Class A1                                            | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1028170 | PA      | $591783.82    | 0.13%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 11 Ltd.                                                  | Silver Point CLO 11 Ltd., Series 2025-11A, Class A1                                                                          | CUSIP: 82809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005492.00   | 0.22%             | 2038-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    233000 | PA      | $215485.89    | 0.05%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                                     | Taco Bell Funding LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219000 | PA      | $217893.02    | 0.05%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VOLT, Class A                                                                                          | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3014042.70   | 0.66%             | 2044-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3544 | PA      | $3382.60      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class A2B                                                                   | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226222 | PA      | $226342.15    | 0.05%             | 2037-06-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class F                                                                                          | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190215.40    | 0.04%             | 2041-06-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5052, Class KI                                                                      | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824446 | PA      | $167424.72    | 0.04%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1552421 | PA      | $1554361.96   | 0.34%             | 2042-08-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                                 | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500000.00    | 0.11%             | 2041-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510000 | PA      | $432823.09    | 0.09%             | 2056-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class B                                            | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $646331.92    | 0.14%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                          | Planet Fitness Master Issuer LLC, Series 2025-1A, Class A2II                                                                 | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $155777.98    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                                                 | EQT Trust, Series 2024-EXTR, Class A                                                                                         | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $811782.21    | 0.18%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                   | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                                          | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348000 | PA      | $348075.20    | 0.08%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137695 | PA      | $130354.66    | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100789 | PA      | $100235.37    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562062 | PA      | $552059.59    | 0.12%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907854 | PA      | $153161.24    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONNI Commerical Mortgage Trust                                            | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $498341.61    | 0.11%             | 2039-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                 | Santander Mortgage Asset Receivable Trust, Series 2025-NQM6, Class A1                                                        | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |    943261 | PA      | $948467.45    | 0.21%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-3F, Class 4A2                                                                           | CUSIP: 3622MWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3707046 | PA      | $345390.67    | 0.08%             | 2037-05-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       847 | PA      | $865.77       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                              | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |    695105 | PA      | $698109.39    | 0.15%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class F                                                                       | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1955831.20   | 0.43%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M4                                                              | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449547 | PA      | $352814.49    | 0.08%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A                                            | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1624928.56   | 0.35%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class A5                                                                               | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1765401.30   | 0.38%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B4, Class ASB                                                                          | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49354 | PA      | $49391.59     | 0.01%             | 2051-07-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class A                                                                          | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $179450.00    | 0.04%             | 2036-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23247 | PA      | $22051.39     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                           | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480466 | PA      | $487102.28    | 0.11%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-149, Class KI                                                          | CUSIP: 38382XCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78104 | PA      | $13144.95     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class A                                                                       | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089978 | PA      | $1092022.04   | 0.24%             | 2042-11-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-OMG, Class A                                                                                           | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544000 | PA      | $545845.30    | 0.12%             | 2042-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM3, Class A1                                                                                             | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    679889 | PA      | $687714.50    | 0.15%             | 2070-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class C                                                                              | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114000 | PA      | $113944.98    | 0.02%             | 2035-05-21      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                     | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111474 | PA      | $98452.05     | 0.02%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97153 | PA      | $92601.38     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class E                                                                                         | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $1495.20      | 0.00%             | 2035-10-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                                      | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83535 | PA      | $69503.98     | 0.02%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-WRHS, Class A                                                                               | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954807 | PA      | $955403.70    | 0.21%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-NR1, Class A1                                                                                         | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816643 | PA      | $816336.73    | 0.18%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class D                                                                   | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $210502.92    | 0.05%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class E                                                                                 | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $116471.17    | 0.03%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-V3, Class XA                                                                           | CUSIP: 08163VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19976048 | PA      | $347391.47    | 0.08%             | 2056-07-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class A1                                                                                        | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705513 | PA      | $710996.93    | 0.15%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| DBGS                                                                      | DBGS, Series 2024-SBL, Class A                                                                                               | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $320000.00    | 0.07%             | 2034-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-KING, Class A                                                                      | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384932 | PA      | $385173.02    | 0.08%             | 2034-05-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| LUX                                                                       | LUX Trust, Series 2023-LION, Class A                                                                                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128229 | PA      | $129430.62    | 0.03%             | 2040-08-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22415 | PA      | $22479.73     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sofi Professional Loan Program LLC                                        | SoFi Professional Loan Program LLC, Series 2019-C, Class BFX                                                                 | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373000 | PA      | $338576.73    | 0.07%             | 2048-11-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                                      | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $449457.05    | 0.10%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2500000 | PA      | $51421.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                        | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $302114.03    | 0.07%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class FB                                                  | CUSIP: 3137HFWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    823191 | PA      | $828673.45    | 0.18%             | 2054-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2006-SA2, Class 2A1                                                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87410 | PA      | $57810.94     | 0.01%             | 2036-08-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class A                                                                      | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524000 | PA      | $1528374.18   | 0.33%             | 2042-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40392 | PA      | $37278.88     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A                                                           | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687367 | PA      | $623961.72    | 0.14%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    206000 | PA      | $209424.63    | 0.05%             | 2033-06-10      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-ROIC, Class E                                                                                          | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238227 | PA      | $237333.53    | 0.05%             | 2030-03-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                | GSAA Trust, Series 2007-3, Class 1A1A                                                                                        | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1847448 | PA      | $970042.16    | 0.21%             | 2047-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                      | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1278157.26   | 0.28%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                         | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492000 | PA      | $494810.65    | 0.11%             | 2042-04-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-11, Class A1                                                                           | CUSIP: 03466FAC1<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |    887092 | PA      | $890050.48    | 0.19%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class C                                                                                           | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $439539.60    | 0.10%             | 2041-03-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $471021.60    | 0.10%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-3, Class A1                                                                          | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707641 | PA      | $653839.49    | 0.14%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A1                                                | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2808795 | PA      | $875699.37    | 0.19%             | 2037-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2023-130, Class OD                                                          | CUSIP: 38384ERP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1394344 | PA      | $1234567.12   | 0.27%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2025-1A, Class A2                                                                              | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212000 | PA      | $211001.56    | 0.05%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                               | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $132837.94    | 0.03%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                                   | Regatta 31 Funding Ltd., Series 2025-1A, Class A1                                                                            | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1403811.22   | 0.31%             | 2038-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class D                                                                           | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362000 | PA      | $320463.00    | 0.07%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-BA, Class A                                                                      | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100216.28    | 0.02%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class B                                                             | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $205563.06    | 0.04%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class A                                                                             | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1342178 | PA      | $1343094.53   | 0.29%             | 2061-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42490 | PA      | $39214.66     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-88, Class IA                                                           | CUSIP: 38383R4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24666871 | PA      | $3780533.46   | 0.82%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4269 | PA      | $4266.32      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class E                                                                       | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089978 | PA      | $1094065.75   | 0.24%             | 2042-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class APL                                                                   | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255758 | PA      | $253366.20    | 0.06%             | 2053-01-15      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18208 | PA      | $18296.81     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14650 | PA      | $14692.15     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                                    | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $584125.08    | 0.13%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                                             | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $217797.08    | 0.05%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                                         | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269752 | PA      | $268953.06    | 0.06%             | 2057-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class B1                                                                          | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501953.30    | 0.11%             | 2068-05-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                     | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516888 | PA      | $480369.92    | 0.10%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                              | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |    502546 | PA      | $504561.76    | 0.11%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                                    | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $211443.75    | 0.05%             | 2041-11-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2019-FAX, Class D                                                                                          | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672000 | PA      | $648297.96    | 0.14%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2021-1R, Class A1                                                                    | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127218 | PA      | $123686.64    | 0.03%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2019-2A, Class C                                                                    | CUSIP: 68269BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $291491.10    | 0.06%             | 2036-10-14      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499991 | PA      | $506450.21    | 0.11%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2025-NASH, Class A                                                        | CUSIP: 05494PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771000 | PA      | $772445.63    | 0.17%             | 2040-09-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2026-1A, Class A                                                                                 | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177000 | PA      | $176971.59    | 0.04%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2005-17, Class 1A6                                                                   | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16984 | PA      | $16914.87     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                           | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297137 | PA      | $301025.98    | 0.07%             | 2055-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class E                                                                                               | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150750.00    | 0.03%             | 2041-06-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class D                                                                       | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $443413.08    | 0.10%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1836 | PA      | $1937.56      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-5C37, Class B                                                                              | CUSIP: 05494NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $515088.50    | 0.11%             | 2058-09-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class A                                                                                         | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284077 | PA      | $284431.94    | 0.06%             | 2041-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1660000 | PA      | $27587.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14242 | PA      | $15103.80     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                                    | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $234927.51    | 0.05%             | 2034-09-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2023-A, Class A2                                                                    | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197642 | PA      | $199477.42    | 0.04%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-CES1, Class A1A                                                                            | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268619 | PA      | $271390.82    | 0.06%             | 2060-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233112 | PA      | $223144.60    | 0.05%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-151, Class MI                                                          | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3659082 | PA      | $525741.35    | 0.11%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18357 | PA      | $18313.03     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII Ltd.                                     | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2                                                             | CUSIP: 67590GBL2<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    572945 | PA      | $573426.71    | 0.12%             | 2031-01-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 19 Ltd.                                             | Anchorage Capital CLO 19 Ltd., Series 2021-19A, Class A1R                                                                    | CUSIP: 03328JAL1<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010944.00   | 0.44%             | 2038-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $650184.24    | 0.14%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-3, Class A                                                               | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450794 | PA      | $457147.55    | 0.10%             | 2055-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-11, Class A7                                         | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946479 | PA      | $810659.65    | 0.18%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2023-CRE8, Class A                                                                                         | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    185157 | PA      | $185046.68    | 0.04%             | 2041-08-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class C                                                                             | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457644 | PA      | $469140.53    | 0.10%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-INV1, Class M1                                                                       | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1195815.48   | 0.26%             | 2068-02-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2024-C26, Class A5                                                                              | CUSIP: 05555AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $749378.28    | 0.16%             | 2057-05-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR3, Class F                                                                        | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003299.30   | 0.22%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                                                             | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3411946 | PA      | $50284.57     | 0.01%             | 2050-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class F                                                                                          | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $363842.99    | 0.08%             | 2040-04-13      | Variable      | 10.30%                | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class B                                                           | CUSIP: 38238FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    752874 | PA      | $764616.71    | 0.17%             | 2049-06-20      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                                    | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687000 | PA      | $1692799.06   | 0.37%             | 2042-11-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145001 | PA      | $145590.00    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2                                                             | CUSIP: 126671RF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933853 | PA      | $958058.47    | 0.21%             | 2032-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2025-B, Class B                                                                                  | CUSIP: 69335PFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484000 | PA      | $489610.87    | 0.11%             | 2030-02-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class A                                                                                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $338369.80    | 0.07%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147380 | PA      | $142633.66    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                            | ARES Commercial Mortgage Trust, Series 2024-IND, Class A                                                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1092043.75   | 0.24%             | 2041-07-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65302 | PA      | $67851.23     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $313309.48    | 0.07%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $344067.30    | 0.07%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6310 | PA      | $6295.00      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2021-2A, Class A                                                                              | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $579787.50    | 0.13%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                                   | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1962403 | PA      | $1672099.07   | 0.36%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                                | BRCK Trust, Series 2025-830B, Class A                                                                                        | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536000 | PA      | $538071.00    | 0.12%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class F                                            | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $302602.89    | 0.07%             | 2039-11-09      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class A                                                                     | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125000 | PA      | $1129069.46   | 0.25%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class A                                                                               | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373000 | PA      | $369270.00    | 0.08%             | 2036-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H8, Class A1A                                                                              | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962280 | PA      | $967068.44    | 0.21%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class E                                                                        | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251469 | PA      | $252726.44    | 0.05%             | 2039-02-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97476 | PA      | $92551.18     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                                                                     | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633000 | PA      | $1633000.00   | 0.36%             | 2039-03-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                                              | Imperial Fund Mortgage Trust, Series 2022-NQM3, Class A3                                                                     | CUSIP: 45276KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1013043.53   | 0.22%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-16N, Class AF2                                                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    763108 | PA      | $1081895.49   | 0.24%             | 2047-09-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class C                                                                             | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519618 | PA      | $515078.92    | 0.11%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                                 | GS Mortgage-Backed Securities Corp. Trust, Series 2025-NQM6, Class A1                                                        | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    827341 | PA      | $830196.25    | 0.18%             | 2066-02-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-1, Class B                                                                   | CUSIP: 75908AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111215.41    | 0.02%             | 2034-04-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418RPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12836 | PA      | $12891.63     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2006-AR15, Class A1                                                                 | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492618 | PA      | $491558.97    | 0.11%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288000 | PA      | $270807.52    | 0.06%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410TVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5925 | PA      | $6175.82      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37108 | PA      | $33506.67     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                                         | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1147299.40   | 0.25%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46477 | PA      | $47657.31     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46553 | PA      | $42979.37     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class A                                                                     | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892000 | PA      | $893182.97    | 0.19%             | 2039-10-13      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M2                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    236039 | PA      | $228593.72    | 0.05%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class C                                                                     | CUSIP: 05619DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $802036.80    | 0.17%             | 2042-11-05      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class M1                                                                                        | CUSIP: 58004LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236842 | PA      | $240030.84    | 0.05%             | 2070-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVIII Ltd.                                               | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class A1R                                                                      | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007785.00   | 0.44%             | 2038-10-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                                                | DGWD Trust, Series 2025-INFL, Class A                                                                                        | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840000 | PA      | $2851672.40   | 0.62%             | 2035-08-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-TAIL, Class E                                                                                          | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142000 | PA      | $142036.83    | 0.03%             | 2035-06-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class E                                                                                        | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $132885.08    | 0.03%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $1593.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665045 | PA      | $623196.60    | 0.14%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Sounds Point CLO IV-R Ltd.                                                | Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A                                                                         | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |    610644 | PA      | $610620.44    | 0.13%             | 2031-04-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16461 | PA      | $16405.61     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M6                                                              | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933431 | PA      | $794436.92    | 0.17%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| KSL Trust                                                                 | KSL Trust                                                                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $184619.04    | 0.04%             | 2030-06-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                          | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15395000 | PA      | $261141.84    | 0.06%             | 2053-03-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class E                                                                                        | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $79941.87     | 0.02%             | 2041-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class B1                                                                   | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2129445 | PA      | $2101787.94   | 0.46%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31932 | PA      | $33341.30     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class C                                                                            | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $151495.14    | 0.03%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PGA Trust                                                                 | PGA Trust, Series 2024-RSR2, Class A                                                                                         | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $380118.75    | 0.08%             | 2039-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                           | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                                     | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75914 | PA      | $76632.07     | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30720 | PA      | $27301.66     | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-5, Class M2                                                              | CUSIP: 92262KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743048 | PA      | $748702.92    | 0.16%             | 2055-12-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2015-A, Class B4                                                                       | CUSIP: 17323MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735145 | PA      | $698899.24    | 0.15%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-BA, Class C                                                                           | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $150441.30    | 0.03%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135901 | PA      | $139123.73    | 0.03%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18489 | PA      | $18130.57     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC Trust                                                                | RAAC Trust, Series 2006-SP3, Class M3                                                                                        | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144319 | PA      | $1191006.29   | 0.26%             | 2036-08-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3377 | PA      | $3218.60      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                                     | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101595.07    | 0.02%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                                          | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $892225.00    | 0.19%             | 2039-12-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-A, Class C                                                                      | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $216098.13    | 0.05%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class E                                                                                           | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $743928.38    | 0.16%             | 2038-09-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class D                                                                    | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $910741.66    | 0.20%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32638 | PA      | $33318.62     | 0.01%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97420 | PA      | $90259.12     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A3                                                             | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125751 | PA      | $126238.62    | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 2A                                        | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96191 | PA      | $85402.54     | 0.02%             | 2046-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class B                                                                             | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361022 | PA      | $359161.50    | 0.08%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12867 | PA      | $12218.84     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C17, Class A5                                                                              | CUSIP: 054976AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $295834.59    | 0.06%             | 2055-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                   | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                            | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1756875.93   | 0.38%             | 2038-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class ASB                                                                             | CUSIP: 054975AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $685529.98    | 0.15%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5119, Class IC                                                                      | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3394755 | PA      | $686178.38    | 0.15%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                                  | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                             | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605011 | PA      | $594381.21    | 0.13%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2025-3A, Class A2                                                                 | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219000 | PA      | $219778.48    | 0.05%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2019-9, Class B6                                                                          | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311750 | PA      | $1326650.52   | 0.29%             | 2050-05-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM4, Class A1                                                                                       | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674112 | PA      | $682694.47    | 0.15%             | 2070-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A                                                         | CUSIP: 63941KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312793 | PA      | $302255.84    | 0.07%             | 2068-11-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class A                                                                      | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $182308.66    | 0.04%             | 2039-05-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-2, Class B2                                                                          | CUSIP: 92539UAF7<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507910.30    | 0.11%             | 2069-02-25      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B5, Class A4                                                                           | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $549078.53    | 0.12%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8809 | PA      | $8653.08      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3262 | PA      | $3443.15      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X2, Class A                                                                   | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164036 | PA      | $164183.60    | 0.04%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774231 | PA      | $771774.67    | 0.17%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class A                                                           | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384535 | PA      | $388517.17    | 0.08%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class B                                                                                           | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314901.59    | 0.07%             | 2041-03-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | Homes Trust, Series 2025-NQM5, Class A1                                                                                      | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701357 | PA      | $704733.58    | 0.15%             | 2070-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE8, Class 1A3                                                     | CUSIP: 07388JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543927 | PA      | $536284.38    | 0.12%             | 2036-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203822 | PA      | $209462.70    | 0.05%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A8                                                                          | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749822 | PA      | $127823.28    | 0.03%             | 2037-02-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                             | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $740693.75    | 0.16%             | 2034-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class C                                                                            | CUSIP: 35042TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227000 | PA      | $225837.06    | 0.05%             | 2052-08-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class D                                                                   | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252272.70    | 0.05%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2771077 | PA      | $2681987.12   | 0.58%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9691 | PA      | $9229.95      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                                            | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    707859 | PA      | $714153.85    | 0.16%             | 2055-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class D                                                                            | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208000 | PA      | $209038.90    | 0.05%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2025-BOCA, Class A                                                                    | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $845250.00    | 0.18%             | 2042-12-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21556 | PA      | $22752.70     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-64, Class IH                                                           | CUSIP: 38382QME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17101244 | PA      | $2493944.52   | 0.54%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28051 | PA      | $27983.53     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV1, Class B1                                                               | CUSIP: 26846XAE0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    264592 | PA      | $268429.75    | 0.06%             | 2070-03-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST7, Class A                                                                     | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95762 | PA      | $95770.93     | 0.02%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2                                                              | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $358900.00    | 0.08%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57567 | PA      | $56028.71     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class E10                                                                                        | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300996.12    | 0.07%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33170 | PA      | $32271.51     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2018-EA, Class B                                                                          | CUSIP: 63890BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $276224.56    | 0.06%             | 2059-12-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44545 | PA      | $46372.00     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-2, Class A                                                                   | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131000 | PA      | $130739.76    | 0.03%             | 2037-11-16      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2411, Class FJ                                                  | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       941 | PA      | $939.51       | 0.00%             | 2029-12-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class B                                                                           | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176000 | PA      | $176106.27    | 0.04%             | 2055-05-17      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-J4, Class 2A1                                                                            | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511860 | PA      | $835067.39    | 0.18%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Durst Commercial Mortgage Trust                                           | Durst Commercial Mortgage Trust, Series 2025-151, Class A                                                                    | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1042049.85   | 0.23%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class XS                                                                            | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4565822 | PA      | $147592.02    | 0.03%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-33, Class DV                                                              | CUSIP: 3136BVVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692355 | PA      | $720908.55    | 0.16%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXV Ltd.                                             | Madison Park Funding LXV Ltd., Series 2025-65A, Class A1                                                                     | CUSIP: 55823FAA3<br>LEI: 213800EBRIAZSOKC7K58 | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3014454.00   | 0.66%             | 2038-07-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                         | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE1, Class 2A3                                                | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1112851 | PA      | $503871.76    | 0.11%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                             | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $650120.63    | 0.14%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27955 | PA      | $27853.29     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85059 | PA      | $87027.51     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                                                                      | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125625.00    | 0.03%             | 2041-10-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-2, Class M5                                                              | CUSIP: 92259PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356132 | PA      | $365005.14    | 0.08%             | 2054-04-25      | Variable      | 9.73%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class D                                                                    | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $161049.54    | 0.04%             | 2042-11-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class A                                                                                         | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1222468.32   | 0.27%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| 1301 Trust                                                                | 1301 Trust, Series 2025-1301, Class F                                                                                        | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369000 | PA      | $378368.47    | 0.08%             | 2042-08-11      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5006 | PA      | $4774.03      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B2                                                            | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213334 | PA      | $213931.62    | 0.05%             | 2033-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVII Ltd.                                    | Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR                                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1004520.00   | 0.22%             | 2037-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2005-SA3, Class 1A                                                                                       | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395884 | PA      | $542710.74    | 0.12%             | 2035-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                                 | BXMT Ltd., Series 2025-FL5, Class A                                                                                          | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1124000 | PA      | $1125387.02   | 0.24%             | 2042-10-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class C                                                                   | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $171618.26    | 0.04%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174008 | PA      | $179642.75    | 0.04%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-NQM1, Class B1                                                                                      | CUSIP: 43761DAH3<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |    392500 | PA      | $398042.45    | 0.09%             | 2070-01-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                  | Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1                                                                           | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492313 | PA      | $429482.30    | 0.09%             | 2047-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19927 | PA      | $19336.02     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53380 | PA      | $53432.50     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17383 | PA      | $16566.32     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    574971 | PA      | $575689.43    | 0.13%             | 2041-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                               | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2684867.50   | 0.58%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14906 | PA      | $15664.19     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10452 | PA      | $9953.82      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30104 | PA      | $28655.75     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B3                                                              | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2000988.25   | 0.44%             | 2059-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                              | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998721 | PA      | $1013042.24   | 0.22%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-58, Class IY                                                           | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14805164 | PA      | $2522460.92   | 0.55%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-C, Class A2A                                                                   | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    184046 | PA      | $183439.84    | 0.04%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-C, Class A1B                                                                   | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108999 | PA      | $110084.45    | 0.02%             | 2052-11-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QH5, Class AII                                                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876552 | PA      | $382740.82    | 0.08%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2025-167G, Class E                                                                         | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124651.71    | 0.03%             | 2040-08-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10763 | PA      | $10603.35     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class B                                                                                        | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400499.96    | 0.09%             | 2042-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5471, Class FM                                                  | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1148063 | PA      | $1161103.09   | 0.25%             | 2054-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                               | Legacy Mortgage Asset Trust, Series 2019-SL2, Class A                                                                        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190080 | PA      | $1168469.87   | 0.25%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         4 | NC      | $375.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                                   | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664503 | PA      | $671897.40    | 0.15%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2022-CRE6, Class A                                                                                       | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    277603 | PA      | $277281.28    | 0.06%             | 2037-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                             | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $280000.11    | 0.06%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QO2, Class A1                                                                                        | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162489 | PA      | $342204.58    | 0.07%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62253 | PA      | $61139.47     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                                                | INCREF LLC, Series 2025-FL1, Class A                                                                                         | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    590000 | PA      | $591519.01    | 0.13%             | 2042-10-19      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19900 | PA      | $19843.99     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38381 | PA      | $38398.18     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                              | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717163 | PA      | $703245.27    | 0.15%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-51, Class TF                                       | CUSIP: 38384KUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956270 | PA      | $960398.24    | 0.21%             | 2054-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2026-SFR1, Class E                                                                        | CUSIP: 74334HAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $918280.90    | 0.20%             | 2043-02-17      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412L5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $518.90       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                                    | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1                                                                             | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2003518.00   | 0.44%             | 2037-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2025-167G, Class A                                                                         | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687000 | PA      | $687085.26    | 0.15%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74209 | PA      | $75633.80     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-AA, Class D                                                                      | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381000 | PA      | $370471.29    | 0.08%             | 2036-03-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3137 | PA      | $3061.18      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28995 | PA      | $28383.36     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                                                                    | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $596335.38    | 0.13%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                                    | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287000 | PA      | $287717.50    | 0.06%             | 2034-11-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Houston Galleria Mall Trust                                               | Houston Galleria Mall Trust, Series 2025-HGLR, Class A                                                                       | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1164289.62   | 0.25%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34470 | PA      | $34519.17     | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class B                                                                           | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268841 | PA      | $237102.44    | 0.05%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115168 | PA      | $112952.77    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A                                                                | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213000 | PA      | $1216042.20   | 0.26%             | 2041-11-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7084 | PA      | $6789.08      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109408 | PA      | $106488.90    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-6, Class A1                                                                            | CUSIP: 19689BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707175 | PA      | $714885.75    | 0.16%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246724 | PA      | $1186602.92   | 0.26%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23157 | PA      | $22192.81     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       317 | NC      | $72190.73     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3014556 | PA      | $129838.45    | 0.03%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17829 | PA      | $16391.23     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Race Point X CLO Ltd.                                                     | Race Point X CLO Ltd., Series 2016-10A, Class B2R                                                                            | CUSIP: 74983DBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    443120 | PA      | $444006.24    | 0.10%             | 2031-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class B1B                                                                                         | CUSIP: 12571DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1012282.44   | 0.22%             | 2069-10-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10714 | PA      | $10508.98     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 2A4                                                        | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7797 | PA      | $7695.44      | 0.00%             | 2034-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-6, Class 1A2A                                                                     | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235886 | PA      | $895514.64    | 0.19%             | 2037-03-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2018-3A, Class AR                                                                               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     23161 | PA      | $23161.17     | 0.01%             | 2031-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                          | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $233350.27    | 0.05%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1                                                              | CUSIP: 64832DAG6<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $804804.93    | 0.18%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXIII Ltd.                                           | Madison Park Funding LXIII Ltd., Series 2023-63A, Class A1R                                                                  | CUSIP: 55817GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010160.00   | 0.44%             | 2038-07-21      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class D                                                                     | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502187.50    | 0.11%             | 2037-05-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| LEX Mortgage Trust                                                        | LEX Mortgage Trust, Series 2024-BBG, Class A                                                                                 | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1061589.11   | 0.23%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2022-SSP, Class A                                                                                          | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $369768.75    | 0.08%             | 2039-05-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                     | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79023 | PA      | $77198.51     | 0.02%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2006-S2, Class 1A16                                                                     | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127267 | PA      | $401392.79    | 0.09%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                                                          | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1803027 | PA      | $1805281.17   | 0.39%             | 2041-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1272 | PA      | $1343.88      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class E                                                                                          | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71000 | PA      | $65804.11     | 0.01%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                     | DB Master Finance LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    102000 | PA      | $101779.63    | 0.02%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18751 | PA      | $18403.38     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-1C, Class A                                                                      | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $374907.05    | 0.08%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust, Series 2025-MFS, Class E                                                                                         | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $685793.99    | 0.15%             | 2033-06-10      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 1A1                                                                             | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91829 | PA      | $25890.89     | 0.01%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A2                                                              | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105552 | PA      | $105791.58    | 0.02%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                            | Banc of America Mortgage Trust, Series 2005-I, Class 2A5                                                                     | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57354 | PA      | $54005.28     | 0.01%             | 2035-10-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B2                                                                           | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $149245.19    | 0.03%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421000 | PA      | $402075.25    | 0.09%             | 2037-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                                      | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $376572.91    | 0.08%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                            | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B                                                   | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811029 | PA      | $727281.24    | 0.16%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22876 | PA      | $21096.30     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26465 | PA      | $26373.79     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class D                                                                            | CUSIP: 35040WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198603 | PA      | $198965.39    | 0.04%             | 2050-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30649 | PA      | $30765.79     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 12 Ltd.                                                  | Silver Point CLO 12 Ltd., Series 2025-12A, Class A1                                                                          | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008000.00   | 0.44%             | 2038-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class C                                                                             | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3507 | PA      | $3.51         | 0.00%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A                                                               | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $447709.79    | 0.10%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-GCS, Class D                                                                                        | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259000 | PA      | $262069.07    | 0.06%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13899 | PA      | $13828.03     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Mortgage Trust                                                        | BPR Mortgage Trust, Series 2025-ALDR, Class A                                                                                | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618000 | PA      | $638926.59    | 0.14%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $704559.38    | 0.15%             | 2036-02-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134876 | PA      | $138888.28    | 0.03%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class F                                                                               | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $127505.18    | 0.03%             | 2033-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2025-A, Class A                                                                      | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $230515.52    | 0.05%             | 2034-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class A                                                                           | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036238 | PA      | $1036318.15   | 0.23%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                                            | BRES Commercial Mortgage Trust, Series 2025-ATCAP, Class A                                                                   | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $792197.97    | 0.17%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL-R Ltd.                                            | Madison Park Funding XL-R Ltd., Series 2025-40RA, Class A                                                                    | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009816.00   | 0.44%             | 2038-10-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class A                                                                                          | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $591475.00    | 0.13%             | 2034-03-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11233 | PA      | $10933.59     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class B                                                                              | CUSIP: 52604QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $166400.60    | 0.04%             | 2034-09-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                         | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                                | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257106 | PA      | $454301.38    | 0.10%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-IND, Class A                                                                                           | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65422 | PA      | $65503.67     | 0.01%             | 2037-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10940 | PA      | $11546.54     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class E                                                                     | CUSIP: 55616AAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $445885.79    | 0.10%             | 2042-10-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5544, Class HV                                                                      | CUSIP: 3137HLP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209754 | PA      | $213703.71    | 0.05%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                                             | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                                                                     | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124687.50    | 0.03%             | 2035-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                               | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258963 | PA      | $258365.78    | 0.06%             | 2068-11-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                                                                    | CUSIP: 17307GLB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215978 | PA      | $204477.57    | 0.04%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2025-CP1, Class A1                                                                                   | CUSIP: 67121VAA2<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |    705007 | PA      | $685955.33    | 0.15%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class A1B                                                                         | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291248 | PA      | $292955.41    | 0.06%             | 2055-05-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                     | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393676 | PA      | $378907.65    | 0.08%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-193, Class IA                                                          | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4584003 | PA      | $763258.92    | 0.17%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class 5A1                                         | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898005 | PA      | $739163.49    | 0.16%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class F                                                                    | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $139874.25    | 0.03%             | 2034-11-15      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-RTL1, Class A1                                                           | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1013411.30   | 0.22%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Trust                                          | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2, Class 1A4                                                                  | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710378 | PA      | $482048.72    | 0.10%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A2                                                                | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108675 | PA      | $128243.49    | 0.03%             | 2037-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class C                                                                    | CUSIP: 68269HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103424.67    | 0.02%             | 2036-09-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3700000 | PA      | $50502.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-3, Class B2                                                                     | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002762.80   | 0.22%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                                      | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190475.00    | 0.04%             | 2039-06-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-1, Class 1A2B                                                                        | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236691 | PA      | $204157.66    | 0.04%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1                                                         | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812183 | PA      | $805382.68    | 0.18%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M2                                                                                         | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $726387.75    | 0.16%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19477 | PA      | $20558.70     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class E                                                                                 | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228817 | PA      | $227659.29    | 0.05%             | 2037-02-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                             | Centex Home Equity Loan Trust, Series 2004-D, Class MV1                                                                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382017 | PA      | $377677.32    | 0.08%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2024-1A, Class B                                                                    | CUSIP: 68269NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $210439.18    | 0.05%             | 2041-05-14      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class A2                                                                           | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $880426.10    | 0.19%             | 2062-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3320 | PA      | $3269.98      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10665 | PA      | $10520.65     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-A, Class A2A                                                                   | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    212461 | PA      | $211660.71    | 0.05%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class A                                                                                           | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3005625.00   | 0.65%             | 2037-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2024-1A, Class A1                                                                                      | CUSIP: 73743EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004846.80   | 0.44%             | 2037-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                            | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $817032.74    | 0.18%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| MAIN Trust                                                                | MAIN Trust, Series 2026-OLAS, Class F                                                                                        | CUSIP: 56036BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $699999.30    | 0.15%             | 2041-01-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26378 | PA      | $24282.47     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $276500.00    | 0.06%             | 2035-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class A                                                                     | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $866213.41    | 0.19%             | 2042-11-05      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38628 | PA      | $38821.04     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54600 | PA      | $54417.38     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                                                   | Sandstone Peak III Ltd., Series 2024-1A, Class A1                                                                            | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003484.20   | 0.44%             | 2037-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1203 | PA      | $1146.87      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class C                                                                             | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545207 | PA      | $2716719.52   | 0.59%             | 2061-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-1A, Class A1R                                                                            | CUSIP: 69689QAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009244.00   | 0.44%             | 2038-10-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                              | Navient Refinance Loan Trust, Series 2025-C, Class A                                                                         | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94352 | PA      | $94649.66     | 0.02%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56402 | PA      | $56761.86     | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10099 | PA      | $10441.88     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class A                                                                            | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222377 | PA      | $223052.71    | 0.05%             | 2052-08-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-C39, Class A5                                                                              | CUSIP: 05556YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $206234.16    | 0.04%             | 2058-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10209 | PA      | $10029.22     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class F                                                                      | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $209600.24    | 0.05%             | 2042-08-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| MAC Trust                                                                 | MAC Trust, Series 2025-801B, Class A                                                                                         | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003735.60   | 0.22%             | 2040-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class B                                                                   | CUSIP: 19033EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114682 | PA      | $114682.50    | 0.02%             | 2036-08-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                                | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $702540.86    | 0.15%             | 2038-09-10      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class F                                                                       | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1796071 | PA      | $1667608.09   | 0.36%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                                      | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299555 | PA      | $300116.94    | 0.07%             | 2041-05-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                                 | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1279782 | PA      | $856333.12    | 0.19%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class D                                                             | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201036.81    | 0.04%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class C                                                                           | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100025.59    | 0.02%             | 2055-05-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class D                                                                           | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103197.40    | 0.02%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-6CB, Class 2A10                                                                          | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937671 | PA      | $690922.20    | 0.15%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11334 | PA      | $10706.29     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26584 | PA      | $26212.68     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13748 | PA      | $13722.00     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2025 LLC                                              | Greystone CRE Notes 2025 LLC, Series 2025-HC4, Class A                                                                       | CUSIP: 39809NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1125000 | PA      | $1123935.30   | 0.24%             | 2042-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class B                                                                    | CUSIP: 44989YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451000 | PA      | $449385.33    | 0.10%             | 2037-11-05      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 7 Ltd.                                                | Warwick Capital CLO 7 Ltd., Series 2025-7A, Class A1                                                                         | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010074.00   | 0.44%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class D                                                                                          | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204877 | PA      | $205708.90    | 0.04%             | 2041-10-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class B                                                                           | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185361 | PA      | $185592.31    | 0.04%             | 2051-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LIFE, Class A                                                                                          | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1025380.90   | 0.22%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20331 | PA      | $20868.88     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-VICT, Class A                                                                               | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $652843.75    | 0.14%             | 2041-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class A                                            | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $433035.14    | 0.09%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 3CB                                         | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932431 | PA      | $736100.06    | 0.16%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6                                                              | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1169353 | PA      | $875612.34    | 0.19%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2024-CRE9, Class A                                                                                        | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    206005 | PA      | $206239.33    | 0.04%             | 2041-05-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class C                                                                      | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202980.92    | 0.04%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST5, Class B                                                                     | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144000 | PA      | $144529.98    | 0.03%             | 2032-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class B1B                                                                              | CUSIP: 22758PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $404768.88    | 0.09%             | 2070-03-25      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc.                                        | Deutsche Mortgage Securities, Inc., Series 2006-PR1, Class CWA1                                                              | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1811057 | PA      | $880338.70    | 0.19%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2025-77C, Class A                                                                                          | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $973516.06    | 0.21%             | 2036-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-DA, Class B                                                                           | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $633330.32    | 0.14%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7169 | PA      | $7603.44      | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXIX Ltd.                                                    | Sculptor CLO XXIX Ltd., Series 29A, Class AR                                                                                 | CUSIP: 81124EAQ3<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011388.00   | 0.44%             | 2038-07-22      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class B                                                                              | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138012.53    | 0.03%             | 2037-03-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class C                                                                              | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111780.94    | 0.02%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                                                        | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $651469.87    | 0.14%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KPLB2, Class X | CUSIP: 3137HAD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16981600 | PA      | $330967.99    | 0.07%             | 2033-06-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4                                                                     | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590112 | PA      | $527912.03    | 0.11%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class B                                                                   | CUSIP: 75907AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444000 | PA      | $448026.19    | 0.10%             | 2033-12-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class F                                                                       | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1245588 | PA      | $1218879.94   | 0.27%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78779 | PA      | $79099.62     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                                    | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001553 | PA      | $434055.15    | 0.09%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class B                                                                     | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94375 | PA      | $92420.72     | 0.02%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    518424 | PA      | $421832.55    | 0.09%             | 2031-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-B, Class B                                                                     | CUSIP: 78449XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $229026.78    | 0.05%             | 2053-07-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-146                                                                    | CUSIP: 38382KVC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900866 | PA      | $360579.06    | 0.08%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       927 | NC      | $197244.14    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KUFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $165.67       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4906 | PA      | $5178.62      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B                                                           | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $550201.01    | 0.12%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management                               | Dreyfus Treasury Securities Cash Management                                                                                  | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  14064965 | NS      | $14064965.13  | 3.06%             |  |  |  | No            |                  1 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class A                                                                                              | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1600981.25   | 0.35%             | 2042-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M2                                                                             | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    580556 | PA      | $617361.09    | 0.13%             | 2059-07-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 12 Ltd.                                                 | Kennedy Lewis CLO 12 Ltd., Series 2023-12A, Class AR                                                                         | CUSIP: 37147VAL1<br>LEI: 549300OPJWALMOKFT505 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008500.00   | 0.44%             | 2038-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28633 | PA      | $27304.00     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class B                                                                   | CUSIP: 758983AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $205246.54    | 0.04%             | 2036-07-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M3                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1150587.96   | 0.25%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                           | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625587 | PA      | $633514.52    | 0.14%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                      | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $139511.42    | 0.03%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23164 | PA      | $21822.58     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                                  | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    827783 | PA      | $719015.48    | 0.16%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class A                                                                     | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $352113.09    | 0.08%             | 2042-10-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                                                                     | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1838000 | PA      | $1840297.50   | 0.40%             | 2037-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                                                       | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $469659.76    | 0.10%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class A                                                                   | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $528672.43    | 0.12%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127972 | PA      | $109069.06    | 0.02%             | 2048-05-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115811 | PA      | $110385.64    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class M1                                                      | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581740 | PA      | $589342.84    | 0.13%             | 2036-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $998787.55    | 0.22%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-8, Class A1                                                                            | CUSIP: 19689DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546161 | PA      | $552533.54    | 0.12%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158841 | PA      | $159423.80    | 0.03%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-2, Class B1                                                                          | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499493.75    | 0.11%             | 2068-03-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83524 | PA      | $79185.34     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                 | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                                         | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026921 | PA      | $928343.86    | 0.20%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 2CB                                         | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624032 | PA      | $418823.04    | 0.09%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                  | Retained Vantage Data Centers Issuer LLC, Series 2025-1A, Class A2A                                                          | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $154215.16    | 0.03%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5204 | PA      | $5479.03      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-21, Class A11                                                                   | CUSIP: 12543PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155230 | PA      | $473042.01    | 0.10%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5, Class A3                                          | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184648 | PA      | $153625.45    | 0.03%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M4                                                              | CUSIP: 92257HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868241 | PA      | $782422.75    | 0.17%             | 2049-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM3, Class A1                                                                                       | CUSIP: 36171MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665556 | PA      | $673832.24    | 0.15%             | 2070-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                                                               | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $340637.50    | 0.07%             | 2041-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890 | PA      | $1994.55      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                                                                      | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280700.00    | 0.06%             | 2041-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA1, Class A1A                                       | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563907 | PA      | $526282.27    | 0.11%             | 2047-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1                                                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057689 | PA      | $1052903.19   | 0.23%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                       | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    418000 | PA      | $419031.04    | 0.09%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C20, Class XA                                                                              | CUSIP: 07336DAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11842923 | PA      | $546662.21    | 0.12%             | 2056-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                                 | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266209 | PA      | $266708.12    | 0.06%             | 2041-12-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-5, Class LI                                                            | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59105 | PA      | $10952.31     | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class A                                                                            | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147674 | PA      | $149334.56    | 0.03%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                                       | CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A6                                                               | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403846 | PA      | $372076.00    | 0.08%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class F                                                                                        | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629131 | PA      | $628934.53    | 0.14%             | 2038-11-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                    | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260568.75    | 0.06%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17240 | PA      | $16956.30     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A1                                                                | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108675 | PA      | $932812.42    | 0.20%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class E                                                                                          | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439000 | PA      | $441158.34    | 0.10%             | 2034-03-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65821 | PA      | $65604.65     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM7, Class A1                                                                  | CUSIP: 10570TAP0<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |    541394 | PA      | $546824.60    | 0.12%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                               | Wireless PropCo Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 97655EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $428539.33    | 0.09%             | 2055-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017609 | PA      | $11443.12     | 0.00%             | 2051-11-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40915 | PA      | $39024.21     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-BIO, Class A                                                                                           | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $735000.00    | 0.16%             | 2041-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                                          | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303974.58    | 0.07%             | 2039-12-15      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                                                        | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $305492.36    | 0.07%             | 2039-08-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class C                                                             | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201406.35    | 0.04%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class B                                                                 | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $522925.00    | 0.11%             | 2028-03-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-3BP, Class A                                                                      | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467000 | PA      | $467291.88    | 0.10%             | 2042-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                 | ALA Trust, Series 2025-OANA, Class D                                                                                         | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $217619.20    | 0.05%             | 2040-06-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                                | BRCK Trust, Series 2025-830B, Class F                                                                                        | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $361706.43    | 0.08%             | 2042-12-10      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4749666 | PA      | $4397909.93   | 0.96%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576070 | PA      | $576249.92    | 0.13%             | 2037-02-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69011 | PA      | $63777.21     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class M1                                                              | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1577437 | PA      | $1664974.30   | 0.36%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A                                                              | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $609812.16    | 0.13%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2018-BA, Class A2B                                                              | CUSIP: 63940QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102834 | PA      | $102839.43    | 0.02%             | 2059-12-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Summit Issuer LLC                                                         | Summit Issuer LLC, Series 2025-1A, Class A2                                                                                  | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147000 | PA      | $148149.64    | 0.03%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-97, Class LI                                                           | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17649246 | PA      | $2997304.35   | 0.65%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A4                                                               | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |    498167 | PA      | $492564.65    | 0.11%             | 2033-09-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                                                         | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $343831.15    | 0.07%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                                                         | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $421837.50    | 0.09%             | 2041-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2022-LTV1, Class M1                                                                       | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $399408.30    | 0.09%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class A1B                                                                         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102883 | PA      | $103598.73    | 0.02%             | 2065-06-22      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-96, Class FL                                       | CUSIP: 38384PC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1617119 | PA      | $1627099.74   | 0.35%             | 2054-06-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class E                                                                            | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $304595.37    | 0.07%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class E                                                                     | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353000 | PA      | $359639.75    | 0.08%             | 2040-07-15      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2017-B, Class B                                                                     | CUSIP: 83189DAD2<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $439456.28    | 0.10%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class A                                                                                        | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $912336.16    | 0.20%             | 2033-03-10      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22716 | PA      | $23309.25     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                                             | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120807 | PA      | $1120797.23   | 0.24%             | 2061-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49354 | PA      | $45642.05     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120569 | PA      | $113885.47    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class B                                                                              | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203000 | PA      | $203887.25    | 0.04%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97251 | PA      | $102648.82    | 0.02%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                                         | Sesac Finance LLC, Series 2025-1, Class A2                                                                                   | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $158655.18    | 0.03%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2878343 | PA      | $1115839.79   | 0.24%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2021-1A, Class AR                                                                                      | CUSIP: 92918QAN0<br>LEI: 549300TZK6NKU72KPL60 | Long             | ABS-CBDO         | CORP              | KY        |   1135000 | PA      | $1136471.53   | 0.25%             | 2034-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-INV4, Class B1                                                                         | CUSIP: 19688QAE1<br>LEI: 2138008UGM66WOAUY633 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $508113.05    | 0.11%             | 2069-05-25      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2026-1A, Class B                                                                                 | CUSIP: 00833BAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99991.13     | 0.02%             | 2034-02-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91276 | PA      | $91538.00     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108776 | PA      | $1108776.15   | 0.24%             | 2039-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19603 | PA      | $19262.73     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B1                                                                  | CUSIP: 10569NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $510395.00    | 0.11%             | 2064-11-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                                  | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512068 | PA      | $504448.12    | 0.11%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1930000 | PA      | $12657.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-11, Class A1                                                                           | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |    953303 | PA      | $957712.60    | 0.21%             | 2070-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-IA, Class A1B                                                         | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473871 | PA      | $471204.66    | 0.10%             | 2069-04-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-DSC2, Class A1                                                   | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720012 | PA      | $728074.93    | 0.16%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| SCG Trust                                                                 | SCG Trust, Series 2025-SNIP, Class A                                                                                         | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004188.00   | 0.22%             | 2042-09-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M1                                                                             | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    405840 | PA      | $425200.56    | 0.09%             | 2059-07-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-2, Class B2                                                                     | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $993855.40    | 0.22%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2026-FL11, Class A                                                                              | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    939000 | PA      | $939388.46    | 0.20%             | 2044-01-19      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6827 | PA      | $6546.26      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A6                                                          | CUSIP: 76113NAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459465 | PA      | $392171.87    | 0.09%             | 2036-07-25      | Floating      | 23.70%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9063 | PA      | $9414.23      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MAIN Trust 2026-OLAS                                                      | MAIN Trust, Series 2026-OLAS, Class A                                                                                        | CUSIP: 56036BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692000 | PA      | $691999.74    | 0.15%             | 2041-01-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-1A, Class B                                                                               | CUSIP: 74690FAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56000 | PA      | $56581.51     | 0.01%             | 2056-01-05      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| NYMT Trust                                                                | NYMT Trust, Series 2024-RR1, Class A                                                                                         | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876431 | PA      | $871734.24    | 0.19%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2024-C24, Class A5                                                                              | CUSIP: 07336VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2190000 | PA      | $2284701.73   | 0.50%             | 2057-02-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXII                                                          | Apidos CLO XXXII, Series 2019-32A, Class A1R                                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    200069 | PA      | $200172.10    | 0.04%             | 2033-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class D                                                                         | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $855396.74    | 0.19%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61969 | PA      | $62296.60     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-1, Class B                                                               | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261518 | PA      | $267352.11    | 0.06%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class B                                                                             | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115701 | PA      | $1134286.24   | 0.25%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class D                                                                                         | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301832 | PA      | $302586.23    | 0.07%             | 2041-10-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                                       | UPG HI Issuer Trust, Series 2025-2, Class A                                                                                  | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94916 | PA      | $95316.01     | 0.02%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                              | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495907 | PA      | $503072.81    | 0.11%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36712 | PA      | $36516.78     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                                      | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314000 | PA      | $315535.87    | 0.07%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class A                                                                      | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372000 | PA      | $377098.82    | 0.08%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-NQM3, Class A1                                                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671228 | PA      | $678711.12    | 0.15%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2024-PARK, Class D                                                                     | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $240468.46    | 0.05%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                          | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1566956.25   | 0.34%             | 2042-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                                        | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867745 | PA      | $868830.13    | 0.19%             | 2039-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1166 | PA      | $1149.45      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75620 | PA      | $76014.35     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO V-R Ltd.                                                  | Sound Point CLO V-R Ltd., Series 2014-1RA, Class A                                                                           | CUSIP: 83607EAA0<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |     66904 | PA      | $66901.36     | 0.01%             | 2031-07-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                                     | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265823 | PA      | $267208.69    | 0.06%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class D                                                               | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192811 | PA      | $196752.00    | 0.04%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class AFL                                                                         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254390 | PA      | $253742.25    | 0.06%             | 2062-04-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class E                                                                                              | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $780831.94    | 0.17%             | 2042-06-15      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class B                                                                             | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268768 | PA      | $270980.44    | 0.06%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-9T1, Class A4                                                                            | CUSIP: 12668BVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679548 | PA      | $605547.16    | 0.13%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B2                                                              | CUSIP: 64832DAH4<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    394300 | PA      | $388422.41    | 0.08%             | 2065-01-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2007-9, Class A2A                                                                             | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819316 | PA      | $442376.42    | 0.10%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class B                                                                       | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1084660.94   | 0.24%             | 2039-02-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM5, Class A1                                                                                             | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227887 | PA      | $1234192.45   | 0.27%             | 2070-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class C                                                                     | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $263206.33    | 0.06%             | 2042-08-10      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 22A                                                     | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387777 | PA      | $368790.02    | 0.08%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV5, Class B6                                                                       | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1432106 | PA      | $774297.22    | 0.17%             | 2051-12-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13069 | PA      | $12430.88     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-2A, Class B                                                                            | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712078 | PA      | $714382.73    | 0.16%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-87, Class NI                                                           | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2387621 | PA      | $402774.76    | 0.09%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                | RASC Trust, Series 2006-EMX9, Class 1A4                                                                                      | CUSIP: 74924VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1096857 | PA      | $923619.47    | 0.20%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM6, Class A1                                                                  | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |    619591 | PA      | $626058.34    | 0.14%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478329 | PA      | $85702.56     | 0.02%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42020 | PA      | $38794.26     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124779 | PA      | $128083.06    | 0.03%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                          | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809000 | PA      | $810011.25    | 0.18%             | 2041-06-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class B                                                                                 | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100773.87    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AW3Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167633 | PA      | $168012.68    | 0.04%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class A                                                                                               | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1055989.06   | 0.23%             | 2041-06-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-19, Class 1A34                                                                           | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734466 | PA      | $331712.87    | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45410 | PA      | $44240.79     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2022-NQM2, Class M1                                                                                       | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $845491.50    | 0.18%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                                         | CarVal CLO I Ltd., Series 2018-1A, Class AR                                                                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    895878 | PA      | $896983.80    | 0.20%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14892 | PA      | $14858.51     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                                                         | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $296163.78    | 0.06%             | 2029-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                       | DBWF Mortgage Trust, Series 2024-LCRS, Class A                                                                               | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $604810.94    | 0.13%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                             | CHI Commercial Mortgage Trust, Series 2025-110W, Class D                                                                     | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253305.78    | 0.06%             | 2040-12-13      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class A                                                                              | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149000 | PA      | $150516.08    | 0.03%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XB                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $37613.50     | 0.01%             | 2053-04-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST4, Class A                                                                     | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79147 | PA      | $79505.57     | 0.02%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999543.90    | 0.22%             | 2038-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                                                        | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $840000.00    | 0.18%             | 2041-08-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                                               | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2881424 | PA      | $122366.87    | 0.03%             | 2053-04-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                                       | TYSN Mortgage Trust, Series 2023-CRNR, Class A                                                                               | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $399314.60    | 0.09%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2460.43      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M4                                                              | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345763 | PA      | $350248.79    | 0.08%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| A10 Issuer LLC                                                            | A10 Issuer LLC, Series 2025-FL6, Class A                                                                                     | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2516000 | PA      | $2518560.78   | 0.55%             | 2042-05-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 6 Ltd.                                                   | Silver Point CLO 6 Ltd., Series 2024-6A, Class A1                                                                            | CUSIP: 82808MAA1<br>LEI: 254900RSFBN3VCGBVP05 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003717.80   | 0.22%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QS1, Class 1A5                                                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806109 | PA      | $602138.63    | 0.13%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12832 | PA      | $12979.77     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A2                                                          | CUSIP: 76113NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610245 | PA      | $439473.72    | 0.10%             | 2036-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WLF2, Class A                                                                                  | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $396604.69    | 0.09%             | 2041-05-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class A                                                                                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $566051.45    | 0.12%             | 2039-01-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2021-5, Class A1                                                                            | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2631225 | PA      | $2301607.29   | 0.50%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3                                                                     | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485592 | PA      | $586188.78    | 0.13%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                                     | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662764 | PA      | $670675.41    | 0.15%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-53, Class V                                                            | CUSIP: 38380M4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123653 | PA      | $120045.39    | 0.03%             | 2031-08-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2024-BA, Class D                                                                      | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $215607.04    | 0.05%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans LLC                                             | College Avenue Student Loans LLC, Series 2021-C, Class C                                                                     | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108678 | PA      | $102331.69    | 0.02%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2024-RVR, Class E                                                                 | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $418945.97    | 0.09%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                                  | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504983.15    | 0.11%             | 2063-09-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31368HNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142543 | PA      | $143297.30    | 0.03%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class D                                                                                           | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $146912.84    | 0.03%             | 2041-03-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A5                                                         | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98965.58     | 0.02%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2025-ASHF, Class A                                                                                       | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450387.32    | 0.10%             | 2042-02-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                                                   | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1102907.52   | 0.24%             | 2042-11-10      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                               | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $230634.65    | 0.05%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                                   | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241512 | PA      | $334827.84    | 0.07%             | 2046-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152596 | PA      | $145935.17    | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4595 | PA      | $4458.89      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A7                                                                          | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499657 | PA      | $587683.56    | 0.13%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2025-INV1, Class A1                                                             | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839737 | PA      | $844541.06    | 0.18%             | 2060-11-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class B                                                                     | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $822828.32    | 0.18%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2023-BA, Class A1A                                                                        | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77564 | PA      | $80194.97     | 0.02%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST8, Class C                                                                     | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228000 | PA      | $228372.71    | 0.05%             | 2033-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                            | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190409.95    | 0.04%             | 2039-11-09      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class X                                                                                        | CUSIP: 55318EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28000000 | PA      | $58760.80     | 0.01%             | 2038-06-10      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 43 Ltd.                                       | Benefit Street Partners CLO 43 Ltd., Series 2025-43A, Class A                                                                | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004196.00   | 0.22%             | 2038-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-11X, Class A                                                                      | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $856595.58    | 0.19%             | 2040-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                                       | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $536880.36    | 0.12%             | 2064-07-25      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2010-6R, Class 2A6B                                                                                       | CUSIP: 12643PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434099 | PA      | $452651.18    | 0.10%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $-15625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2023-SFR2, Class F1                                                                                       | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $569865.36    | 0.12%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class D                                                                       | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237577 | PA      | $237948.22    | 0.05%             | 2039-02-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                      | SoFi Professional Loan Program Trust, Series 2021-B, Class AFX                                                               | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198394 | PA      | $174011.55    | 0.04%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR31, Class 2A1                                                                | CUSIP: 45660LW39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948278 | PA      | $941275.46    | 0.20%             | 2036-01-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd.                          | Arbor Realty Collateralized Loan Obligation Ltd., Series 2025-BTR1, Class A                                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    347000 | PA      | $348116.26    | 0.08%             | 2041-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                                                                      | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409995 | PA      | $1411757.30   | 0.31%             | 2041-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18592 | PA      | $17431.70     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378140 | PA      | $44793.53     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14456 | PA      | $13640.01     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                             | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1321014 | PA      | $1093569.52   | 0.24%             | 2039-05-28      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15271 | PA      | $14122.24     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2007-BC3, Class 1A                                                             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506642 | PA      | $486582.29    | 0.11%             | 2047-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21447 | PA      | $21448.27     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class B                                                                      | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $185229.53    | 0.04%             | 2027-06-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                                                        | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $448615.25    | 0.10%             | 2066-12-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                              | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    677523 | PA      | $684646.22    | 0.15%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4405 | PA      | $4060.30      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class A                                                                              | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211000 | PA      | $210720.36    | 0.05%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S2, Class 1A9                                                                      | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685863 | PA      | $866318.40    | 0.19%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797RT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  13105000 | PA      | $13091920.42  | 2.85%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class B                                                                         | CUSIP: 63943EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $207102.95    | 0.05%             | 2055-07-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26542 | PA      | $24590.88     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M4                                                              | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000261 | PA      | $1006745.45   | 0.22%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2012-RR3, Class 3A8                                                                                   | CUSIP: 05539BAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119587 | PA      | $1013399.92   | 0.22%             | 2037-07-26      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| MIC Trust (The)                                                           | MIC Trust (The), Series 2023-MIC, Class A                                                                                    | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $259153.39    | 0.06%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $194227.95    | 0.04%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87752 | PA      | $90369.40     | 0.02%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class B3                                                                            | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378210 | PA      | $204808.27    | 0.04%             | 2060-12-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $446671.21    | 0.10%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 1A4                                                     | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668777 | PA      | $662482.41    | 0.14%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2024-C30, Class A5                                                                              | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $209827.00    | 0.05%             | 2057-11-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class D                                                                     | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $382070.69    | 0.08%             | 2039-10-13      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571340 | PA      | $102359.25    | 0.02%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19229 | PA      | $17580.21     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class B                                                                      | CUSIP: 05613QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479590 | PA      | $480639.17    | 0.10%             | 2041-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12494 | PA      | $12179.59     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class E                                                                      | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $376561.27    | 0.08%             | 2039-05-10      | Variable      | 10.26%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37655 | PA      | $37853.07     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class M1B                                                                                      | CUSIP: 00112EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1018047.50   | 0.22%             | 2064-10-25      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                              | Ford Credit Auto Owner Trust, Series 2025-1, Class B                                                                         | CUSIP: 34532MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232000 | PA      | $237401.38    | 0.05%             | 2037-08-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-2, Class B1                                                                          | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505921.75    | 0.11%             | 2070-03-25      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-22, Class M1                                                              | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2228291 | PA      | $2221560.36   | 0.48%             | 2047-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                                      | UPX HIL Issuer Trust, Series 2025-1, Class A                                                                                 | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179323 | PA      | $180287.12    | 0.04%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class A                                                                                        | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1454000 | PA      | $1455808.92   | 0.32%             | 2042-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class F                                                                        | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2471866.75   | 0.54%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41376 | PA      | $39598.34     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                                                                  | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    992027 | PA      | $988353.71    | 0.22%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| SLG Commercial Mortgage Trust                                             | SLG Commercial Mortgage Trust, Series 2026-PAT, Class A                                                                      | CUSIP: 78451CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1080934.07   | 0.24%             | 2039-02-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                           | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192111 | PA      | $196546.57    | 0.04%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-6, Class ES                                        | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5865125 | PA      | $410498.33    | 0.09%             | 2053-07-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                           | ChaseFlex Trust, Series 2007-1, Class 2A7                                                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866404 | PA      | $578689.76    | 0.13%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17620 | PA      | $17327.10     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                                                                       | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849152 | PA      | $849682.91    | 0.18%             | 2039-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NRZT                                                                      | NRZT, Series 2025-NQM6, Class A1                                                                                             | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958089 | PA      | $963935.86    | 0.21%             | 2065-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-55CW, Class 2A3                                                                          | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537873 | PA      | $389493.09    | 0.08%             | 2035-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class B                                                                            | CUSIP: 35042TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100149.14    | 0.02%             | 2052-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class G                                                                      | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186000 | PA      | $185654.43    | 0.04%             | 2042-08-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2023-1, Class B1                                                                  | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996629.50    | 0.22%             | 2068-02-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM5, Class A1A                                                                                      | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733960 | PA      | $741913.57    | 0.16%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2006-9F, Class 3A1                                                                           | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472983 | PA      | $439503.07    | 0.10%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2A1                                                                  | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421823 | PA      | $417807.12    | 0.09%             | 2053-01-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                                                                 | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $595125.00    | 0.13%             | 2041-11-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184001 | PA      | $191796.84    | 0.04%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B1                                                                           | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $226129.08    | 0.05%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    675704 | PA      | $640479.72    | 0.14%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16729 | PA      | $17742.91     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                                        | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    153533 | PA      | $153631.40    | 0.03%             | 2031-04-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-27, Class IJ                                                              | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5194421 | PA      | $987204.32    | 0.21%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                               | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167458 | PA      | $774205.62    | 0.17%             | 2046-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-VIS2, Class A1                                                                       | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    722771 | PA      | $730118.78    | 0.16%             | 2055-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21948 | PA      | $21894.74     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KSL Trust                                                                 | KSL Trust                                                                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $306478.21    | 0.07%             | 2030-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-7, Class A1                                                                            | CUSIP: 19689CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362117 | PA      | $366174.22    | 0.08%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6153 | PA      | $5880.84      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class F                                                                                          | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $448363.44    | 0.10%             | 2039-01-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2025-1A, Class D                                                                    | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $419466.02    | 0.09%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-7, Class IA                                                               | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18860488 | PA      | $2371208.51   | 0.52%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16970 | PA      | $17074.21     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    405288 | PA      | $404790.32    | 0.09%             | 2039-02-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class E                                                                   | CUSIP: 228920AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2003600.00   | 0.44%             | 2043-02-10      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16742 | PA      | $16698.48     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class D                                                                            | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $386104.26    | 0.08%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2020-43                                                 | CUSIP: 38380PAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1911888 | PA      | $145046.34    | 0.03%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                                          | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398904 | PA      | $404596.51    | 0.09%             | 2055-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                                         | Compass Datacenters Issuer II LLC, Series 2025-2A, Class A1                                                                  | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206000 | PA      | $205075.47    | 0.04%             | 2050-11-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class D                                                                           | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99436.61     | 0.02%             | 2055-05-17      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                                            | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1078359.38   | 0.23%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A4                                                             | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56437 | PA      | $57344.31     | 0.01%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19914 | PA      | $19023.29     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                             | MHP Commercial Mortgage Trust, Series 2025-MHIL2, Class E                                                                    | CUSIP: 59317DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249899.35    | 0.05%             | 2040-09-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10056 | PA      | $9883.80      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48422 | PA      | $46311.41     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-40, Class EV                                                              | CUSIP: 3136BWHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219288 | PA      | $225176.83    | 0.05%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class D                                                                    | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $726126.83    | 0.16%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3542 | PA      | $3367.47      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class AJ                                                                         | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96750.00     | 0.02%             | 2036-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-6, Class 3CB1                                        | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2499268 | PA      | $974569.98    | 0.21%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class C                                                                                         | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $551493.18    | 0.12%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class E                                                                                          | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212757 | PA      | $213420.01    | 0.05%             | 2041-04-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39086 | PA      | $36097.70     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33354 | PA      | $31653.68     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37601 | PA      | $35919.51     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A                                                          | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118981 | PA      | $116222.58    | 0.03%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3, Class M1                                                       | CUSIP: 004421HQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201584 | PA      | $205178.70    | 0.04%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                                                                  | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114000 | PA      | $114320.63    | 0.02%             | 2039-03-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BHMS Commercial Mortgage Trust                                            | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                                    | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1509375.00   | 0.33%             | 2042-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                        | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $620162.10    | 0.13%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                                                          | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107316 | PA      | $107551.06    | 0.02%             | 2041-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116391 | PA      | $115662.26    | 0.03%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                                               | Point Broadband Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 73052AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $295827.71    | 0.06%             | 2055-07-20      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2021-1A, Class A                                                                            | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    407733 | PA      | $389326.46    | 0.08%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90369 | PA      | $92529.86     | 0.02%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                                 | LQR Trust, Series 2025-CALI, Class E                                                                                         | CUSIP: 50216WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249997.31    | 0.05%             | 2043-01-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class F                                                                     | CUSIP: 088921AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $565889.39    | 0.12%             | 2042-10-10      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-31

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

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer