# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007206
**Filing Date:** 2026-5
**Character Count:** 976113
**Document Hash:** 83168c40c21e18193824a340fc5b585c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007206.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007206

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043374

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO ABS and Short-Term Investments Portfolio (Series ID: S000009844)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000027272 | PIMCO ABS and Short-Term Investments Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO ABS and Short-Term Investments Portfolio

- **b. EDGAR series identifier (if any):** S000009844

- **c. LEI of Series:** TQNOV3FW01CZTFL8YK48

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $23173153291.23

**Total Liabilities:** $14578061702.24

**Net Assets:** $8595091588.99

**Delayed Delivery Securities:** $11300000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 473377.039700 | **1-Year:** 901255.671500 | **5-Year:** 1747812.992200 | **10-Year:** 176110.206000 | **30-Year:** 2409.451300

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

- **3-Month:** 35889.469900 | **1-Year:** 149436.640700 | **5-Year:** 503467.990700 | **10-Year:** 153578.186600 | **30-Year:** 15330.302100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027272 | 0.51%                | 0.42%                | -0.16%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $10972621.42             | $-12481404.33                              |
| Month 2  | $14555930.40             | $40948857.72                               |
| Month 3  | $-28376958.85            | $-71981854.36                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24280000 | PA      | $23396193.67   | 0.27%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2024-1A                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 1A A1R 144A    | CUSIP: 69703NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1299789.26    | 0.02%             | 2032-10-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 M2 144A          | CUSIP: 89177XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11615000 | PA      | $11662132.51   | 0.14%             | 2059-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7642 FN 12/53 FIXED 6                        | CUSIP: 3140QTP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1284424 | PA      | $1325343.90    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 2A4         | CUSIP: 86363WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21126000 | PA      | $19149669.04   | 0.22%             | 2047-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 3A2         | CUSIP: 12668BDK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733847 | PA      | $746249.93     | 0.01%             | 2046-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP3                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A        | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12527903 | PA      | $10786329.18   | 0.13%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 3A1        | CUSIP: 12668AJR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2999689 | PA      | $1459797.66    | 0.02%             | 2035-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TRUST                                                              | MFRA TRUST MFRA 2022 RPL1 A1 144A                        | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6900487 | PA      | $6446134.07    | 0.07%             | 2061-08-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A3         | CUSIP: 17309RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1756665 | PA      | $1686280.68    | 0.02%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX2 M7         | CUSIP: 76110W2N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1644695 | PA      | $1681183.31    | 0.02%             | 2035-07-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2024-2                                              | DELL EQUIPMENT FINANCE TRUST DEFT 2024 2 A2 144A         | CUSIP: 24704EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1684195 | PA      | $1686075.76    | 0.02%             | 2030-08-22      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A       | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9906591 | PA      | $9916851.50    | 0.12%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A2 144A                      | CUSIP: 32115BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23206411 | PA      | $11728698.88   | 0.14%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFX 144A   | CUSIP: 46645WBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23176000 | PA      | $19339062.56   | 0.23%             | 2033-07-05      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A         | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        346 | PA      | $336.35        | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5340.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QO1175 FR 02/38 FIXED 3                | CUSIP: 3133WKJU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     776621 | PA      | $742433.03     | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 2B 144A        | CUSIP: 61764KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10787129 | PA      | $9768018.36    | 0.11%             | 2047-06-26      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884120 FN 05/36 FLOATING VAR                   | CUSIP: 31410BG57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2773 | PA      | $2840.82       | 0.00%             | 2036-05-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                               | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2019 4A A1RR 144A     | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    9750000 | PA      | $9752383.00    | 0.11%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $183338.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A2 144A     | CUSIP: 78436XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      19630 | PA      | $19634.86      | 0.00%             | 2028-05-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 4 M1 144A            | CUSIP: 89172UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201067 | PA      | $200162.97     | 0.00%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780370 FH 04/33 FLOATING VAR           | CUSIP: 31342AMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        455 | PA      | $464.06        | 0.00%             | 2033-04-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3        | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525710 | PA      | $400805.54     | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4                | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385705 | PA      | $369850.15     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A        | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     694894 | PA      | $695261.43     | 0.01%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2026-A                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2026 A A2A            | CUSIP: 34532WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31210000 | PA      | $31199681.97   | 0.36%             | 2029-01-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-6                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 6 A5           | CUSIP: 73316PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129147 | PA      | $125166.48     | 0.00%             | 2036-01-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A      | CUSIP: 126671ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88452 | PA      | $91715.87      | 0.00%             | 2032-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A2 144A    | CUSIP: 17311XAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8227503 | PA      | $7851583.18    | 0.09%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-552389.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERITAGE MORTGAGE LOAN TRUST 2005-2                                              | MERITAGE MORTGAGE LOAN TRUST MMLT 2005 2 M3              | CUSIP: 59001FCT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4261097 | PA      | $4200960.08    | 0.05%             | 2035-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6              | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3789232 | PA      | $3508723.81    | 0.04%             | 2035-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1          | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341274 | PA      | $336461.12     | 0.00%             | 2034-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A3B                 | CUSIP: 12669FX99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74559 | PA      | $65629.79      | 0.00%             | 2034-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2023-AA                                                   | CHASE AUTO OWNER TRUST CHAOT 2023 AA A3 144A             | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1618026 | PA      | $1632168.74    | 0.02%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6319 FN 09/42 FIXED 3.5                      | CUSIP: 31417DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35628 | PA      | $33641.39      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A       | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     678146 | PA      | $677867.66     | 0.01%             | 2052-06-17      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A4 144A          | CUSIP: 78437PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1107607.60    | 0.01%             | 2029-04-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88           | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     279869 | PA      | $280954.71     | 0.00%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-P1                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 P1 A1 144A     | CUSIP: 96043AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3952735 | PA      | $3952500.87    | 0.05%             | 2027-01-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                        | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1233 | PA      | $1161.62       | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 9A           | CUSIP: 863579BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246119 | PA      | $243229.84     | 0.00%             | 2034-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2432 FR 08/55 FIXED 5.5              | CUSIP: 31427PV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     422357 | PA      | $431797.32     | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1         | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10118 | PA      | $9864.69       | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A      | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1070816 | PA      | $1056428.58    | 0.01%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A        | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6447092 | PA      | $6453977.61    | 0.08%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A      | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2324944 | PA      | $2323792.91    | 0.03%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS15 A5         | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1012576 | PA      | $888039.51     | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF1                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF1 1A2          | CUSIP: 65536PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198880 | PA      | $34756.17      | 0.00%             | 2036-05-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3           | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     422793 | PA      | $423256.41     | 0.00%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2.46          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0038 FH 01/35 FLOATING VAR           | CUSIP: 3128NCBF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2005 | PA      | $2045.31       | 0.00%             | 2035-01-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A    | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170630 | PA      | $143748.67     | 0.00%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES COR 2001-SB1                                         | STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A5          | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1277 | PA      | $790.53        | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1                   | CUSIP: 126694YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7835351 | PA      | $7470451.15    | 0.09%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2026-NPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL1 A1 144A    | CUSIP: 69383TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1656725 | PA      | $1644546.96    | 0.02%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV1424 FN 04/55 FIXED 7                        | CUSIP: 3140MESN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3872932 | PA      | $4077720.50    | 0.05%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-RP1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A     | CUSIP: 92922FYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12655349 | PA      | $11868885.00   | 0.14%             | 2034-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A      | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5107021 | PA      | $4535049.02    | 0.05%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 AZ                                  | CUSIP: 31396R6F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4907 | PA      | $5034.14       | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 B 144A               | CUSIP: 89613GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5280000 | PA      | $5231912.40    | 0.06%             | 2038-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                                     | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A               | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     614034 | PA      | $614818.94     | 0.01%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 1B1                  | CUSIP: 36229RLX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     837544 | PA      | $637831.96     | 0.01%             | 2034-01-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-GP3                                                         | LEHMAN XS TRUST LXS 2006 GP3 1A1                         | CUSIP: 525228AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4619611 | PA      | $4430955.31    | 0.05%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A         | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892087 | PA      | $1893544.65    | 0.02%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $367638.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.77000 02/14/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-582990.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48310000 | PA      | $49189009.15   | 0.57%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A2 144A            | CUSIP: 80620BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1551658 | PA      | $1554506.17    | 0.02%             | 2028-11-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2003-1                                                      | PRIME MORTGAGE TRUST PRIME 2003 1 A15                    | CUSIP: 74160MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246356 | PA      | $227014.19     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 3A1                | CUSIP: 126694WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2967995 | PA      | $2704980.79    | 0.03%             | 2036-03-20      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 3 A3           | CUSIP: 10805NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     996086 | PA      | $996469.58     | 0.01%             | 2028-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 3A1        | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1476648 | PA      | $895623.75     | 0.01%             | 2036-06-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A             | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     787428 | PA      | $787819.12     | 0.01%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A    | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     895929 | PA      | $871933.57     | 0.01%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -73635000 | PA      | $-72630693.71  | -0.85%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5485                                                          | FREDDIE MAC FHR 5485 BF                                  | CUSIP: 3137HHLA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1453787 | PA      | $1467452.69    | 0.02%             | 2054-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A      | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1442285 | PA      | $1441559.57    | 0.02%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| DB MASTER FINANCE LLC 2017-1A                                                    | DB MASTER FINANCE LLC DNKN 2017 1A A2II 144A             | CUSIP: 233046AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     736000 | PA      | $729282.45     | 0.01%             | 2047-11-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7303 FN 08/52 FIXED 4                        | CUSIP: 3140N0DH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159544 | PA      | $151270.40     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 3AV3          | CUSIP: 23242EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1671962 | PA      | $1662430.77    | 0.02%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M5                        | CUSIP: 152314NF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1412578 | PA      | $1373062.11    | 0.02%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-182671.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $437841.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 NQM1 A1 144A    | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405860 | PA      | $2420408.56    | 0.03%             | 2069-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1              | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209805 | PA      | $216551.87     | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX6648 FR 02/55 FIXED 7                | CUSIP: 31426CL69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4144259 | PA      | $4363385.59    | 0.05%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -13000000 | PA      | $-12548120.52  | -0.15%            | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $773071.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2834 FR 10/55 FIXED 5.5              | CUSIP: 31427QEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2092310 | PA      | $2129382.27    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A    | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     596232 | PA      | $596434.83     | 0.01%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A8        | CUSIP: 92922F3N6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689168 | PA      | $635228.32     | 0.01%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A       | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     566078 | PA      | $575469.47     | 0.01%             | 2050-05-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4506600.22   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A1          | CUSIP: 41161PFR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36136 | PA      | $33800.07      | 0.00%             | 2034-08-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1           | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6191263 | PA      | $5647244.40    | 0.07%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A1          | CUSIP: 61748HWM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1870848 | PA      | $1197231.88    | 0.01%             | 2036-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-229156.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1897 FR 04/39 FIXED 4                | CUSIP: 3132AEDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126159 | PA      | $123460.36     | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 21A1       | CUSIP: 07387UCT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45343 | PA      | $28658.13      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2026-1 2026-1A                                                   | REACH FINANCIAL LLC REACH 2026 1A A 144A                 | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2657837 | PA      | $2658531.71    | 0.03%             | 2033-02-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2          | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96807 | PA      | $101458.46     | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2004-NC1                                                              | GSAA HOME EQUITY TRUST GSAA 2004 NC1 M2                  | CUSIP: 36228FC61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     391702 | PA      | $361117.53     | 0.00%             | 2033-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF3 A1 144A    | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614557 | PA      | $606032.21     | 0.01%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                   | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15499994 | PA      | $14231273.12   | 0.17%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A3          | CUSIP: 320276AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7448397 | PA      | $7375048.81    | 0.09%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A        | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1661279 | PA      | $1663712.40    | 0.02%             | 2067-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2                  | CUSIP: 12669GKG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49601 | PA      | $47083.32      | 0.00%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 1A1        | CUSIP: 456681AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2475146 | PA      | $1013567.21    | 0.01%             | 2037-07-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 9/21/23-3Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $494318.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6942* 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-106593.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SALOMON BROMTGE SEC VII 2003-HYB1                                                | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 HYB1 A          | CUSIP: 79549AYG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        302 | PA      | $290.40        | 0.00%             | 2033-09-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 5 M                     | CUSIP: 12669FXA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1459975 | PA      | $1166361.76    | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A       | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5297559 | PA      | $5349928.58    | 0.06%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A       | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1175336 | PA      | $1177233.01    | 0.01%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                     | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A                | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11700000 | PA      | $11734939.13   | 0.14%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-GEL1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL1 M3         | CUSIP: 86359BX30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465775 | PA      | $465221.02     | 0.01%             | 2034-12-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A         | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1939574 | PA      | $1940148.58    | 0.02%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3           | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151076 | PA      | $151040.65     | 0.00%             | 2035-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1449 FN 12/45 FIXED 4                        | CUSIP: 3140E5TF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48829 | PA      | $46987.14      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1          | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9401383 | PA      | $8006924.62    | 0.09%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PARK                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2018 PARK A 144A     | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1655000 | PA      | $1619518.12    | 0.02%             | 2038-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9690 FN 07/38 FIXED 3                        | CUSIP: 3140N2XU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608921 | PA      | $582115.40     | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT SMRT 2022 MINI A 144A                               | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25570000 | PA      | $25559347.54   | 0.30%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A       | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $505895.10     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-4                                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 4 A             | CUSIP: 759950AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6371 | PA      | $6014.05       | 0.00%             | 2033-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1329 FR 04/55 FIXED 7                | CUSIP: 31426KPP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608173 | PA      | $641461.76     | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 1A1                  | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7109106 | PA      | $3669805.59    | 0.04%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2025-INV4                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 INV4 A1 144A    | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1681188 | PA      | $1675252.90    | 0.02%             | 2070-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                               | GCAT GCAT 2019 RPL1 M2 144A                              | CUSIP: 36167CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1411375.80    | 0.02%             | 2068-10-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4                | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101508 | PA      | $99198.69      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                                         | SEQUOIA MORTGAGE TRUST SEMT 5 A                          | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8099 | PA      | $8064.65       | 0.00%             | 2026-10-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2            | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445993 | PA      | $438592.38     | 0.01%             | 2035-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2M1           | CUSIP: 161546GS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544437 | PA      | $547952.46     | 0.01%             | 2033-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AP3                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AP3 M1           | CUSIP: 65535VGB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5668829 | PA      | $5626743.18    | 0.07%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29594530 | PA      | $30593688.39   | 0.36%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A3 144A     | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1106327.64    | 0.01%             | 2029-08-10      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                   | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     939890 | PA      | $869214.47     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8809 FR 03/55 FIXED 7                | CUSIP: 31426FYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2713294 | PA      | $2876032.39    | 0.03%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2503 FR 06/55 FIXED 6.5              | CUSIP: 31427PX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1179505 | PA      | $1243246.02    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $43757.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-1                                             | MILL CITY MORTGAGE TRUST MCMLT 2017 1 B3 144A            | CUSIP: 59981HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $850524.20     | 0.01%             | 2058-11-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A2 144A     | CUSIP: 14688XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     187398 | PA      | $187586.13     | 0.00%             | 2028-05-10      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A  | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2585453 | PA      | $2299731.23    | 0.03%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2418 FN 08/42 FIXED VAR                      | CUSIP: 3138EJVL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56192 | PA      | $53007.07      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A           | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2094102 | PA      | $2091277.71    | 0.02%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES REMIC PASS-THROUGH CERTIFICATES TRUST SERIES 2005-5 | CITICORP MORTGAGE SECURITIES, CMSI 2005 5 B1             | CUSIP: 1729732F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1403810 | PA      | $911540.81     | 0.01%             | 2035-08-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA5                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA5 2A1        | CUSIP: 32051GPM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2117972 | PA      | $2008875.07    | 0.02%             | 2035-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6167 FN 02/48 FIXED 3.5                      | CUSIP: 3140H7Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4091.69       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1               | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        830 | PA      | $769.45        | 0.00%             | 2028-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.65000 02/08/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-696331.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7204 FR 11/54 FIXED 5.5              | CUSIP: 3132DVAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227435 | PA      | $232748.16     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972164 FH 01/35 FLOATING VAR           | CUSIP: 31336CMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1322 | PA      | $1359.17       | 0.00%             | 2035-01-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A3 144A     | CUSIP: 55286TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3038182 | PA      | $3067540.29    | 0.04%             | 2032-02-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-2                                              | SAXON ASSET SECURITIES TRUST SAST 2007 2 A2C             | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8172557 | PA      | $6069537.44    | 0.07%             | 2047-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                      | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5928512 | PA      | $5982791.81    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900681 | PA      | $402912.86     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                                      | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A          | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     780204 | PA      | $777580.74     | 0.01%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 01/04/22-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-373131.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2002-OPT1                                    | MASTR ASSET BACKED SECURITIES MABS 2002 OPT1 M5          | CUSIP: 57643LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3354327 | PA      | $3208907.54    | 0.04%             | 2032-11-25      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A3 144A          | CUSIP: 78437PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1104761 | PA      | $1107441.36    | 0.01%             | 2028-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                  | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $994168.46     | 0.01%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP JPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $87.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                                     | ACE SECURITIES CORP. ACE 2007 HE3 A1                     | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22201596 | PA      | $4674952.24    | 0.05%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A      | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     872937 | PA      | $878567.22     | 0.01%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A33          | CUSIP: 00703QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28797039 | PA      | $8747135.06    | 0.10%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4                | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393801 | PA      | $377612.82     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1302 FR 05/52 FIXED 3                | CUSIP: 3133BANT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1907099 | PA      | $1678455.91    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735448 FN 03/35 FLOATING VAR                   | CUSIP: 31402RBR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $469.92        | 0.00%             | 2035-03-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 7A4           | CUSIP: 863579Q92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49321 | PA      | $42541.89      | 0.00%             | 2036-02-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-5                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 5 A1                    | CUSIP: 81744FBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26474 | PA      | $24803.84      | 0.00%             | 2034-06-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR6                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR6 2A1A       | CUSIP: 32051GJ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1391573 | PA      | $691367.85     | 0.01%             | 2036-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2019 3A                                                             | VOYA CLO LTD VOYA 2019 3A AR 144A                        | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18917507 | PA      | $18936512.57   | 0.22%             | 2032-10-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2026-5C40                                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2026 5C40 A2        | CUSIP: 05557AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1300103.48    | 0.02%             | 2059-02-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A A1 144A       | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12763987 | PA      | $12424717.31   | 0.14%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3                | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10261 | PA      | $10084.44      | 0.00%             | 2035-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8118 FN 10/46 FIXED 3                        | CUSIP: 3138WJAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20809 | PA      | $18771.38      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A            | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3241054.08    | 0.04%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A   | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2735846 | PA      | $2727765.26    | 0.03%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H06 FL           | CUSIP: 38382YPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165943 | PA      | $165804.54     | 0.00%             | 2072-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0023 FN 04/53 FIXED 6.5                      | CUSIP: 3140NGAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144670 | PA      | $150881.89     | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1         | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303331 | PA      | $290167.89     | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A            | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $711837.14     | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 2A2                | CUSIP: 07386HDM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82444 | PA      | $80943.47      | 0.00%             | 2033-12-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC1216 FN 10/55 FIXED 5.5                      | CUSIP: 3140Y7K64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2854228 | PA      | $2909439.47    | 0.03%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                               | PAGAYA POINT OF SALE HOLDINGS POSH 2025 1 A 144A         | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1806799.68    | 0.02%             | 2034-01-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A1         | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24958 | PA      | $30923.61      | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-2                                                   | FREMONT HOME LOAN TRUST FHLT 2005 2 M5                   | CUSIP: 35729PLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12570180 | PA      | $11152500.88   | 0.13%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A3 144A      | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2896368 | PA      | $2894812.56    | 0.03%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 26-1A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2026 1A A2 144A      | CUSIP: 37989DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $897662.70     | 0.01%             | 2032-02-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796742 | PA      | $752607.47     | 0.01%             | 2035-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD 2015-1A                                          | SHENTON AIRCRAFT INVESTMENT LT SHNTN 2015 1A A 144A      | CUSIP: 82321UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    4881348 | PA      | $4881348.11    | 0.06%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1          | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172257 | PA      | $156376.29     | 0.00%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 3A4          | CUSIP: 761119AS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6022681 | PA      | $2473700.16    | 0.03%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-6A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 6A A 144A      | CUSIP: 05377RHG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1031799.80    | 0.01%             | 2029-12-20      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/07/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-81863.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  818695000 | PA      | $806473488.29  | 9.38%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A     | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     705030 | PA      | $706467.54     | 0.01%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                              | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A     | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     801382 | PA      | $804341.01     | 0.01%             | 2065-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                                 | BANK5 BANK5 2026 5YR20 A2                                | CUSIP: 06650JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49480000 | PA      | $49287507.96   | 0.57%             | 2059-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6          | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43671 | PA      | $43322.66      | 0.00%             | 2033-03-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM3 A1 144A    | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6063485 | PA      | $6056022.40    | 0.07%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1012602523 | PA      | $1046710479.58 | 12.18%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 26-1A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2026 1A A1 144A      | CUSIP: 37989DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     528925 | PA      | $528873.46     | 0.01%             | 2027-01-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A3 144A               | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1849659 | PA      | $1694743.15    | 0.02%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1               | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268155 | PA      | $773403.96     | 0.01%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-126920.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                              | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A         | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1357561 | PA      | $1365167.91    | 0.02%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 2A1            | CUSIP: 878048AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5764833 | PA      | $1922597.31    | 0.02%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                                               | FANNIE MAE FNR 2001 62 FC                                | CUSIP: 31392ADL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8488 | PA      | $8511.48       | 0.00%             | 2031-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 A B1 144A       | CUSIP: 17320XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445351 | PA      | $435933.04     | 0.01%             | 2042-05-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 B1         | CUSIP: 939336PS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315243 | PA      | $302718.12     | 0.00%             | 2033-02-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                                     | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                   | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6999470.94    | 0.08%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M2 144A            | CUSIP: 62955VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1721664.40    | 0.02%             | 2061-07-25      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.50 9/16/23-3Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-528457.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A         | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1863254 | PA      | $1877160.50    | 0.02%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF2 A1 144A    | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714520 | PA      | $700622.59     | 0.01%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 4A5             | CUSIP: 225470Q30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410105 | PA      | $249724.03     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4            | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47529000 | PA      | $42006396.36   | 0.49%             | 2047-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2661 FN 07/52 FIXED VAR                      | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3925956 | PA      | $3800229.24    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 3A1        | CUSIP: 02146BAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     929410 | PA      | $790792.74     | 0.01%             | 2046-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 5A1           | CUSIP: 05951EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316346 | PA      | $234623.49     | 0.00%             | 2047-01-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                             | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A           | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1224208.56    | 0.01%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A       | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255117 | PA      | $256959.15     | 0.00%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $791980.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1802 | PA      | $1799.60       | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                              | MFRA TRUST MFRA 2023 NQM2 A1 144A                        | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4446770 | PA      | $4423558.89    | 0.05%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $116551.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR                | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7197 | PA      | $7198.21       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF6 A1 144A    | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2316454 | PA      | $2297260.67    | 0.03%             | 2055-12-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1         | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28645 | PA      | $26627.22      | 0.00%             | 2036-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                         | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1            | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      69607 | PA      | $69605.28      | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX4                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX4 2A1        | CUSIP: 456687AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4778048 | PA      | $4482371.57    | 0.05%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1          | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     792877 | PA      | $800476.01     | 0.01%             | 2044-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -25594630 | PA      | $-26060328.90  | -0.30%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 12 M1          | CUSIP: 07384M6U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286074 | PA      | $236326.49     | 0.00%             | 2035-02-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 OA1 2A1                 | CUSIP: 3622NAAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1948321 | PA      | $867487.16     | 0.01%             | 2037-05-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A          | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2245601 | PA      | $2322949.19    | 0.03%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                         | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                 | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2903968.30    | 0.03%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3562 FN 04/38 FIXED VAR                      | CUSIP: 3140XJ5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47096 | PA      | $45022.51      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6B        | CUSIP: 17307GVM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165538 | PA      | $156429.28     | 0.00%             | 2035-08-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 A 144A               | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26196397 | PA      | $25957530.01   | 0.30%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R4                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R4 M2           | CUSIP: 03072SRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2385890 | PA      | $2264754.36    | 0.03%             | 2034-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   68500000 | PA      | $60075019.23   | 0.70%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M1 144A      | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5626018 | PA      | $4325223.00    | 0.05%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54011 FG 02/48 FIXED 3.5              | CUSIP: 3132XWN56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55365 | PA      | $51728.57      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555715 FN 07/33 FLOATING VAR                   | CUSIP: 31385XK48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $698.11        | 0.00%             | 2033-07-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 M                  | CUSIP: 12669GWW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1393040 | PA      | $1242350.68    | 0.01%             | 2035-05-20      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A4 144A     | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2026555.60    | 0.02%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 3A1          | CUSIP: 05949ADQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269853 | PA      | $267580.40     | 0.00%             | 2034-05-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL, INC 26-FL3                                                  | BRIGHTSPIRE CAPITAL  INC BRSP 2026 FL3 A 144A            | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5150000 | PA      | $5140583.53    | 0.06%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8166 FN 02/27 FIXED 3                        | CUSIP: 3138XYCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7162 | PA      | $7123.95       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3937 FR 01/56 FIXED 5.5              | CUSIP: 31427RLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5794100 | PA      | $5932536.73    | 0.07%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                                         | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                   | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750462 | PA      | $1751808.02    | 0.02%             | 2034-11-16      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 8A1            | CUSIP: 878048AM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608608 | PA      | $6.09          | 0.00%             | 2036-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                  | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A            | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     883328 | PA      | $894684.13     | 0.01%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2198 FR 05/53 FIXED 5.5              | CUSIP: 3133C2NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13105965 | PA      | $13225469.80   | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1         | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11179554 | PA      | $11222333.75   | 0.13%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A         | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600625.83     | 0.01%             | 2034-07-17      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781294 FH 03/34 FLOATING VAR           | CUSIP: 31349SNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3004 | PA      | $3074.27       | 0.00%             | 2034-03-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/17/26-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $576725.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A       | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2508319.00    | 0.03%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                              | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A         | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5504677 | PA      | $5324527.10    | 0.06%             | 2037-12-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL5 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL5 A1 144A    | CUSIP: 69383PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9448588 | PA      | $9253000.95    | 0.11%             | 2065-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A         | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364998 | PA      | $1372814.91    | 0.02%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                                 | ROMARK CLO LTD RMRK 2021 5A AR 144A                      | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7800000 | PA      | $7795067.36    | 0.09%             | 2035-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A            | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7883046 | PA      | $7586658.04    | 0.09%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1511              | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1511 X1            | CUSIP: 3137FLYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66173054 | PA      | $2857319.39    | 0.03%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A    | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413474 | PA      | $412803.84     | 0.00%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A           | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     147080 | PA      | $147262.07     | 0.00%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A1               | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15464 | PA      | $15253.19      | 0.00%             | 2028-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1              | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200872 | PA      | $196155.41     | 0.00%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805386 FN 01/35 FLOATING VAR                   | CUSIP: 31406BXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1387 | PA      | $1408.49       | 0.00%             | 2035-01-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B       | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2421777 | PA      | $2192781.03    | 0.03%             | 2047-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A           | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715597 | PA      | $712713.91     | 0.01%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D             | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18599498 | PA      | $7522399.72    | 0.09%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                                   | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A     | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4452270 | PA      | $4430286.18    | 0.05%             | 2055-11-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 B1            | CUSIP: 576433LP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     786134 | PA      | $489307.54     | 0.01%             | 2034-05-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                               | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A     | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2650465 | PA      | $2609259.43    | 0.03%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 1M1           | CUSIP: 161546FH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1016 | PA      | $916.85        | 0.00%             | 2032-09-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR5 TRUST                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR5 B1          | CUSIP: 92922FSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95913 | PA      | $94495.45      | 0.00%             | 2034-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A             | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3312362 | PA      | $3320909.61    | 0.04%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A3 144A         | CUSIP: 505920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     476954 | PA      | $478781.24     | 0.01%             | 2028-08-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A     | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     650647 | PA      | $653720.91     | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M2          | CUSIP: 75406WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18508000 | PA      | $17064135.40   | 0.20%             | 2036-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4317 FN 01/49 FIXED 4                        | CUSIP: 3140JLYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10642 | PA      | $10220.98      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 2A1        | CUSIP: 22541QT85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70654 | PA      | $70739.10      | 0.00%             | 2033-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-VIS1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 VIS1 A1 144A         | CUSIP: 46660PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3078258 | PA      | $3054854.74    | 0.04%             | 2066-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4615363.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-83608.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS15 A1         | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14888476 | PA      | $13057342.27   | 0.15%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5067 FR 03/54 FIXED 5.5              | CUSIP: 3132DSTY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308339 | PA      | $314389.93     | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A3           | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4652782 | PA      | $4681076.95    | 0.05%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2D             | CUSIP: 617451EV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4853988 | PA      | $4045006.72    | 0.05%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B       | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323775 | PA      | $285329.46     | 0.00%             | 2046-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ACORE ISSUER, LLC 26-FL1                                                         | ACORE ISSUER, LLC ACORE 2026 FL1 A 144A                  | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13200000 | PA      | $13191909.72   | 0.15%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5387 FR 01/53 FIXED 5.5              | CUSIP: 3133BS6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     588081 | PA      | $592724.29     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AV4        | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3532320 | PA      | $3379900.76    | 0.04%             | 2047-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1          | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1927777 | PA      | $1496473.51    | 0.02%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A  | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42818714 | PA      | $38083816.17   | 0.44%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5737570.04    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-R1                                               | VERUS SECURITIZATION TRUST VERUS 2026 R1 A1 144A         | CUSIP: 924932AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     685934 | PA      | $680415.85     | 0.01%             | 2067-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                            | BX TRUST BX 2022 LP2 A 144A                              | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163298 | PA      | $163308.96     | 0.00%             | 2039-02-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                                       | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A               | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   11250000 | PA      | $11253319.88   | 0.13%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A1 144A       | CUSIP: 69548WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     924204 | PA      | $924287.18     | 0.01%             | 2026-08-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                                      | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A            | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3798459.71    | 0.04%             | 2034-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A     | CUSIP: 16678RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173865 | PA      | $165532.90     | 0.00%             | 2035-01-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-488927.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2019-1A                                         | DOMINOS PIZZA MASTER ISSUER LL DPABS 2019 1A A2 144A     | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1824000 | PA      | $1754783.03    | 0.02%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-A               | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 A B1 144A      | CUSIP: 16678RBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499271 | PA      | $435151.23     | 0.01%             | 2035-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A3 144A        | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1513826.55    | 0.02%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7058 FN 12/47 FIXED 3.5                      | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7502386 | PA      | $6997623.69    | 0.08%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4          | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2297960.59    | 0.03%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                          | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1       | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332713 | PA      | $251383.37     | 0.00%             | 2035-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 4 A2           | CUSIP: 802923AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7402548 | PA      | $7406921.04    | 0.09%             | 2029-01-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A1                   | CUSIP: 126694YM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4913162 | PA      | $4626717.51    | 0.05%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A           | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100340 | PA      | $2105669.46    | 0.02%             | 2055-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A   | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5995177 | PA      | $5390517.46    | 0.06%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7117 FR 10/54 FIXED 6                | CUSIP: 3132DU4A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     569839 | PA      | $592837.10     | 0.01%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR                | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        420 | PA      | $419.46        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1904 FN 02/46 FIXED 4                        | CUSIP: 3140EWDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34565 | PA      | $33184.84      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2B         | CUSIP: 81379EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17590150 | PA      | $13800705.90   | 0.16%             | 2037-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                             | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12900000 | PA      | $11838049.81   | 0.14%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5002 FR 07/39 FIXED 4                | CUSIP: 3133KYRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1828275 | PA      | $1787607.96    | 0.02%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A       | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1550029 | PA      | $1563026.58    | 0.02%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1         | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1305286 | PA      | $990155.05     | 0.01%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2              | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4603 | PA      | $4244.98       | 0.00%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2003-AR11                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR11 B1         | CUSIP: 92922FJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54605 | PA      | $45614.66      | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2            | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9794 | PA      | $9640.39       | 0.00%             | 2034-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                                          | AGL CLO 14, LTD. AGL 2021 14A AR 144A                    | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $6756834.71    | 0.08%             | 2034-12-02      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A3 144A             | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2301459.12    | 0.03%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9007 FN 08/54 FIXED 6                        | CUSIP: 3140QVAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3177336 | PA      | $3290134.63    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                                                 | DLLMT LLC DLLMT 2026 1A A2 144A                          | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $499753.90     | 0.01%             | 2028-07-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2025-1A                                               | BANK OF AMERICA AUTO TRUST BAAT 2025 1A A2A 144A         | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6179519 | PA      | $6185996.10    | 0.07%             | 2027-11-22      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A            | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     493647 | PA      | $495275.86     | 0.01%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A          | CUSIP: 63941TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     588534 | PA      | $551753.91     | 0.01%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1         | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382466 | PA      | $355667.00     | 0.00%             | 2036-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1        | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   55133973 | PA      | $43751569.45   | 0.51%             | 2037-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A       | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     255117 | PA      | $256865.80     | 0.00%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                                              | GSAMP TRUST GSAMP 2006 S6 A1B                            | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5042185 | PA      | $21648.62      | 0.00%             | 2036-10-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 3A A2 144A          | CUSIP: 37989YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4113716 | PA      | $4118301.08    | 0.05%             | 2028-07-17      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21619430.75  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W8                                                    | ARGENT SECURITIES INC. ARSI 2004 W8 M3                   | CUSIP: 040104JQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230623 | PA      | $1068952.72    | 0.01%             | 2034-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A       | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11639926 | PA      | $11756605.98   | 0.14%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 6R 2A7 144A       | CUSIP: 12643PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5679148 | PA      | $4799861.77    | 0.06%             | 2048-05-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A      | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3654620 | PA      | $3416279.63    | 0.04%             | 2063-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5355 FN 05/54 FIXED 6.5                      | CUSIP: 31418E5R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91083 | PA      | $94228.99      | 0.00%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                               | RCKT TRUST RCKTL 2025 2A A 144A                          | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     578707 | PA      | $578851.63     | 0.01%             | 2034-11-27      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                             | RAAC SERIES RAAC 2005 SP2 1M4                            | CUSIP: 76112BE89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $501928.40     | 0.01%             | 2044-05-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 2B1         | CUSIP: 07384M4W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     803946 | PA      | $759001.83     | 0.01%             | 2035-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-H                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 H1 2A1         | CUSIP: 59025TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78720 | PA      | $77256.10      | 0.00%             | 2037-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB8                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB8 2M                 | CUSIP: 12669GGS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1635662 | PA      | $1554457.21    | 0.02%             | 2035-01-20      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 1A2            | CUSIP: 88522YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14204890 | PA      | $7805835.56    | 0.09%             | 2037-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A        | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     486259 | PA      | $487177.64     | 0.01%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-101871.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 1A1         | CUSIP: 45660LGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1157338 | PA      | $1031894.94    | 0.01%             | 2035-05-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 2A2           | CUSIP: 161546FM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        133 | PA      | $133.09        | 0.00%             | 2033-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40500 03/01/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-50063.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735466 FN 03/35 FLOATING VAR                   | CUSIP: 31402RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2613 | PA      | $2652.74       | 0.00%             | 2035-03-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A2                       | CUSIP: 81743VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3536 | PA      | $3358.94       | 0.00%             | 2027-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-NC1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1          | CUSIP: 04542BAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115159 | PA      | $118390.75     | 0.00%             | 2032-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A       | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     201759 | PA      | $202805.12     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                      | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40900000 | PA      | $40953257.94   | 0.48%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4           | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2670333 | PA      | $2645344.09    | 0.03%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A             | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69173 | PA      | $67331.25      | 0.00%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67444 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-583827.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                                   | LCM LTD PARTNERSHIP LCM 35A A1R 144A                     | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4393400.22    | 0.05%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 1A1                | CUSIP: 12669D2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38522 | PA      | $37491.47      | 0.00%             | 2033-07-19      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6431 FN 04/55 FIXED 7                        | CUSIP: 3140B7ED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4435779 | PA      | $4709139.50    | 0.05%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A3          | CUSIP: 46602WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20732602 | PA      | $5555358.73    | 0.06%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A      | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     612281 | PA      | $616547.79     | 0.01%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                       | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF4 A1 144A    | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     622452 | PA      | $612789.45     | 0.01%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                          | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 7 A1 144A       | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1821962 | PA      | $1817279.27    | 0.02%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 D A3             | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5019660.50    | 0.06%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1266602.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 1 A3                  | CUSIP: 14318WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1940919 | PA      | $1952082.85    | 0.02%             | 2028-10-16      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2838 FR 10/55 FIXED 5.5              | CUSIP: 31427QEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1810117 | PA      | $1851065.42    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-1                                                     | LEHMAN MORTGAGE TRUST LMT 2006 1 1A5                     | CUSIP: 52520MFB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199107 | PA      | $90391.18      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                             | VOYA CLO LTD VOYA 2019 2A AR 144A                        | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500477 | PA      | $1499857.33    | 0.02%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A         | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4708 | PA      | $4503.82       | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                 | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82733 | PA      | $78541.97      | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C                                    | CPS AUTO TRUST CPS 2025 C A 144A                         | CUSIP: 12634SAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1569337 | PA      | $1572570.29    | 0.02%             | 2029-03-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1          | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257647 | PA      | $240671.33     | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.87200 04/06/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1411972.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                    | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                    | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3807721 | PA      | $3790454.73    | 0.04%             | 2049-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                      | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2691176 | PA      | $2716088.94    | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2         | CUSIP: 17309MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5499973 | PA      | $5471546.32    | 0.06%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HARVEST US CLO 2023-1 LTD                                                        | HARVEST US CLO LTD HARUS 2023 1A A1R 144A                | CUSIP: 417923AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   11400000 | PA      | $11391531.62   | 0.13%             | 2037-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR6                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR6 CB1         | CUSIP: 22541SPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1559718 | PA      | $1547920.49    | 0.02%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0277 FN 04/55 FIXED 6.5                      | CUSIP: 3140Y6JX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     845260 | PA      | $891104.86     | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A          | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21523040 | PA      | $21705047.77   | 0.25%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2          | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7736708 | PA      | $7731668.77    | 0.09%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3298 FR 11/55 FIXED 5.5              | CUSIP: 31427QUY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     735897 | PA      | $750338.74     | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-13AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 13AX A3          | CUSIP: 61750PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1168269 | PA      | $322832.42     | 0.00%             | 2036-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A        | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12600000 | PA      | $12708838.80   | 0.15%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2025 H9 A1 144A               | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3690852 | PA      | $3677267.73    | 0.04%             | 2070-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A        | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1039952 | PA      | $1035246.79    | 0.01%             | 2069-04-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A      | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4572607 | PA      | $4378955.13    | 0.05%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 4                                  | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49800000 | PA      | $45077753.84   | 0.52%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735653 FN 10/44 FLOATING VAR                   | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2177 | PA      | $2178.83       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A       | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2864360 | PA      | $2885517.51    | 0.03%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3584 FN 11/55 FIXED VAR                      | CUSIP: 3140W36W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1991052 | PA      | $2069880.45    | 0.02%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TRUST 2003-WMC2                                         | MASTR ASSET BACKED SECURITIES MABS 2003 WMC2 M6          | CUSIP: 57643LCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590798 | PA      | $624373.67     | 0.01%             | 2033-08-25      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                                    | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A      | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97043 | PA      | $96819.82      | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2025-1A                                              | FCCU AUTO RECEIVABLES TRUST FCCU 2025 1A A2 144A         | CUSIP: 31424YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5116357 | PA      | $5128347.45    | 0.06%             | 2029-01-16      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1435 FR 05/52 FIXED 3                | CUSIP: 3133BASY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     470462 | PA      | $414521.76     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AR1 5M1          | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573705 | PA      | $704363.74     | 0.01%             | 2034-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A           | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1051610 | PA      | $1061187.67    | 0.01%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2C        | CUSIP: 59023AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26345627 | PA      | $9967251.60    | 0.12%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A        | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1790982 | PA      | $1684227.19    | 0.02%             | 2034-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                               | CARVAL CLO LTD CARVL 2019 2A AR2 144A                    | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5233976 | PA      | $5230646.20    | 0.06%             | 2032-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2026-1A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2026 1A A2            | CUSIP: 30168HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2399224.08    | 0.03%             | 2028-09-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB4 A2B        | CUSIP: 1248MEAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     787246 | PA      | $777850.77     | 0.01%             | 2037-04-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5             | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $7625055.13    | 0.09%             | 2036-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2025-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2025 1 A1 144A      | CUSIP: 03067FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     555051 | PA      | $555129.19     | 0.01%             | 2026-11-18      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/12/23-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-126753.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA8                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA8 1A1        | CUSIP: 32051GWC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426581 | PA      | $178376.06     | 0.00%             | 2035-09-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 CB7          | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85762 | PA      | $79432.38      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 42A AR 144A                    | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8700000 | PA      | $8710615.91    | 0.10%             | 2034-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0053 FH 02/35 FLOATING VAR           | CUSIP: 3128NCBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2307 | PA      | $2353.63       | 0.00%             | 2035-02-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A2B        | CUSIP: 17309PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8719302 | PA      | $8037918.88    | 0.09%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-7N                                                          | LEHMAN XS TRUST LXS 2005 7N 1A1A                         | CUSIP: 525221EM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330368 | PA      | $2237192.45    | 0.03%             | 2035-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                   | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1016 | PA      | $1029.05       | 0.00%             | 2035-02-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A           | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9795774 | PA      | $9718047.72    | 0.11%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 2A2         | CUSIP: 25151XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4094071 | PA      | $3095696.32    | 0.04%             | 2047-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| NAVIENT EDUCATION LOAN TRUST 2025-A                                              | NAVIENT EDUCATION LOAN TRUST NAVEL 2025 A A 144A         | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2360416 | PA      | $2367348.74    | 0.03%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM4 A1 144A         | CUSIP: 46660HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     927492 | PA      | $924311.37     | 0.01%             | 2066-03-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUNDING TRUST 2005-HY1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 HY1 M2          | CUSIP: 39538WBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5069189 | PA      | $4935465.13    | 0.06%             | 2035-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2        | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649338 | PA      | $675641.32     | 0.01%             | 2035-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST 2008-2                                                    | SLC STUDENT LOAN TRUST SLCLT 2008 2 A4                   | CUSIP: 78444NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1434886 | PA      | $1423197.19    | 0.02%             | 2040-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                               | BAIN CAPITAL CREDIT CLO LIMIT BCC 2021 3A AR 144A        | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4002679.84    | 0.05%             | 2034-07-24      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1           | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     277141 | PA      | $242444.75     | 0.00%             | 2046-10-20      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  196510000 | PA      | $193422967.42  | 2.25%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-3                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2007 3 A1                  | CUSIP: 05568QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   58000954 | PA      | $54080536.14   | 0.63%             | 2037-07-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11                                                               | BX TRUST 2019 OC11 BX 2019 OC11 A 144A                   | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2726000 | PA      | $2575938.33    | 0.03%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A              | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     493574 | PA      | $480890.96     | 0.01%             | 2037-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8871 FN 05/49 FIXED 3.5                      | CUSIP: 3140JR2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35947 | PA      | $33671.41      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITY-PEACE PARK CLO LTD 2022-1A                                                 | UNITY PEACE PARK CLO, LTD. UNPPK 2022 1A A1R 144A        | CUSIP: 913318AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   12100000 | PA      | $12103396.47   | 0.14%             | 2035-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                           | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                   | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    9200000 | PA      | $9200786.42    | 0.11%             | 2035-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/22/23-8Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-483193.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-4A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 4A A 144A      | CUSIP: 05377RGY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2855238.96    | 0.03%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP JPS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5224.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A        | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5240741 | PA      | $5238696.86    | 0.06%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3         | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659145 | PA      | $573284.65     | 0.01%             | 2036-06-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |  164471484 | PA      | $1601787778.57 | 18.64%            |  |  |  | No            |                  1 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A            | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2099836 | PA      | $2103305.10    | 0.02%             | 2047-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A        | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58379 | PA      | $57470.13      | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES COR 2001-SB1                                         | STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A2          | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        248 | PA      | $246.95        | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                  | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14619 | PA      | $14017.22      | 0.00%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 06/26 0.00000                              | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34405000 | PA      | $34096086.10   | 0.40%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-2A                                                      | AFFIRM MASTER TRUST AFRMT 2025 2A A 144A                 | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7400000 | PA      | $7425046.04    | 0.09%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -99 | NC      | $369879.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 M1                 | CUSIP: 66989EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10395467 | PA      | $9811837.72    | 0.11%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A  | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3483947 | PA      | $3083092.13    | 0.04%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A     | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3726698 | PA      | $3717810.51    | 0.04%             | 2054-09-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                            | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A         | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8344753.60    | 0.10%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16551781.48   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A       | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     515045 | PA      | $516372.72     | 0.01%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A         | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $505472.20     | 0.01%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV2           | CUSIP: 126670HK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3453667 | PA      | $3421218.13    | 0.04%             | 2036-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-GEL2                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 M2         | CUSIP: 86359DAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181983 | PA      | $194449.68     | 0.00%             | 2035-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 2A         | CUSIP: 36185N6N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668879 | PA      | $630482.87     | 0.01%             | 2035-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                                    | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                  | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6708976.79    | 0.08%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2684                                                                 | FREDDIE MAC FHR 2684 ZN                                  | CUSIP: 31394L5S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10182 | PA      | $9915.01       | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1                  | CUSIP: 36229RLL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        267 | PA      | $264.87        | 0.00%             | 2034-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-468.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A28              | CUSIP: 46631NBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2345071 | PA      | $693900.79     | 0.01%             | 2037-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4                | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109553 | PA      | $107062.93     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847003 FH 03/32 FLOATING VAR           | CUSIP: 3128HDX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5594 | PA      | $5667.57       | 0.00%             | 2032-03-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                          | ACHV ABS TRUST ACHV 2024 3AL A 144A                      | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     172274 | PA      | $173371.07     | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A      | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29933716 | PA      | $30107630.91   | 0.35%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                          | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A       | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2904538.21    | 0.03%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-14SL                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 14SL A1          | CUSIP: 61749SAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538449 | PA      | $34121.28      | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A1                 | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4222423 | PA      | $4251333.18    | 0.05%             | 2034-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                        | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9247 | PA      | $8910.61       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA2921 FN 09/55 FIXED VAR                      | CUSIP: 3140W3G78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     594770 | PA      | $606007.67     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A       | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9348602 | PA      | $9067292.42    | 0.11%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2025-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2025 1 A2A 144A     | CUSIP: 03067FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4003153.60    | 0.05%             | 2029-03-19      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2277                                                                 | FREDDIE MAC FHR 2277 B                                   | CUSIP: 3133TQU47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        727 | PA      | $769.34        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A3         | CUSIP: 86359LBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95159 | PA      | $91818.31      | 0.00%             | 2034-07-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67951 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-481401.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A      | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6872887 | PA      | $6820130.63    | 0.08%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6          | CUSIP: 05949AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60981 | PA      | $59437.34      | 0.00%             | 2034-06-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 3 A2           | CUSIP: 107920AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     590142 | PA      | $590647.13     | 0.01%             | 2028-02-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A3          | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3192207 | PA      | $3192458.20    | 0.04%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A1 144A      | CUSIP: 39571WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1751521 | PA      | $1752915.95    | 0.02%             | 2060-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 1A1         | CUSIP: 86363DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     639848 | PA      | $625820.59     | 0.01%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A3 144A                     | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     987214 | PA      | $993987.64     | 0.01%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H26 FC           | CUSIP: 38376RN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     436106 | PA      | $439043.08     | 0.01%             | 2066-12-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/29 2.375                              | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8900000 | PA      | $8522619.17    | 0.10%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                                | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A           | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        173 | PA      | $173.15        | 0.00%             | 2030-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                                  | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                 | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     261332 | PA      | $261457.24     | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A              | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141174 | PA      | $144186.26     | 0.00%             | 2040-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-RM1                                                     | ACE SECURITIES CORP. ACE 2004 RM1 M1                     | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6886 | PA      | $6855.96       | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A   | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5567127 | PA      | $4993481.63    | 0.06%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 2B1          | CUSIP: 07384M3N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160536 | PA      | $147450.55     | 0.00%             | 2034-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M2            | CUSIP: 63860HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5632000 | PA      | $5505091.33    | 0.06%             | 2037-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A            | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7006033.65    | 0.08%             | 2034-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5846 FN 01/46 FIXED 4                        | CUSIP: 3140EAP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57359 | PA      | $55776.99      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A1 144A               | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2772136 | PA      | $2530614.03    | 0.03%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080378 G2 02/30 FLOATING VAR                | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4007 | PA      | $4016.20       | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A     | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $932420.50     | 0.01%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                 | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        712 | PA      | $714.84        | 0.00%             | 2035-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5064 FN 05/38 FIXED 3                        | CUSIP: 31418ETW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61435 | PA      | $58730.96      | 0.00%             | 2038-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE6 A2              | CUSIP: 61744CFA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5698356 | PA      | $5415240.74    | 0.06%             | 2034-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A3 144A         | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17866 | PA      | $17343.93      | 0.00%             | 2063-10-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $139223.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2024 INV1 A1 144A       | CUSIP: 92540FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9491306 | PA      | $9553986.10    | 0.11%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3743 FN 08/39 FIXED 4                        | CUSIP: 31418DER9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58732 | PA      | $57385.39      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB5         | CUSIP: 9393365C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1051395 | PA      | $938768.22     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A   | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510372 | PA      | $499192.41     | 0.01%             | 2033-07-05      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775198 FN 05/34 FLOATING VAR                   | CUSIP: 31404QGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7238 | PA      | $7367.23       | 0.00%             | 2034-05-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M2                   | CUSIP: 437084GS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2064493 | PA      | $2058671.38    | 0.02%             | 2035-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A         | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141006 | PA      | $120814.70     | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 4 A                     | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107582 | PA      | $102055.95     | 0.00%             | 2034-05-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                        | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23913 | PA      | $22749.88      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7891 FN 03/46 FIXED 4                        | CUSIP: 3140F3XV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245319 | PA      | $236020.92     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 420212 FH 08/31 FLOATING VAR           | CUSIP: 31346AGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3385 | PA      | $3438.91       | 0.00%             | 2031-08-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                        | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A                | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3504759.51    | 0.04%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM6                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM6 A1 144A     | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     944498 | PA      | $942873.85     | 0.01%             | 2065-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A      | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     660676 | PA      | $663250.79     | 0.01%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4           | CUSIP: 23243HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14078664 | PA      | $13355328.96   | 0.16%             | 2047-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A   | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2109875 | PA      | $2111473.68    | 0.02%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4            | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1822091.45    | 0.02%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                                   | LUMINENT MORTGAGE TRUST LUM 2006 3 12A1                  | CUSIP: 55027AAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1389015 | PA      | $1260355.87    | 0.01%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A       | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     612232 | PA      | $617447.97     | 0.01%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                    | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10300000 | PA      | $10312609.67   | 0.12%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                               | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300C 144A        | CUSIP: 08163DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8809000 | PA      | $6297991.91    | 0.07%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                        | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     373807 | PA      | $358209.54     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7900000 | PA      | $7905312.99    | 0.09%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                           | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1         | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8405 | PA      | $8450.11       | 0.00%             | 2033-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A3             | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1789766 | PA      | $1790681.51    | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1            | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575514 | PA      | $571225.57     | 0.01%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 3 A1 144A       | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798284 | PA      | $796633.40     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A   | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3238870 | PA      | $2838777.25    | 0.03%             | 2033-07-05      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1         | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     358807 | PA      | $159605.12     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9349 FR 09/52 FIXED 4                | CUSIP: 3133BKL64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191608 | PA      | $181741.14     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2D             | CUSIP: 61748LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5166470 | PA      | $4645686.89    | 0.05%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5217 FN 12/53 FIXED 6.5                      | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41214484 | PA      | $42638038.13   | 0.50%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5752 FN 11/47 FIXED 3.5                      | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342176 | PA      | $319295.87     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2003-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1          | CUSIP: 542514EE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481936 | PA      | $478292.97     | 0.01%             | 2033-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 6 M                  | CUSIP: 07386HEL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152272 | PA      | $144674.06     | 0.00%             | 2034-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834927 FN 07/35 FLOATING VAR                   | CUSIP: 31407MSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1303 | PA      | $1340.37       | 0.00%             | 2035-07-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| RISERVA CLO LTD 2016-3A                                                          | RISERVA CLO, LTD. RSRVA 2016 3A AR3 144A                 | CUSIP: 76761RBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5003304.70    | 0.06%             | 2034-01-18      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31982723.26   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 3A1          | CUSIP: 41161PGK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2974 | PA      | $2878.28       | 0.00%             | 2034-11-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7531 FN 09/28 FIXED VAR                      | CUSIP: 3138EQLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11979 | PA      | $11892.63      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2                        | GM FINANCIAL SECURITIZED TERM GMCAR 2023 2 A3            | CUSIP: 362583AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     461715 | PA      | $462136.19     | 0.01%             | 2028-02-16      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                               | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14800000 | PA      | $13865952.76   | 0.16%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555817 FN 09/33 FLOATING VAR                   | CUSIP: 31385XPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.07         | 0.00%             | 2033-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2025-A                                            | MERCEDES BENZ AUTO LEASE TRUST MBALT 2025 A A2A          | CUSIP: 58768YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59717160 | PA      | $59864983.72   | 0.70%             | 2028-04-17      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-J3                        | COUNTRYWIDE HOME LOANS CWHL 2006 J3 M                    | CUSIP: 125433AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945286 | PA      | $825129.42     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR7 B1          | CUSIP: 92922FTF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381921 | PA      | $354062.89     | 0.00%             | 2034-07-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A       | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     599977 | PA      | $601292.99     | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-201393.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2018-B4                                                | BENCHMARK MORTGAGE TRUST BMARK 2018 B4 A2                | CUSIP: 08161HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1258202 | PA      | $1251904.38    | 0.01%             | 2051-07-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2A LTD                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 2A A1R 144A    | CUSIP: 69702WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9300000 | PA      | $9289360.24    | 0.11%             | 2033-01-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                         | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528   | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     317041 | PA      | $317370.98     | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1           | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312738 | PA      | $301721.35     | 0.00%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 676823 FN 11/32 FLOATING VAR                   | CUSIP: 31391T4G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5996 | PA      | $6124.45       | 0.00%             | 2032-11-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2344                                                                 | FREDDIE MAC FHR 2344 FN                                  | CUSIP: 3133994J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $1984.87       | 0.00%             | 2031-08-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-4                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 4 M2                   | CUSIP: 43739EBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4684849 | PA      | $4698497.80    | 0.05%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 3A1         | CUSIP: 855541AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74754 | PA      | $50264.35      | 0.00%             | 2037-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA8 2A1        | CUSIP: 32052AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001569 | PA      | $679710.17     | 0.01%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1                | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        678 | PA      | $672.79        | 0.00%             | 2031-06-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                     | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27269 | PA      | $24625.03      | 0.00%             | 2034-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A    | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5680506 | PA      | $5611630.20    | 0.07%             | 2035-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 25-NPL14                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL14 A1 144A   | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1839944 | PA      | $1828877.47    | 0.02%             | 2055-12-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV5616 FN 12/43 FIXED 3.5                      | CUSIP: 3138XHG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39921 | PA      | $37591.98      | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 RPL1 A1 144A    | CUSIP: 61780PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12149063 | PA      | $11746534.35   | 0.14%             | 2064-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -11305 | NC      | $24269641.87   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A               | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770635 | PA      | $773595.84     | 0.01%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-C                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 C A3            | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6926845.83    | 0.08%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                          | REACH FINANCIAL LLC REACH 2024 2A A 144A                 | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155407 | PA      | $155731.10     | 0.00%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                             | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  103700000 | PA      | $107472535.48  | 1.25%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WAMMS MTG PASS THRU CERT 2002-AR3                                                | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR3 1A7        | CUSIP: 939336KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66239 | PA      | $66105.14      | 0.00%             | 2032-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 30B1          | CUSIP: 05948KSS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326693 | PA      | $306053.53     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW MORTGAGE BACKED PASS THRU CERT 2006                                          | TBW MORTGAGE BACKED PASS THROU TBW 2006 1 7A1            | CUSIP: 225470U50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1259779 | PA      | $401007.72     | 0.00%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 B1           | CUSIP: 576433UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23863 | PA      | $22985.85      | 0.00%             | 2034-12-21      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43000 02/27/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-44311.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A1 144A         | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440299 | PA      | $426754.42     | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3        | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2715446 | PA      | $2587894.55    | 0.03%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A       | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     276608 | PA      | $279726.17     | 0.00%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5158 FR 11/55 FIXED 5.5              | CUSIP: 3142GVWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1459123 | PA      | $1488204.16    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-325262.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2             | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208007 | PA      | $205411.01     | 0.00%             | 2035-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799868 FN 11/34 FLOATING VAR                   | CUSIP: 31405UTZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $828.40        | 0.00%             | 2034-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0324 FR 02/55 FIXED 5.5              | CUSIP: 31427MLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137492 | PA      | $140330.12     | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A2 144A        | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1412041 | PA      | $1415296.71    | 0.02%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M4                     | CUSIP: 004421GM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     658366 | PA      | $565949.78     | 0.01%             | 2034-06-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 1A1               | CUSIP: 45254TRN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1169924 | PA      | $688773.49     | 0.01%             | 2035-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 9/23/23-28Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26598917.76   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                      | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A                | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6400000 | PA      | $6410121.54    | 0.07%             | 2036-04-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4733 FN 06/53 FIXED 5                        | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30780 | PA      | $30460.96      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1           | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20332230 | PA      | $19418116.87   | 0.23%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080555 G2 11/31 FLOATING VAR                | CUSIP: 36225CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1161.22       | 0.00%             | 2031-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-172                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 172 GF           | CUSIP: 38383BXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1478287 | PA      | $1483677.78    | 0.02%             | 2055-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A          | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427575 | PA      | $419730.60     | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                            | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                      | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1006 | PA      | $1011.58       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78250 04/22/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-339120.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A         | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4819140 | PA      | $4529396.29    | 0.05%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5              | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98262 | PA      | $99166.78      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2020-2A                                            | ECMC GROUP STUDENT LOAN TRUST ECMC 2020 2A A 144A        | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4268980 | PA      | $4300552.02    | 0.05%             | 2069-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 M                    | CUSIP: 12669F7C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1015231 | PA      | $662941.49     | 0.01%             | 2034-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2021-1A                                         | DOMINOS PIZZA MASTER ISSUER LL DPABS 2021 1A A2II 144A   | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     486250 | PA      | $442253.37     | 0.01%             | 2051-04-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R8                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M4           | CUSIP: 03072SM36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5846057 | PA      | $5811995.13    | 0.07%             | 2035-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                         | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                   | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      32701 | PA      | $32733.81      | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M3 144A      | CUSIP: 126405AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7373425 | PA      | $5623691.34    | 0.07%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M2             | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13106125 | PA      | $13102468.27   | 0.15%             | 2036-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A         | CUSIP: 61753EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51958216 | PA      | $19637935.04   | 0.23%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2B             | CUSIP: 617505AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6929159 | PA      | $3307221.97    | 0.04%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL                                          | MTN COMMERCIAL MORTGAGE TRUST MTN 2022 LPFL A 144A       | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6165000 | PA      | $6163228.80    | 0.07%             | 2039-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  132000000 | PA      | $124467776.40  | 1.45%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A        | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393523 | PA      | $373501.60     | 0.00%             | 2035-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                      | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1044913 | PA      | $1099520.37    | 0.01%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-3                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 3 A3                  | CUSIP: 14319BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1943777 | PA      | $1952951.37    | 0.02%             | 2028-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8391 FN 12/42 FIXED 3.5                      | CUSIP: 3138MQKD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93405 | PA      | $88032.26      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 2A1                   | CUSIP: 12669GNP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15481 | PA      | $14353.05      | 0.00%             | 2035-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A         | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     384354 | PA      | $384427.54     | 0.00%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A      | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1234002.64    | 0.01%             | 2057-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.60500 06/28/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-294743.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                                | CIM TRUST CIM 2023 R2 A1 144A                            | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17296927 | PA      | $17347281.59   | 0.20%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A      | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293539 | PA      | $184519.22     | 0.00%             | 2037-11-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-BA                   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 BA A2 144A     | CUSIP: 858933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47996962 | PA      | $48084767.49   | 0.56%             | 2028-05-22      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6738 FN 08/53 FIXED 6                        | CUSIP: 3140NPPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     950193 | PA      | $972457.40     | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                      | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     879447 | PA      | $819601.01     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A1                            | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717452 | PA      | $382981.55     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV6439 FN 11/55 FIXED 5.5                      | CUSIP: 3140MLEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1188914 | PA      | $1219879.46    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3965 FR 04/55 FIXED 5.5              | CUSIP: 3142GUMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1428341 | PA      | $1456669.55    | 0.02%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL A 144A                      | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     164016 | PA      | $164329.56     | 0.00%             | 2032-04-26      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2056001.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7435 FN 05/37 FIXED 3                        | CUSIP: 3140MMHM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     630625 | PA      | $608581.72     | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 2A1        | CUSIP: 45660L2H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2786902 | PA      | $2010219.46    | 0.02%             | 2036-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A       | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15900000 | PA      | $11894010.90   | 0.14%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A        | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3860257 | PA      | $3874239.20    | 0.05%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85000000 | PA      | $77755366.70   | 0.90%             | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5                   | CUSIP: 12669GZS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1061635 | PA      | $871473.73     | 0.01%             | 2035-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-106971.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                          | ICG US CLO LTD ICG 2015 2RA A1R 144A                     | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1175076 | PA      | $1175979.16    | 0.01%             | 2033-01-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 13 A7                   | CUSIP: 12669GC74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2245341 | PA      | $1166189.90    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4                | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     371669 | PA      | $363361.60     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                                     | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                  | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9856679 | PA      | $9866977.92    | 0.11%             | 2032-10-13      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4            | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4546973 | PA      | $4458713.84    | 0.05%             | 2046-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR2                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR2 6M2         | CUSIP: 22541Q7J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1034070 | PA      | $735721.77     | 0.01%             | 2034-03-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV4           | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316345 | PA      | $300063.45     | 0.00%             | 2034-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2.02          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-505387.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                           | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                     | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     593392 | PA      | $599162.14     | 0.01%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3             | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17300285 | PA      | $17356884.26   | 0.20%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A     | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11168536 | PA      | $10835874.88   | 0.13%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5090 FN 06/38 FIXED 3                        | CUSIP: 31418EUQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155872 | PA      | $149010.57     | 0.00%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3492 FN 10/38 FIXED 4                        | CUSIP: 31418C3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25227 | PA      | $24717.44      | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                                 | NELNET STUDENT LOAN TRUST NSLT 2026 A A1B 144A           | CUSIP: 64032UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12804482 | PA      | $12872215.28   | 0.15%             | 2061-02-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2025-INV1                                   | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2025 INV1 A1 144A    | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     963826 | PA      | $961768.36     | 0.01%             | 2060-11-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A           | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6404121.22    | 0.07%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-J4                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J4 1A3         | CUSIP: 23242WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3615577 | PA      | $857469.77     | 0.01%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A        | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9360 | PA      | $8956.64       | 0.00%             | 2035-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A      | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3390768 | PA      | $3401515.64    | 0.04%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 C 144A               | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $3270653.10    | 0.04%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3012 FN 09/55 FIXED VAR                      | CUSIP: 3140W3K24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652436 | PA      | $667585.36     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A4           | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336641 | PA      | $168174.33     | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                                | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A          | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1571924 | PA      | $1585771.98    | 0.02%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                                | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A          | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688801 | PA      | $689062.61     | 0.01%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3299 FR 11/55 FIXED 5.5              | CUSIP: 31427QUZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1298330 | PA      | $1328080.64    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A             | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22749552 | PA      | $22638182.01   | 0.26%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                           | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A       | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3669708 | PA      | $3665874.27    | 0.04%             | 2036-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 6A1        | CUSIP: 45661KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395256 | PA      | $326918.94     | 0.00%             | 2036-06-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                      | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519681 | PA      | $524545.12     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1          | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332103 | PA      | $953273.84     | 0.01%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                                                          | CROWN CASTLE TOWERS LLC ASSET BACKED 144A 07/48 4.241    | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $497012.85     | 0.01%             | 2048-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3860 FN 12/55 FIXED VAR                      | CUSIP: 3140W4JE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4936313 | PA      | $5039046.06    | 0.06%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE4                                                     | ACE SECURITIES CORP. ACE 2007 HE4 A1                     | CUSIP: 00442LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56421906 | PA      | $8366014.49    | 0.10%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6137 FN 01/48 FIXED 3.5                      | CUSIP: 3140H7ZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     493795 | PA      | $459550.09     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2025-HB1                                          | FINANCE OF AMERICA HECM BUYOUT FAHB 2025 HB1 A 144A      | CUSIP: 31735EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1447556 | PA      | $1434002.84    | 0.02%             | 2035-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A2         | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145861 | PA      | $141268.97     | 0.00%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-P1                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 P1 A2 144A     | CUSIP: 96043AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3480000 | PA      | $3473105.08    | 0.04%             | 2029-01-16      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                                                         | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M            | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3858 | PA      | $3655.76       | 0.00%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A       | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15644306 | PA      | $15635807.91   | 0.18%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD 2020-3A                                               | SOUND POINT CLO LTD SNDPT 2020 3A A1R 144A               | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2741658 | PA      | $2740226.17    | 0.03%             | 2032-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2005-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 1 M5            | CUSIP: 004375CX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688413 | PA      | $714715.30     | 0.01%             | 2035-04-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                                | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A          | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10593679 | PA      | $10659699.38   | 0.12%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814418 FN 03/35 FLOATING VAR                   | CUSIP: 31406MYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3464 | PA      | $3521.84       | 0.00%             | 2035-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A        | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $912853.26     | 0.01%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC 2003-1                                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 1 1A1           | CUSIP: 2254W0FJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6885 | PA      | $7115.05       | 0.00%             | 2033-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7A                                                   | SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A             | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9115601 | PA      | $9027611.44    | 0.11%             | 2033-12-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4912 FN 03/46 FIXED 4                        | CUSIP: 3140F0N67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65265 | PA      | $62385.63      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                        | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A       | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81963 | PA      | $76094.49      | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M2 144A      | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3775397 | PA      | $2841700.93    | 0.03%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14050000 | PA      | $13259800.18   | 0.15%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1           | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326491 | PA      | $297917.27     | 0.00%             | 2046-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP3                                                             | RAAC SERIES RAAC 2005 SP3 M4                             | CUSIP: 76112BS84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     653960 | PA      | $682637.59     | 0.01%             | 2035-12-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 2A1          | CUSIP: 05949CHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154782 | PA      | $146965.54     | 0.00%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                   | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5001669.05    | 0.06%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A3          | CUSIP: 74922MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4012759 | PA      | $3765328.95    | 0.04%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1          | CUSIP: 75406WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2252799 | PA      | $2237146.24    | 0.03%             | 2036-08-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL2                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL2 A1 144A    | CUSIP: 69393DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     977164 | PA      | $970206.62     | 0.01%             | 2056-02-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M1                        | CUSIP: 152314KR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187203 | PA      | $184979.55     | 0.00%             | 2034-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A6                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A6 M1           | CUSIP: 59020UZL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11337816 | PA      | $10670423.18   | 0.12%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM2 A1 144A    | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1469565 | PA      | $1472797.21    | 0.02%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1         | CUSIP: 12667G3L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2322650 | PA      | $1543166.63    | 0.02%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A        | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     270858 | PA      | $271373.21     | 0.00%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A A 144A      | CUSIP: 03333NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9900000 | PA      | $9900000.00    | 0.12%             | 2042-04-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1159 G2 07/43 FIXED 4.5                   | CUSIP: 36179NJC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16185 | PA      | $16053.18      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V7 MORTGAGE TRUST                                                 | BENCHMARK MORTGAGE TRUST BMARK 2024 V7 A3                | CUSIP: 08163YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6256287.60    | 0.07%             | 2056-05-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A           | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2891939 | PA      | $2896664.47    | 0.03%             | 2053-03-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1         | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812938 | PA      | $800933.52     | 0.01%             | 2034-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A1          | CUSIP: 05948XZB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21281 | PA      | $21294.29      | 0.00%             | 2033-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-402130.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2766 FN 11/47 FIXED 4                        | CUSIP: 3140FNCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14588 | PA      | $13904.10      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-MTR1                                                 | GSAA HOME EQUITY TRUST GSAA 2005 MTR1 M1                 | CUSIP: 362341UE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3583538.28    | 0.04%             | 2035-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A2            | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5600000 | PA      | $5600588.00    | 0.07%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13900000 | PA      | $14135778.06   | 0.16%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS3 A4          | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17028087 | PA      | $14600680.72   | 0.17%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM10                        | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM10 A1FC 144A | CUSIP: 617955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2663156 | PA      | $2658199.01    | 0.03%             | 2070-11-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2025-A OWNER TRUST                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2025 A A2A           | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   49642999 | PA      | $49744667.96   | 0.58%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1         | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10868 | PA      | $10745.93      | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| WAMMS MTG PASS THRU CERT 2002-AR3                                                | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR3 B2         | CUSIP: 939336KT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74173 | PA      | $70635.09      | 0.00%             | 2032-12-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-B OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 B A3             | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1903041 | PA      | $1920135.65    | 0.02%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LN TRUST 2005-D                                          | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 D M1           | CUSIP: 64352VPQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4705896 | PA      | $4610027.93    | 0.05%             | 2036-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6436 FN 04/27 FIXED 3                        | CUSIP: 3138WGEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52120 | PA      | $51753.35      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR6                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR6 1A1        | CUSIP: 32051GJ22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368510 | PA      | $337137.68     | 0.00%             | 2036-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                    | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                    | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1682376 | PA      | $1689619.64    | 0.02%             | 2027-01-27      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3            | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36756 | PA      | $36683.33      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A    | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9830064 | PA      | $9526155.97    | 0.11%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A            | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13641825 | PA      | $12650920.73   | 0.15%             | 2035-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                        | T MOBILE US TRUST TMUST 2024 2A A 144A                   | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2705130.81    | 0.03%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 2A1          | CUSIP: 863579UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20031 | PA      | $17963.74      | 0.00%             | 2035-07-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-1                                              | UPSTART SECURITIZATION TRUST UPST 2025 1 B 144A          | CUSIP: 91684PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508119.10     | 0.01%             | 2035-04-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-2                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 2 MV1             | CUSIP: 805564QK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3011028 | PA      | $3368620.66    | 0.04%             | 2035-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A3          | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8230151.40    | 0.10%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.85000 08/30/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-211774.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR9 4A2         | CUSIP: 45660LMZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739797 | PA      | $692185.69     | 0.01%             | 2035-07-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                      | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                 | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1630156 | PA      | $1416285.85    | 0.02%             | 2047-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 18 1A1                  | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66901 | PA      | $26964.46      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-D                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 D A                | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        771 | PA      | $709.36        | 0.00%             | 2028-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2016-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2016 3A A1R2 144A             | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     164331 | PA      | $164504.30     | 0.00%             | 2030-11-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 6F 3A2                  | CUSIP: 362341DV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274916 | PA      | $246060.92     | 0.00%             | 2035-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 6 A1 144A       | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     844539 | PA      | $845792.16     | 0.01%             | 2029-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2         | CUSIP: 12667GCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44523 | PA      | $41740.54      | 0.00%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3006980.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                      | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1         | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      43082 | PA      | $57083.32      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE1                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE1 M1         | CUSIP: 04541GVL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8449291 | PA      | $8335966.12    | 0.10%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                                | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                  | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6307712.78    | 0.07%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08721 FG 09/46 FIXED 3                | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26459 | PA      | $23910.91      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                               | FANNIE MAE FNR 2006 15 FC                                | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5141 | PA      | $5071.13       | 0.00%             | 2036-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2247 FR 01/55 FIXED 5.5              | CUSIP: 31427PP99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2121747 | PA      | $2169816.34    | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A            | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3668004 | PA      | $3535011.75    | 0.04%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2020-2 LTD                                                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2020 2A A1R2 144A    | CUSIP: 14315GAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1497015.47    | 0.02%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A4 144A     | CUSIP: 14687RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9457000 | PA      | $9652924.45    | 0.11%             | 2029-11-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $55052.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF2 TRUST 2026-RCF2                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 RCF2 A1 144A    | CUSIP: 74449JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2411651.52    | 0.03%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A        | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181316 | PA      | $179531.21     | 0.00%             | 2044-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A3          | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $49877565.00   | 0.58%             | 2030-11-11      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2026-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2026 P1 A2          | CUSIP: 14689FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26560000 | PA      | $26534768.00   | 0.31%             | 2029-06-11      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL XX LTD 2023-3A                                               | FORTRESS CREDIT BSL LIMITED FCBSL 2023 3A AR 144A        | CUSIP: 349936AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    4700000 | PA      | $4702075.71    | 0.05%             | 2037-01-23      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL2 A1 144A    | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1183487 | PA      | $1153291.31    | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3441 FN 08/38 FIXED 4                        | CUSIP: 31418CZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103234 | PA      | $101195.70     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13634856.39   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM9                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM9 A1 144A    | CUSIP: 61779VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1491967 | PA      | $1489962.65    | 0.02%             | 2070-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A2         | CUSIP: 12668AVQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4123445 | PA      | $3727790.72    | 0.04%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A        | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6604383.65    | 0.08%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A3 144A       | CUSIP: 706916AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5090507.37    | 0.06%             | 2030-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT5 M1         | CUSIP: 83612CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11146540 | PA      | $9898726.44    | 0.12%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 1A1        | CUSIP: 02147CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6727943 | PA      | $6218447.68    | 0.07%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL3 A1 144A    | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1709713 | PA      | $1671107.63    | 0.02%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 4 A3                  | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3029598 | PA      | $3060191.31    | 0.04%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST                                                    | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2003 2 2A2            | CUSIP: 29445FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75305 | PA      | $72446.94      | 0.00%             | 2033-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                                            | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A             | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      94865 | PA      | $94865.37      | 0.00%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A       | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508853.10     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A         | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684202 | PA      | $275001.75     | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC 2026-1A                                                         | VB S1 ISSUER LLC VBTEL 2026 1A C2 144A                   | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12300000 | PA      | $12100983.54   | 0.14%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1          | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15921 | PA      | $12287.78      | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2003-S                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD1 A          | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187968 | PA      | $199383.05     | 0.00%             | 2033-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC9480 FR 10/51 FIXED 4                | CUSIP: 3133AUQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77113 | PA      | $73143.41      | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67844 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-407404.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0261 FN 07/48 FIXED 4                        | CUSIP: 3140HDJF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13879 | PA      | $13302.50      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5              | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     224513 | PA      | $228966.04     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 8/06/23-3Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52261.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M3            | CUSIP: 63860FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5483000 | PA      | $5273008.78    | 0.06%             | 2036-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A             | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21504958 | PA      | $21692571.18   | 0.25%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1        | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174608 | PA      | $165910.05     | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 1A1        | CUSIP: 32051GW50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372052 | PA      | $346439.18     | 0.00%             | 2036-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004978 G2 03/41 FIXED 4.5                   | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332432 | PA      | $329758.48     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5              | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162778 | PA      | $163687.51     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A2 144A               | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3646735 | PA      | $3335991.70    | 0.04%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 MV6        | CUSIP: 46630MBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4473853 | PA      | $3710998.98    | 0.04%             | 2037-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A     | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4496181.75    | 0.05%             | 2042-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST 2026-A                                               | VOLKSWAGEN AUTO LEASE TRUST VWALT 2026 A A2A             | CUSIP: 92868CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33960000 | PA      | $33953992.48   | 0.40%             | 2028-08-21      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5245 FR 06/53 FIXED 5                | CUSIP: 3133C5ZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91781 | PA      | $90765.68      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H05 FC           | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     407350 | PA      | $408573.59     | 0.00%             | 2067-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4864 FN 01/43 FIXED 4                        | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     284565 | PA      | $278133.76     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A          | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10220079 | PA      | $9011050.02    | 0.10%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A           | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681088 | PA      | $543438.61     | 0.01%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254283 FN 11/30 FIXED 8.5                      | CUSIP: 31371KM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $347.53        | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004746 G2 07/40 FIXED 4.5                   | CUSIP: 36202FHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67925 | PA      | $67395.81      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A     | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $955788.00     | 0.01%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                        | MARBLE POINT CLO MP22 2021 2A AR 144A                    | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7900000 | PA      | $7896050.32    | 0.09%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M2        | CUSIP: 46626LFP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21778772 | PA      | $20803895.36   | 0.24%             | 2035-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-176508.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-2 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 2 A 144A        | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7319470 | PA      | $7344928.25    | 0.09%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5272 FN 02/54 FIXED 6                        | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125115 | PA      | $127877.35     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 689306 FN 02/33 FLOATING VAR                   | CUSIP: 31400JYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4645 | PA      | $4655.72       | 0.00%             | 2033-02-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A3 1A4         | CUSIP: 46628UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11092476 | PA      | $10464847.31   | 0.12%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1          | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5986745 | PA      | $4782455.81    | 0.06%             | 2045-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I 2001-NC4                                    | MORGAN STANLEY DEAN WITTER CAP MSDWC 2001 NC4 M2         | CUSIP: 61746WLM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20724 | PA      | $72085.40      | 0.00%             | 2032-01-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     587243 | PA      | $555852.22     | 0.01%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A1          | CUSIP: 81377EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4145269 | PA      | $1357413.14    | 0.02%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A        | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1798151.94    | 0.02%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A         | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1083383 | PA      | $1054962.67    | 0.01%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1        | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71922 | PA      | $24953.17      | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4779 FN 10/42 FIXED 4                        | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16487 | PA      | $16105.74      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A          | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3742985 | PA      | $3537484.07    | 0.04%             | 2046-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/19/23-28Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10809806.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $892498.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080296 G2 07/29 FLOATING VAR                | CUSIP: 36225CKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4652 | PA      | $4667.18       | 0.00%             | 2029-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 3A1          | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315592 | PA      | $310364.23     | 0.00%             | 2035-08-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                              | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A       | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     595150 | PA      | $595753.20     | 0.01%             | 2032-07-23      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535598 FN 10/40 FLOATING VAR                   | CUSIP: 31384V7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3795.48       | 0.00%             | 2040-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                         | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A      | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1393351.96    | 0.02%             | 2034-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 HE1 M1         | CUSIP: 07384YPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825014 | PA      | $828976.73     | 0.01%             | 2034-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                  | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11900000 | PA      | $11927942.75   | 0.14%             | 2038-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A     | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1762168 | PA      | $1721692.37    | 0.02%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-9                                                           | LEHMAN XS TRUST LXS 2007 9 1A3                           | CUSIP: 52524MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18669030 | PA      | $17431629.79   | 0.20%             | 2037-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                      | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     942030 | PA      | $949436.64     | 0.01%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                  | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     696968 | PA      | $697675.95     | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM3 A1 144A           | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4588703 | PA      | $4576976.40    | 0.05%             | 2063-02-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                        | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26269 | PA      | $25182.75      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A3         | CUSIP: 12667GL92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1425466 | PA      | $1371877.99    | 0.02%             | 2035-08-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A      | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3268419 | PA      | $3289039.14    | 0.04%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                               | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A         | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3573645 | PA      | $3497809.12    | 0.04%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 2003-AR3                                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR3 M1          | CUSIP: 86358HUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537444 | PA      | $491390.04     | 0.01%             | 2033-11-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A                | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2705049.73    | 0.03%             | 2033-04-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4318 FN 01/49 FIXED 4                        | CUSIP: 3140JLYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38872 | PA      | $37296.49      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1               | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8948 | PA      | $2517.54       | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS5                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS5 M7          | CUSIP: 76110WX35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2812630 | PA      | $2804024.52    | 0.03%             | 2035-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF11                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF11 M2          | CUSIP: 362341YG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530345 | PA      | $531818.61     | 0.01%             | 2035-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                 | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800807.06     | 0.01%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 9/23/23-28Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8831393.80    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 1A1           | CUSIP: 22541NT58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3375 | PA      | $3381.67       | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A1 144A            | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3308997 | PA      | $3305893.53    | 0.04%             | 2051-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                               | CUSIP: 21H020659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2477460.93    | 0.03%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES1                                              | TOWD POINT MORTGAGE TRUST TPMT 2026 CES1 A1 144A         | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2833406 | PA      | $2817811.50    | 0.03%             | 2066-01-25      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                            | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                   | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     919440 | PA      | $920593.86     | 0.01%             | 2041-08-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 03/06/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-67070.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $114264.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 06/21/17-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $357633.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A          | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29414822 | PA      | $29121482.47   | 0.34%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A           | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5464305 | PA      | $5472947.32    | 0.06%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO4 2A1         | CUSIP: 75114GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859601 | PA      | $824311.61     | 0.01%             | 2046-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 1A1        | CUSIP: 45660L2F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1765367 | PA      | $1382019.88    | 0.02%             | 2036-02-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1           | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26142 | PA      | $26096.03      | 0.00%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-165915.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-NC1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2007 NC1 M1 144A     | CUSIP: 00076BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12189000 | PA      | $9122139.12    | 0.11%             | 2037-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745467 FN 04/36 FLOATING VAR                   | CUSIP: 31403DFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6486 | PA      | $6693.01       | 0.00%             | 2036-04-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) JUN26 XCBT 20260630                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       3106 | NC      | $-4644108.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 1A4         | CUSIP: 466285AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2689239 | PA      | $2360631.45    | 0.03%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $32820099.21   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                                | CPS AUTO TRUST CPS 2024 D A 144A                         | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     169123 | PA      | $169166.61     | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                                   | KKR FINANCIAL CLO LTD KKR 21 A 144A                      | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     128462 | PA      | $128589.39     | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 B1                    | CUSIP: 36228F4T0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542883 | PA      | $490674.98     | 0.01%             | 2034-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 5A6               | CUSIP: 45254TRX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     775993 | PA      | $492581.06     | 0.01%             | 2035-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                                | BDS LTD BDS 2025 FL14 A 144A                             | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3650000 | PA      | $3638658.76    | 0.04%             | 2042-10-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                                     | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                 | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5001499.25    | 0.06%             | 2035-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A          | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1782667 | PA      | $1784599.70    | 0.02%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A1           | CUSIP: 86359BNT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1206 | PA      | $1201.68       | 0.00%             | 2034-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A4        | CUSIP: 466278AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30109586 | PA      | $10939363.53   | 0.13%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $363432.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                                   | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                   | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14000000 | PA      | $14014291.34   | 0.16%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3          | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3111436 | PA      | $1975615.17    | 0.02%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1        | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21528694 | PA      | $19372016.17   | 0.23%             | 2037-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.61750 02/09/22-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3837374.75   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-A                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 A M2           | CUSIP: 64352VGX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31212 | PA      | $40334.89      | 0.00%             | 2034-08-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B7                                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B7 A2                | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7357585 | PA      | $7343702.62    | 0.09%             | 2053-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A1R 144A                      | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5101419.23    | 0.06%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2004-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC3 M2           | CUSIP: 126673CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     496254 | PA      | $496844.84     | 0.01%             | 2034-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 1AF4          | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293435 | PA      | $243117.72     | 0.00%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786252 FH 03/28 FLOATING VAR           | CUSIP: 31348S5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $325.05        | 0.00%             | 2028-03-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.75000 06/21/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10788196.68   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7231 FN 08/45 FIXED VAR                      | CUSIP: 3138EQA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5219 | PA      | $4916.88       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3385 FN 07/55 FIXED VAR                      | CUSIP: 3140W3XP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     367694 | PA      | $376439.63     | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4          | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1813704.48    | 0.02%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-7                                                    | GSAA HOME EQUITY TRUST GSAA 2004 7 M1                    | CUSIP: 36242DDF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4009319 | PA      | $3945618.23    | 0.05%             | 2034-06-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-CA                   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 CA A2 144A     | CUSIP: 85855EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $5497496.40    | 0.06%             | 2028-06-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 1A               | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1061 | PA      | $980.45        | 0.00%             | 2028-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                                 | NMLT TRUST NLT 2023 1 A1 144A                            | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10275595 | PA      | $9489991.09    | 0.11%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-115593.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                                    | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A            | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2795967.16    | 0.03%             | 2034-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB33        | CUSIP: 76110HH77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89899 | PA      | $44616.44      | 0.00%             | 2034-12-26      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2004-1                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2004 1 2M               | CUSIP: 07820QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1706075 | PA      | $1764328.31    | 0.02%             | 2034-11-20      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR5                                                          | BCAP LLC TRUST BCAP 2014 RR5 1A2 144A                    | CUSIP: 05544GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8120732 | PA      | $7583276.94    | 0.09%             | 2036-01-26      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL2 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL2 A1 144A    | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     972506 | PA      | $968855.93     | 0.01%             | 2056-02-25      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M1                   | CUSIP: 43739EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96955 | PA      | $85279.22      | 0.00%             | 2035-03-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV2 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV2 A1 144A                  | CUSIP: 12622SAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691938 | PA      | $698869.36     | 0.01%             | 2069-05-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4196168 | PA      | $4200241.26    | 0.05%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 M                    | CUSIP: 12669EF68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15623 | PA      | $15576.94      | 0.00%             | 2033-12-19      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS8                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS8 M3          | CUSIP: 76112BZL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2399242.37    | 0.03%             | 2035-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) JUN26 XCBT 20260630                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -7601 | NC      | $11596931.04   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                                 | BANK5 BANK5 2026 5YR20 A3                                | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7780000 | PA      | $7899680.52    | 0.09%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2001-W1                                                    | FANNIEMAE WHOLE LOAN FNW 2001 W1 AV1                     | CUSIP: 31359S2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20624 | PA      | $19877.64      | 0.00%             | 2031-08-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A        | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     508190 | PA      | $379275.54     | 0.00%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2B         | CUSIP: 81378AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17455460 | PA      | $8658288.78    | 0.10%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC3                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M3          | CUSIP: 84751PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7519195 | PA      | $7320162.37    | 0.09%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4            | CUSIP: 126670LS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5399413.20    | 0.06%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 2 M1           | CUSIP: 68389FFG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6841 | PA      | $7037.39       | 0.00%             | 2034-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A       | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48860000 | PA      | $48918954.48   | 0.57%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-44067.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                   | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2967240 | PA      | $3085706.52    | 0.04%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMARK WM-R LTD 2018-1A                                                          | ROMARK CLO LTD RMRK 2018 1A A1 144A                      | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     226620 | PA      | $226844.81     | 0.00%             | 2031-04-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A3            | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24500000 | PA      | $24431921.85   | 0.28%             | 2030-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 783022 FH 02/35 FLOATING VAR           | CUSIP: 31349ULB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3988 | PA      | $4154.72       | 0.00%             | 2035-02-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-116                                                              | FANNIE MAE FNR 2003 116 KL                               | CUSIP: 31393T5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23311 | PA      | $23013.35      | 0.00%             | 2033-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H8 MORTGAGE TRUST 2025-H8                                             | CROSS MORTGAGE TRUST CROSS 2025 H8 A1 144A               | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     940210 | PA      | $936179.04     | 0.01%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A1           | CUSIP: 784208AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44336599 | PA      | $17996580.17   | 0.21%             | 2036-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A B1               | CUSIP: 589929G93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107125 | PA      | $77004.54      | 0.00%             | 2028-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A            | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2865401 | PA      | $2816033.45    | 0.03%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA9467 FN 02/54 FIXED 6                        | CUSIP: 3140YXQV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134806 | PA      | $138127.75     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                      | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2948119 | PA      | $2734595.24    | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 IIB2              | CUSIP: 466247L76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731937 | PA      | $726460.25     | 0.01%             | 2034-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A     | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2374437 | PA      | $2380486.45    | 0.03%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7376 FN 04/55 FIXED 7                        | CUSIP: 3140B8FS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2118667 | PA      | $2238128.44    | 0.03%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1371 FR 02/54 FIXED 6.5              | CUSIP: 3142GRQZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5136229 | PA      | $5313634.79    | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 M                  | CUSIP: 07386HKN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338561 | PA      | $325671.95     | 0.00%             | 2034-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                   | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450298 | PA      | $419229.03     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                     | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5706012.65    | 0.07%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5583 FN 11/52 FIXED 5.5                      | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237583 | PA      | $239660.94     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2               | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A1          | CUSIP: 84752EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7814446 | PA      | $5789489.33    | 0.07%             | 2037-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1583 FR 06/55 FIXED 5.5              | CUSIP: 31427NXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3939445 | PA      | $4008039.17    | 0.05%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD 2020 3                                               | COREVEST AMERICAN FINANCE LTD CAFL 2020 3 A 144A         | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650299 | PA      | $646910.01     | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A    | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4376275 | PA      | $4407504.13    | 0.05%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2575 FN 02/45 FIXED 3.5                      | CUSIP: 3138YF2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10765 | PA      | $10096.64      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1           | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259220 | PA      | $257577.70     | 0.00%             | 2046-09-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A          | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000877.31    | 0.01%             | 2034-04-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A           | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7200000 | PA      | $7209000.14    | 0.08%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 C A3             | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2900740.66    | 0.03%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M3 144A      | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3343098 | PA      | $2226718.90    | 0.03%             | 2060-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF1 A1 144A    | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687093 | PA      | $678643.29     | 0.01%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782785 FH 10/34 FLOATING VAR           | CUSIP: 31349UCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3251 | PA      | $3341.21       | 0.00%             | 2034-10-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-1                                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 1 B1            | CUSIP: 576433JT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955300 | PA      | $846069.20     | 0.01%             | 2034-02-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 M1                            | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13061000 | PA      | $11483525.07   | 0.13%             | 2036-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                                     | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A4           | CUSIP: 57646LAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11301000 | PA      | $9323536.33    | 0.11%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 629100 FN 04/32 FLOATING VAR                   | CUSIP: 31389L3H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        879 | PA      | $892.88        | 0.00%             | 2032-04-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A2 144A         | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11911 | PA      | $11554.80      | 0.00%             | 2063-10-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A             | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     929769 | PA      | $933607.34     | 0.01%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08787 FG 11/47 FIXED 3                | CUSIP: 3128MJ2V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30675 | PA      | $27554.09      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                             | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2340675 | PA      | $2343531.32    | 0.03%             | 2036-12-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A3 144A     | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1001221 | PA      | $1005705.55    | 0.01%             | 2029-04-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004801 G2 09/40 FIXED 4.5                   | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205526 | PA      | $203789.61     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2            | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47048397 | PA      | $45711262.58   | 0.53%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1        | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4053499 | PA      | $3777386.06    | 0.04%             | 2047-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                                 | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                 | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2230 | PA      | $2347.07       | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE2                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE2 M1            | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5712482 | PA      | $5418224.28    | 0.06%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2005-1R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2005 1R 2A5 144A       | CUSIP: 22546MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156780 | PA      | $87860.56      | 0.00%             | 2035-12-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A     | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     207199 | PA      | $208674.21     | 0.00%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                          | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A       | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001219.80    | 0.01%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                                  | PFP III PFP 2026 13 A 144A                               | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6800000 | PA      | $6807852.37    | 0.08%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2002-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2002 3 M2              | CUSIP: 805564ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2971344 | PA      | $2758489.20    | 0.03%             | 2032-12-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A    | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3423610 | PA      | $3432673.52    | 0.04%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A     | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2911497.05    | 0.03%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A           | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     252668 | PA      | $252811.60     | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                             | GCAT GCAT 2024 NQM2 A1 144A                              | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935049 | PA      | $942121.46     | 0.01%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3 2025-NQM3               | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM3 A1 144A    | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810856 | PA      | $813670.48     | 0.01%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35023.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 FJ                                  | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1781.17       | 0.00%             | 2029-12-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0533 FH 07/37 FLOATING VAR           | CUSIP: 3128LUSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1213 | PA      | $1249.59       | 0.00%             | 2037-07-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| DC OFFICE TRUST 2019-MTC                                                         | DC OFFICE TRUST DCOT 2019 MTC A 144A                     | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2205000 | PA      | $1991067.59    | 0.02%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701305 FN 06/33 FLOATING VAR                   | CUSIP: 31400YDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18376 | PA      | $19096.94      | 0.00%             | 2033-06-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TR 1998-2                                                   | AFC HOME EQUITY LOAN TRUST AFC 1998 2 1A                 | CUSIP: 00105HDM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36183 | PA      | $35931.76      | 0.00%             | 2028-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4                        | GM FINANCIAL SECURITIZED TERM GMCAR 2024 4 A3            | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4700000 | PA      | $4712375.10    | 0.05%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9289 FN 04/41 FIXED 3.5                      | CUSIP: 3138ABKB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6341 | PA      | $6011.63       | 0.00%             | 2041-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $32520.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A19         | CUSIP: 18976GAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737189 | PA      | $695608.77     | 0.01%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST 2015-2                                                  | MILL CITY MORTGAGE TRUST MCMLT 2015 2 M3 144A            | CUSIP: 599808BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35204 | PA      | $35006.81      | 0.00%             | 2057-09-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2019-2                                                 | NELNET STUDENT LOAN TRUST NSLT 2019 2A A 144A            | CUSIP: 64034NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11978176 | PA      | $11964698.49   | 0.14%             | 2067-06-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2026-A 2026-A                                              | ARI FLEET LEASE TRUST ARIFL 2026 A A2 144A               | CUSIP: 04033DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6300000 | PA      | $6281637.39    | 0.07%             | 2034-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A      | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5168888 | PA      | $5189861.60    | 0.06%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LTD 2021-6A                                              | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2021 6A A1R 144A      | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3702240.13    | 0.04%             | 2034-10-21      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1748 FH 09/35 FLOATING VAR           | CUSIP: 3128QJ5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $381.99        | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.37000 06/21/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-358788.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 3 3A2 144A      | CUSIP: 17323LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378218 | PA      | $364135.67     | 0.00%             | 2036-06-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1        | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1040111 | PA      | $850860.87     | 0.01%             | 2047-02-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                        | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78725 | PA      | $75375.88      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PPM CLO LTD 2019-3A                                                              | PPM CLO 3 LTD. PPMC 2019 3A A1R2 144A                    | CUSIP: 69355EAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4303876.15    | 0.05%             | 2034-07-17      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $140413.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIV LTD                                                        | MARBLE POINT CLO XXIV LTD MP24 2022 1A A1R 144A          | CUSIP: 56607WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8700000 | PA      | $8702318.03    | 0.10%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                                     | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A           | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     433716 | PA      | $434203.54     | 0.01%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408598 | PA      | $366434.63     | 0.00%             | 2035-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2          | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76243 | PA      | $42567.44      | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                          | ACHV ABS TRUST ACHV 2024 1PL A 144A                      | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36042 | PA      | $36160.83      | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B                 | CUSIP: 12669FY31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30818 | PA      | $27372.02      | 0.00%             | 2034-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A           | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2673664 | PA      | $2672229.80    | 0.03%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5228 FR 11/55 FIXED 5.5              | CUSIP: 3142GVY21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1104392 | PA      | $1129779.67    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-3                                                   | CARMAX AUTO OWNER TRUST CARMX 2025 3 A2A                 | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18078928 | PA      | $18104527.45   | 0.21%             | 2028-08-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A      | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2086317.60    | 0.02%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB3 M                  | CUSIP: 12669FZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1095027 | PA      | $1037045.64    | 0.01%             | 2034-06-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A          | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3452105 | PA      | $3452321.21    | 0.04%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                                    | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A       | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3792393 | PA      | $3798764.09    | 0.04%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5248 FN 01/54 FIXED 6.5                      | CUSIP: 31418EZN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229097 | PA      | $237009.69     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3985 FN 04/35 FIXED 3                        | CUSIP: 31418DNB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4598 | PA      | $4417.68       | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A1          | CUSIP: 86362VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3266743 | PA      | $3139220.48    | 0.04%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                        | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62229 | PA      | $59208.12      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A          | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9200000 | PA      | $9194013.74    | 0.11%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                    | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A                | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7009376.78    | 0.08%             | 2034-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A               | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2089233 | PA      | $2106475.33    | 0.02%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                    | ARGENT SECURITIES INC. ARSI 2005 W5 A1                   | CUSIP: 040104QK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2485422 | PA      | $2477963.08    | 0.03%             | 2036-01-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A    | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930570 | PA      | $526751.85     | 0.01%             | 2037-06-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A2 144A             | CUSIP: 16144QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2454 | PA      | $2454.42       | 0.00%             | 2027-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A             | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4823968 | PA      | $4826848.76    | 0.06%             | 2034-10-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-4                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 4 1A4          | CUSIP: 12667F7B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     704033 | PA      | $462803.31     | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                       | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A   | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8900000 | PA      | $8902878.88    | 0.10%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1       | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3068393 | PA      | $3103036.13    | 0.04%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-3                                               | HOME EQUITY ASSET TRUST HEAT 2002 3 A4                   | CUSIP: 22541NHE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1181 | PA      | $1153.35       | 0.00%             | 2033-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A      | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1331308 | PA      | $1333163.90    | 0.02%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR9                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR9 1M4         | CUSIP: 17310RAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1957275 | PA      | $2019912.63    | 0.02%             | 2036-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A          | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1104571 | PA      | $1114399.34    | 0.01%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2           | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236323 | PA      | $246189.83     | 0.00%             | 2034-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2024-2                       | GREAT AMERICA LEASING RECEIVAB GALC 2024 2 A2 144A       | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4669946 | PA      | $4681758.71    | 0.05%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| LCM 34 LTD                                                                       | LCM LTD PARTNERSHIP LCM 34A A1R 144A                     | CUSIP: 50203CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $300349.14     | 0.00%             | 2034-10-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-12                                               | VERUS SECURITIZATION TRUST VERUS 2025 12 A1FC 144A       | CUSIP: 92490FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4202232 | PA      | $4190543.83    | 0.05%             | 2070-12-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1323 FR 08/55 FIXED 7                | CUSIP: 31426XPH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1991738 | PA      | $2115372.87    | 0.02%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6034 FR 12/52 FIXED 5.5              | CUSIP: 3133BTV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88266 | PA      | $88922.80      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES4                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES4 A1A 144A        | CUSIP: 89170UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4701824 | PA      | $4681392.15    | 0.05%             | 2065-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 NC3 A1          | CUSIP: 81377CAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10809721 | PA      | $6086725.67    | 0.07%             | 2036-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888502 FN 06/33 FLOATING VAR                   | CUSIP: 31410GDF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1846 | PA      | $1873.65       | 0.00%             | 2033-06-01      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2806 FR 09/55 FIXED 5.5              | CUSIP: 31427QDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331850 | PA      | $339575.34     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                      | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144505 | PA      | $138565.48     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2010-RR3                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2010 RR3 A5 144A    | CUSIP: 94987AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     394252 | PA      | $392166.65     | 0.00%             | 2036-09-27      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 1 A2                 | CUSIP: 66987XCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         79 | PA      | $78.46         | 0.00%             | 2033-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1        | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77025 | PA      | $75114.53      | 0.00%             | 2033-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR3                                                          | BCAP LLC TRUST BCAP 2014 RR3 1A2 144A                    | CUSIP: 05544EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3813488 | PA      | $3120881.18    | 0.04%             | 2036-11-26      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                                               | FANNIE MAE FNR 2002 25 FX                                | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1087 | PA      | $1098.03       | 0.00%             | 2032-04-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A16       | CUSIP: 12668ART4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694126 | PA      | $363857.02     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF1 A1 144A    | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760044 | PA      | $750707.14     | 0.01%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 M1               | CUSIP: 590219AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3971139 | PA      | $3726375.50    | 0.04%             | 2036-05-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2026-5C40                                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2026 5C40 A3        | CUSIP: 05557AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3268618.24    | 0.04%             | 2059-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080376 G2 02/30 FLOATING VAR                | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $75.87         | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A      | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     860408 | PA      | $863527.53     | 0.01%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A       | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $988919.40     | 0.01%             | 2037-10-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1C3       | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     556153 | PA      | $539051.61     | 0.01%             | 2045-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A       | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     736330 | PA      | $738661.78     | 0.01%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3            | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112162 | PA      | $110613.09     | 0.00%             | 2034-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1         | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90046 | PA      | $86304.72      | 0.00%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2                                      | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2022 2 A1 144A       | CUSIP: 24380XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1329554 | PA      | $1297657.96    | 0.02%             | 2067-03-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4940 FN 03/42 FIXED 3.5                      | CUSIP: 3138E9P20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23280 | PA      | $22039.39      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                             | ATLX TRUST ATLX 2024 RPL1 A1 144A                        | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1907881 | PA      | $1857564.61    | 0.02%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2024 3 A3           | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4859874 | PA      | $4862038.19    | 0.06%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2026-NQM3                              | SANTANDER MORTGAGE ASSET RECEI SAN 2026 NQM3 A1 144A     | CUSIP: 802929AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2296653.96    | 0.03%             | 2066-03-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A3 144A            | CUSIP: 80620BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11700000 | PA      | $11745276.66   | 0.14%             | 2031-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 5A1                 | CUSIP: 36242DJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163460 | PA      | $161369.93     | 0.00%             | 2035-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78750 05/03/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-339073.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5047980.67   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BOA                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-587677.97    | -0.01%            |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                   | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1571 | PA      | $1544.81       | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M7           | CUSIP: 64352VLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23643012 | PA      | $22573768.24   | 0.26%             | 2035-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 7A1         | CUSIP: 45660LLS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2613413 | PA      | $2064597.82    | 0.02%             | 2035-06-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                        | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176041 | PA      | $167326.23     | 0.00%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A      | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $814214.90     | 0.01%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2            | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1772929 | PA      | $1774302.05    | 0.02%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3975 FR 04/55 FIXED 6.5              | CUSIP: 3142GUMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     934191 | PA      | $982989.34     | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1               | CUSIP: 46630PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409346 | PA      | $216535.04     | 0.00%             | 2037-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739372 FN 09/33 FLOATING VAR                   | CUSIP: 31402VMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1709 | PA      | $1738.12       | 0.00%             | 2033-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-82                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 82 A1          | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56991 | PA      | $49623.19      | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.72          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A       | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3302337 | PA      | $3306916.22    | 0.04%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4699 FN 04/37 FIXED 3                        | CUSIP: 3140MJGH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     634181 | PA      | $612149.63     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-422392.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC2 M1              | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2494462 | PA      | $2541252.69    | 0.03%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BKD 2004-FF2                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF2 M6           | CUSIP: 32027NHN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1764933 | PA      | $1683354.63    | 0.02%             | 2034-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        430 | NC      | $-1788948.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-2A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 2A A2 144A          | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6342113 | PA      | $6350486.23    | 0.07%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080409 G2 05/30 FLOATING VAR                | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3561 | PA      | $3567.94       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A         | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     811456 | PA      | $812730.81     | 0.01%             | 2040-07-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                       | LCM LTD PARTNERSHIP LCM 30A AR 144A                      | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     282446 | PA      | $282760.66     | 0.00%             | 2031-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                 | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000840.41    | 0.01%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A     | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3496916.50    | 0.04%             | 2037-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-636882.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                        | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11140384 | PA      | $11203521.47   | 0.13%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4         | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11600628 | PA      | $11481542.62   | 0.13%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1         | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59539 | PA      | $57108.45      | 0.00%             | 2036-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0128 FN 12/30 FIXED 3                        | CUSIP: 3140EUEA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191225 | PA      | $187144.87     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8486 G2 12/52 FIXED 3                     | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193309 | PA      | $173118.86     | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG P/T  2003-MS6                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS6 1A         | CUSIP: 939336ZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62546 | PA      | $57699.47      | 0.00%             | 2033-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 664885 FN 10/32 FLOATING VAR                   | CUSIP: 31391EUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2788 | PA      | $2849.08       | 0.00%             | 2032-10-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                          | REACH FINANCIAL LLC REACH 2025 1A A 144A                 | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     753467 | PA      | $754790.73     | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                                 | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A           | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40136887 | PA      | $39650532.20   | 0.46%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1          | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     856306 | PA      | $838871.25     | 0.01%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 4 A2A                 | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     482751 | PA      | $483130.37     | 0.01%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786472 FH 09/28 FLOATING VAR           | CUSIP: 31295KFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $789.89        | 0.00%             | 2028-09-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2163                                                                 | FREDDIE MAC FHR 2163 QJ                                  | CUSIP: 3133TLG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1522 | PA      | $1541.41       | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 26-1A                                      | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 1A A2A 144A    | CUSIP: 96043BAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4295769.66    | 0.05%             | 2028-09-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2         | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2012746 | PA      | $854582.12     | 0.01%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A          | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16035812 | PA      | $15977103.62   | 0.19%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-R2                                               | VERUS SECURITIZATION TRUST VERUS 2026 R2 A1 144A         | CUSIP: 92541GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4703464.84    | 0.05%             | 2067-10-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -748 | NC      | $2815439.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/52 4                                  | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37800000 | PA      | $32485851.47   | 0.38%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC-1997-76                                                         | FANNIE MAE FNR 1997 76 FN                                | CUSIP: 31359QT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.66         | 0.00%             | 2027-09-17      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A1A        | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7052406 | PA      | $5090468.13    | 0.06%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1              | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4867 | PA      | $4756.55       | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A           | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1411036 | PA      | $1419900.40    | 0.02%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 3A1          | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112968 | PA      | $109535.76     | 0.00%             | 2035-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                               | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A           | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100364 | PA      | $1097428.80    | 0.01%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5              | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     758000 | PA      | $539172.37     | 0.01%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-71                                                               | FANNIE MAE FNR 2002 71 A                                 | CUSIP: 31392FDZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433000 | PA      | $427967.15     | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.68000 07/11/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-72914.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 4 A1 144A       | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432889 | PA      | $2430362.31    | 0.03%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56673 09/02/25-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-531057.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                              | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A         | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32212 | PA      | $32247.29      | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                            | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4           | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $1834325.03    | 0.02%             | 2035-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A       | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440545 | PA      | $429511.56     | 0.00%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2          | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200393 | PA      | $1221408.04    | 0.01%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 2A4        | CUSIP: 83612KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2730746.40    | 0.03%             | 2037-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C         | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16977922 | PA      | $10376860.33   | 0.12%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C                                        | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2019 C A2FX 144A     | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7147166 | PA      | $6959867.70    | 0.08%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8134 FN 09/45 FIXED 3.5                      | CUSIP: 3140E1BC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112487 | PA      | $105313.70     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 26-1A                                      | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 1A A1 144A     | CUSIP: 96043BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34076753 | PA      | $34073369.28   | 0.40%             | 2027-01-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A            | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $217627.13     | 0.00%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5              | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314000 | PA      | $321192.18     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2             | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7388299 | PA      | $7390528.32    | 0.09%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-OPT2                                              | MASTR ASSET BACKED SECURITIES MABS 2004 OPT2 A2          | CUSIP: 57643LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478076 | PA      | $417411.98     | 0.00%             | 2034-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60200000 | PA      | $58043958.07   | 0.68%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0181 FN 08/47 FIXED 4                        | CUSIP: 3140Q7FX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55310 | PA      | $53002.39      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 MV5           | CUSIP: 126670AZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6078082 | PA      | $6032543.46    | 0.07%             | 2035-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2984 FR 10/55 FIXED 5.5              | CUSIP: 31427QJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     811841 | PA      | $828697.01     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 1A             | CUSIP: 1266714L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5598346 | PA      | $5507085.22    | 0.06%             | 2034-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST 2007-3                          | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 3 A1B          | CUSIP: 59024VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1106455 | PA      | $1124495.29    | 0.01%             | 2037-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2003-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2003 5 A3           | CUSIP: 68400XBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21145 | PA      | $23364.41      | 0.00%             | 2033-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A          | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48466 | PA      | $46532.16      | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H26 BA           | CUSIP: 38375BYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268532 | PA      | $268048.17     | 0.00%             | 2062-10-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 2A3        | CUSIP: 02150ECA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497139 | PA      | $1087143.02    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2026-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2026 2A A1            | CUSIP: 30166WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5350000 | PA      | $5350234.33    | 0.06%             | 2027-04-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-5                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 5 MV2          | CUSIP: 73316PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3662930 | PA      | $3515389.39    | 0.04%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A3          | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1045077 | PA      | $996323.27     | 0.01%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM4 A1 144A    | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3305379 | PA      | $3319505.51    | 0.04%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-11                                                 | BEAR STEARNS ALT A TRUST BALTA 2004 11 2A4               | CUSIP: 07386HMY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190259 | PA      | $159955.05     | 0.00%             | 2034-11-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1658 FN 04/48 FIXED 4                        | CUSIP: 3140Q8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87088 | PA      | $83449.16      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                     | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                   | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7300000 | PA      | $7301190.27    | 0.08%             | 2034-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8383 FN 03/47 FIXED 4                        | CUSIP: 3140FUJ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31654 | PA      | $30333.06      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 M2            | CUSIP: 759950DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3354995 | PA      | $2987927.87    | 0.03%             | 2034-11-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                              | SAXON ASSET SECURITIES TRUST SAST 2004 1 A               | CUSIP: 805564PL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504634 | PA      | $1350643.39    | 0.02%             | 2035-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1          | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4447 | PA      | $7299.49       | 0.00%             | 2032-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2026-1 LLC 2026-1                                     | ENTERPRISE FLEET FINANCING LLC EFF 2026 1 A2 144A        | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22300000 | PA      | $22252790.90   | 0.26%             | 2028-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3017 FN 12/45 FIXED 4                        | CUSIP: 3140E7K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193233 | PA      | $184954.14     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 38 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 38A A1R 144A                   | CUSIP: 48259BAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1598603.94    | 0.02%             | 2038-01-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A       | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9983001 | PA      | $9986229.40    | 0.12%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM5 A1 144A    | CUSIP: 36273GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1403927 | PA      | $1397431.92    | 0.02%             | 2065-07-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3                        | GM FINANCIAL SECURITIZED TERM GMCAR 2024 3 A3            | CUSIP: 38013KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17560861 | PA      | $17689516.91   | 0.21%             | 2029-04-16      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 22A1        | CUSIP: 07387AGC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30583 | PA      | $29548.31      | 0.00%             | 2036-02-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A     | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8799058 | PA      | $8322926.79    | 0.10%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2        | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249376 | PA      | $244132.98     | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A        | CUSIP: 41161PYW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11606 | PA      | $12102.43      | 0.00%             | 2036-01-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5            | CUSIP: 073914F65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63173 | PA      | $10.50         | 0.00%             | 2030-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7565966 | PA      | $6784072.05    | 0.08%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3           | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     915471 | PA      | $916726.00     | 0.01%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2M1           | CUSIP: 126697AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2685999.00    | 0.03%             | 2047-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A      | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $598219.98     | 0.01%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANKUNITED TRUST 2005-1                                                          | BANKUNITED TRUST BUMT 2005 1 1A1                         | CUSIP: 06652DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36815 | PA      | $35313.95      | 0.00%             | 2045-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HE4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 HE4 M5 144A     | CUSIP: 17307GDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     926070 | PA      | $927847.71     | 0.01%             | 2033-12-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29400000 | PA      | $24710929.91   | 0.29%             | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6587034.04   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2002-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2002 BC3 M1           | CUSIP: 126671RE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79661 | PA      | $78458.82      | 0.00%             | 2032-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 4A2          | CUSIP: 05950TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19447 | PA      | $16189.25      | 0.00%             | 2046-11-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5011 FN 05/53 FIXED 6                        | CUSIP: 31418ER93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     638106 | PA      | $653483.50     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8505 FR 02/55 FIXED 5                | CUSIP: 3132DWNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328093 | PA      | $323885.04     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 M1           | CUSIP: 542514NX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15860237 | PA      | $14024105.58   | 0.16%             | 2045-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 2A A2 144A         | CUSIP: 505912AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25647678 | PA      | $25665761.92   | 0.30%             | 2028-07-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2003 OPT1 A3         | CUSIP: 04542BDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369955 | PA      | $371305.69     | 0.00%             | 2033-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $71529.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5598 FN 08/45 FIXED 4                        | CUSIP: 3138WFGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1319587 | PA      | $1270528.01    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 2 M1           | CUSIP: 07400TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7073301 | PA      | $6157466.02    | 0.07%             | 2047-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL1 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL1 A1 144A    | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     943184 | PA      | $938615.36     | 0.01%             | 2056-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| M&T EQUIPMENT 2025-LEAF1 LLC                                                     | M+T EQUIPMENT NOTES MTLRF 2025 1A A2 144A                | CUSIP: 55340QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6925636 | PA      | $6950259.03    | 0.08%             | 2027-12-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905694 FN 12/36 FLOATING VAR                   | CUSIP: 31411EGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2833 | PA      | $2952.51       | 0.00%             | 2036-12-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                        | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4019 | PA      | $3864.21       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1              | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36191 | PA      | $29082.17      | 0.00%             | 2035-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2003-4                                                | MASTR ALTERNATIVE LOANS TRUST MALT 2003 4 B1             | CUSIP: 576434EW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187398 | PA      | $120362.53     | 0.00%             | 2033-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                              | POST CLO LTD POST 2021 1A AR 144A                        | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16000000 | PA      | $16016252.96   | 0.19%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX7881 FR 03/55 FIXED 7                | CUSIP: 31426DXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5570662 | PA      | $5868309.13    | 0.07%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A3 144A         | CUSIP: 881943AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18525781 | PA      | $18657818.44   | 0.22%             | 2028-06-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080747 G2 10/33 FLOATING VAR                | CUSIP: 36225CZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1963 | PA      | $1988.87       | 0.00%             | 2033-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF4 A1 144A    | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1160525 | PA      | $1142474.59    | 0.01%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A4A        | CUSIP: 172987BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     867411 | PA      | $818612.39     | 0.01%             | 2036-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A     | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1593339.68    | 0.02%             | 2040-09-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-2R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 2R 3B 144A       | CUSIP: 36249UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10265728 | PA      | $9695981.34    | 0.11%             | 2037-11-26      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 NB4        | CUSIP: 761118NB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572427 | PA      | $507698.75     | 0.01%             | 2035-12-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7937 G2 03/52 FIXED 3                     | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     631140 | PA      | $564253.70     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A         | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212021 | PA      | $212123.18     | 0.00%             | 2059-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                         | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                  | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5305167.08    | 0.06%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799664 FN 10/34 FLOATING VAR                   | CUSIP: 31405UMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1759.27       | 0.00%             | 2034-10-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 11 B1          | CUSIP: 07387AFP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72996 | PA      | $62672.02      | 0.00%             | 2035-12-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 2A1         | CUSIP: 855541AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735922 | PA      | $736876.57     | 0.01%             | 2037-01-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 6 A1 144A       | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2603469 | PA      | $2599826.32    | 0.03%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC            | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR           | CUSIP: 74042JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   13002580 | PA      | $12547489.60   | 0.15%             | 2038-03-22      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A5         | CUSIP: 44328AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3954764 | PA      | $892053.97     | 0.01%             | 2036-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                                | EXETER SELECT AUTOMOBILE RECEI ESART 2025 2 A2           | CUSIP: 30185EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     534988 | PA      | $535589.03     | 0.01%             | 2029-06-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2026 1A A2A 144A    | CUSIP: 81885FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5350000 | PA      | $5338485.73    | 0.06%             | 2029-08-20      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-4                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 4 M4            | CUSIP: 83611MKH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2134676.94    | 0.02%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A      | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3270296 | PA      | $3292467.43    | 0.04%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C        | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8246 | PA      | $8026.89       | 0.00%             | 2044-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                                            | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1         | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111210 | PA      | $108855.94     | 0.00%             | 2031-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2025-B                                                 | AQUA FINANCE TRUST AQFIT 2025 B A 144A                   | CUSIP: 03837GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2871007 | PA      | $2886048.46    | 0.03%             | 2051-05-17      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                               | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A         | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11668773 | PA      | $11706413.80   | 0.14%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE3 A2          | CUSIP: 590212AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6257322 | PA      | $1614446.64    | 0.02%             | 2037-06-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                          | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                     | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1001367.80    | 0.01%             | 2033-10-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B6           | CUSIP: 41161PTA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2026516 | PA      | $1647459.39    | 0.02%             | 2035-06-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M1          | CUSIP: 03072SVR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4655991 | PA      | $4626160.27    | 0.05%             | 2034-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GCCT-2021-1A                                                                     | GOLDEN CREDIT CARD TRUST GCCT 2021 1A A 144A             | CUSIP: 380881FB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26900000 | PA      | $26608756.39   | 0.31%             | 2028-08-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 3A3          | CUSIP: 761119AR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2733617 | PA      | $803610.00     | 0.01%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A     | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1902835 | PA      | $1844929.43    | 0.02%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A2 144A        | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1080066 | PA      | $1083232.68    | 0.01%             | 2027-10-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B           | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     146151 | PA      | $146172.83     | 0.00%             | 2027-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2022-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2022 B A4            | CUSIP: 65480JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8790000 | PA      | $8801738.17    | 0.10%             | 2029-11-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-4                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 4 M6             | CUSIP: 29256PBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12708033 | PA      | $10823879.03   | 0.13%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-205                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 205 FH           | CUSIP: 38385K4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1733791 | PA      | $1735287.71    | 0.02%             | 2054-04-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1         | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17304 | PA      | $18891.28      | 0.00%             | 2033-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080734 G2 09/33 FLOATING VAR                | CUSIP: 36225CY83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3946 | PA      | $4001.66       | 0.00%             | 2033-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-B                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 B A3            | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52300000 | PA      | $52618391.94   | 0.61%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3               | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158727 | PA      | $150861.45     | 0.00%             | 2035-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2005 3                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2005 3 1A4            | CUSIP: 576434M43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     434287 | PA      | $394508.34     | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A2 144A  | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1054487.50    | 0.01%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A            | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4788721 | PA      | $4790885.40    | 0.06%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 CB1        | CUSIP: 939336P31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73631 | PA      | $11559.60      | 0.00%             | 2033-04-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                      | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770097 | PA      | $776952.22     | 0.01%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                                            | GSAMP TRUST GSAMP 2005 WMC1 M1                           | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4362566 | PA      | $4338313.41    | 0.05%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-2                                               | HOME EQUITY ASSET TRUST HEAT 2005 2 M6                   | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1032596 | PA      | $1030511.84    | 0.01%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD 2018-2A                                                      | SOUND POINT CLO LTD SNDPT 2018 2A A 144A                 | CUSIP: 83611JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     971021 | PA      | $972052.46     | 0.01%             | 2031-07-26      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-223285.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                   | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2799999 | PA      | $2570154.55    | 0.03%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M2         | CUSIP: 17313CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24348000 | PA      | $23520837.57   | 0.27%             | 2037-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                                | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A          | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2050004 | PA      | $2069143.51    | 0.02%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1990311.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16290.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FJ           | CUSIP: 38376RLR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     387229 | PA      | $387971.75     | 0.00%             | 2065-11-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A      | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $3501693.72    | 0.04%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3144 FN 11/47 FIXED VAR                      | CUSIP: 3140J7P66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10902 | PA      | $10447.41      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 C A2A            | CUSIP: 34532UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2169127 | PA      | $2170016.15    | 0.03%             | 2027-08-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| DOMINO'S PIZZA MASTER ISSUER LLC 2021-1A                                         | DOMINOS PIZZA MASTER ISSUER LL DPABS 2021 1A A2I 144A    | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     486250 | PA      | $460746.77     | 0.01%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080601 G2 05/32 FLOATING VAR                | CUSIP: 36225CU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1094 | PA      | $1090.52       | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 4A1           | CUSIP: 576433A55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7335494 | PA      | $3168469.05    | 0.04%             | 2035-07-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A           | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     802775 | PA      | $806133.05     | 0.01%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1081 FR 04/55 FIXED 6                | CUSIP: 31427NFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166595 | PA      | $172859.11     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA9                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA9 A1          | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5595747 | PA      | $2785444.42    | 0.03%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3            | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6200000 | PA      | $6238637.16    | 0.07%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C             | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     412247 | PA      | $367882.75     | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4580 FN 02/43 FIXED VAR                      | CUSIP: 3140XLCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246888 | PA      | $241265.45     | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                                   | MARLETTE FUNDING TRUST MFT 2023 4A A 144A                | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     368479 | PA      | $370617.37     | 0.00%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456357 | PA      | $459026.04     | 0.01%             | 2034-06-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A               | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15468628 | PA      | $15597015.01   | 0.18%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1           | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3766335 | PA      | $3804116.04    | 0.04%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H04 FM           | CUSIP: 38380VPL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     638748 | PA      | $637176.74     | 0.01%             | 2068-03-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A2 144A               | CUSIP: 78437KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200133 | PA      | $200186.35     | 0.00%             | 2027-04-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| ACREC 2025-FL3 LLC                                                               | ACREC LLC ACREC 2025 FL3 A 144A                          | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6400000 | PA      | $6384344.90    | 0.07%             | 2042-08-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40638.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-478044.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                      | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1420173 | PA      | $1424072.42    | 0.02%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5461 FN 01/39 FIXED VAR                      | CUSIP: 3140JAB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     785374 | PA      | $768910.21     | 0.01%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP MYI                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $41165.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A 2026-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2026 A A2A           | CUSIP: 142929AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17775000 | PA      | $17769098.70   | 0.21%             | 2029-12-17      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A        | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1480516 | PA      | $1482545.22    | 0.02%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN ASSET 2000-A                                            | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 A AF3          | CUSIP: 456606AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194347 | PA      | $86479.79      | 0.00%             | 2030-02-25      | Variable      | 8.81%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A           | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1708941 | PA      | $1712544.56    | 0.02%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4556 FN 03/40 FIXED 3.5                      | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82092 | PA      | $78066.11      | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1         | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100617 | PA      | $31268.58      | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-3                                                           | LEHMAN XS TRUST LXS 2007 3 2A3                           | CUSIP: 525245AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9959013 | PA      | $9465104.35    | 0.11%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-2                                                         | PRIME MORTGAGE TRUST PRIME 2005 2 2B1                    | CUSIP: 74160MHX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401295 | PA      | $346616.31     | 0.00%             | 2032-10-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5              | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7792972 | PA      | $8062142.89    | 0.09%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A       | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     940203 | PA      | $941124.12     | 0.01%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7828 G2 01/52 FIXED 3                     | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2514215 | PA      | $2247767.40    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A      | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3024715 | PA      | $3041733.46    | 0.04%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 9 MF1            | CUSIP: 126673GB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128819 | PA      | $128542.92     | 0.00%             | 2034-12-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                                        | FANNIE MAE FNR 2019 62 SN                                | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442088 | PA      | $56147.83      | 0.00%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A          | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2751415 | PA      | $2772256.70    | 0.03%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-S3                                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S3 CB2          | CUSIP: 929227Z74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917161 | PA      | $764017.37     | 0.01%             | 2033-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 07/26 0.00000                              | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7839000 | PA      | $7752107.98    | 0.09%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A       | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255682 | PA      | $241006.89     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A      | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1533829 | PA      | $1537270.03    | 0.02%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3           | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2556002 | PA      | $2563059.55    | 0.03%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                                 | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A             | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2337433 | PA      | $2252884.61    | 0.03%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-6                                                   | HOME EQUITY ASSET TRUST HEAT 2005 6 M4                   | CUSIP: 437084NF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3058527 | PA      | $3053112.62    | 0.04%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP MYI                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $43784.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                      | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3044514 | PA      | $3068279.46    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M3                 | CUSIP: 66987XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21304104 | PA      | $20602883.91   | 0.24%             | 2036-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 A A1A 144A       | CUSIP: 83207EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2851975 | PA      | $2875161.59    | 0.03%             | 2054-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                          | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A      | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4844319 | PA      | $4734552.05    | 0.06%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8324 FR 05/53 FIXED 5.5              | CUSIP: 3132DWG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12686156 | PA      | $12798433.33   | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P2 A2          | CUSIP: 14688YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4940514 | PA      | $4946319.56    | 0.06%             | 2028-08-10      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A    | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2860379 | PA      | $2786337.03    | 0.03%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5              | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84169 | PA      | $88782.25      | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A2          | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3233725 | PA      | $3067971.11    | 0.04%             | 2047-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES 2026-1A                                                     | LAD AUTO RECEIVABLES TRUST LADAR 2026 1A A2 144A         | CUSIP: 505708AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3550000 | PA      | $3538346.06    | 0.04%             | 2029-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                                          | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A         | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10227661.00   | 0.12%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                             | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A     | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450179 | PA      | $451570.29     | 0.01%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M2 144A         | CUSIP: 59982HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2640790.50    | 0.03%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A     | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1725000 | PA      | $1649028.93    | 0.02%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2024 2 A3                  | CUSIP: 05613MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5304232.58    | 0.06%             | 2027-10-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A          | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4916520 | PA      | $4939598.76    | 0.06%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                  | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7400000 | PA      | $7403952.93    | 0.09%             | 2035-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                            | ROMARK CREDIT FUNDING I, LTD. RCF 2024 3A A 144A         | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2503480.00    | 0.03%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5            | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2288785 | PA      | $2241289.85    | 0.03%             | 2034-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A B 144A      | CUSIP: 03333NAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1400000.00    | 0.02%             | 2042-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2004-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2004 2 A1               | CUSIP: 07820QAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6802246 | PA      | $4253190.73    | 0.05%             | 2035-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 1A             | CUSIP: 12669VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11882728 | PA      | $11314280.56   | 0.13%             | 2047-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 M           | CUSIP: 86358HSD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581455 | PA      | $631640.31     | 0.01%             | 2033-10-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A           | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   55437537 | PA      | $55494587.16   | 0.65%             | 2032-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-74365.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A       | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33048596 | PA      | $33561199.77   | 0.39%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $930830.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-4                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 4 M1           | CUSIP: 07389LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14135415 | PA      | $13707629.12   | 0.16%             | 2036-10-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                   | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1080847 | PA      | $1051562.39    | 0.01%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-181.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM2 A1 144A         | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838391 | PA      | $842329.35     | 0.01%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU LTD 2021-2A                                                        | TRIMARAN CAVU LTD CAVU 2021 2A AR 144A                   | CUSIP: 89624UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6198726.40    | 0.07%             | 2034-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                  | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2700746.25    | 0.03%             | 2035-01-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2       | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     371934 | PA      | $365348.61     | 0.00%             | 2034-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-2                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 2 A2A          | CUSIP: 362962AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9677483 | PA      | $9693019.12    | 0.11%             | 2027-07-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-9                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A1           | CUSIP: 863579QW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296142 | PA      | $235223.32     | 0.00%             | 2035-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3519 FR 11/55 FIXED 5.5              | CUSIP: 31427Q4D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     438079 | PA      | $446879.69     | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                  | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7200000 | PA      | $7205508.79    | 0.08%             | 2034-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A2B                | CUSIP: 66987XDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1617 | PA      | $1620.69       | 0.00%             | 2034-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 3 A2           | CUSIP: 07384YLS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193558 | PA      | $192970.37     | 0.00%             | 2043-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A            | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2321958 | PA      | $2286498.20    | 0.03%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA2                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA2 1A          | CUSIP: 76111XVE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1531402 | PA      | $849069.17     | 0.01%             | 2035-06-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1        | CUSIP: 07387YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423726 | PA      | $422440.63     | 0.00%             | 2037-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE3 M5         | CUSIP: 073879SA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8392000 | PA      | $8723459.66    | 0.10%             | 2035-03-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7970 FN 08/37 FIXED 3                        | CUSIP: 3140MM2C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37644 | PA      | $35986.48      | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                              | MFRA TRUST MFRA 2023 INV2 A1 144A                        | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1397130 | PA      | $1406351.82    | 0.02%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1        | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        716 | PA      | $718.77        | 0.00%             | 2030-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1          | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470467 | PA      | $442769.89     | 0.01%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 612514 FN 05/33 FLOATING VAR                   | CUSIP: 31388RN78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5996 | PA      | $6109.48       | 0.00%             | 2033-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A       | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4273473 | PA      | $4276365.60    | 0.05%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A          | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     676266 | PA      | $642933.74     | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B          | CUSIP: 64352VQR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40509 | PA      | $40515.73      | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $555562.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4                     | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV3        | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3713132 | PA      | $2577941.72    | 0.03%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A          | NEUBERGER BERMAN LOAN ADVISERS NEUBL 2023 1A A1R 144A    | CUSIP: 640977AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7600000 | PA      | $7600955.40    | 0.09%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A A 144A      | CUSIP: 03331VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9400000 | PA      | $9317993.08    | 0.11%             | 2040-10-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-B                                    | CPS AUTO TRUST CPS 2025 B A 144A                         | CUSIP: 12630SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2230916 | PA      | $2234929.61    | 0.03%             | 2029-02-15      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 3A2        | CUSIP: 07387VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1830416 | PA      | $1653935.86    | 0.02%             | 2037-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2A 144A    | CUSIP: 55287XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13572094 | PA      | $13595090.57   | 0.16%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-84606.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0598 FN 01/46 FIXED 4                        | CUSIP: 3140EUUY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19313 | PA      | $18538.68      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                                       | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A              | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10300000 | PA      | $10302464.07   | 0.12%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                                     | ACE SECURITIES CORP. ACE 2003 OP1 M1                     | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399046 | PA      | $410005.01     | 0.00%             | 2033-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $57221485.54   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J1 1A1                  | CUSIP: 126694XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3065290 | PA      | $1152366.58    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0282 FN 10/48 FIXED 4                        | CUSIP: 3140HDJ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     189555 | PA      | $181575.55     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A         | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10484351 | PA      | $10010042.18   | 0.12%             | 2047-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030447<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60240000 | PA      | $57541291.98   | 0.67%             | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0936 FN 12/48 FIXED 4                        | CUSIP: 3140JHBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37924 | PA      | $36388.44      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                       | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         81 | PA      | $80.43         | 0.00%             | 2027-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A         | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2392929 | PA      | $2403232.05    | 0.03%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 B2          | CUSIP: 92922FNM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242287 | PA      | $213375.09     | 0.00%             | 2034-06-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3             | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6896447.88    | 0.08%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3        | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162356 | PA      | $152989.11     | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-74                                                               | FANNIE MAE FNR 2005 74 DZ                                | CUSIP: 31394FDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2369876 | PA      | $2405316.94    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35       | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456169 | PA      | $384330.08     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2       | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1966 | PA      | $1958.87       | 0.00%             | 2036-07-25      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2006-5                                                              | SACO I TRUST SACO 2006 5 2A3                             | CUSIP: 785811AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39404 | PA      | $82724.42      | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1         | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1249350 | PA      | $1237979.82    | 0.01%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6212 FN 03/49 FIXED 4                        | CUSIP: 3140JN3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42271 | PA      | $40453.81      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL1 A1 144A    | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     778980 | PA      | $767894.67     | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV1                                               | OCEANVIEW MORTGAGE TRUST BVINV 2025 1 AF1 144A           | CUSIP: 67551WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     811643 | PA      | $812316.03     | 0.01%             | 2054-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN ASSET 2000-A                                            | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 A MV1          | CUSIP: 456606AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309803 | PA      | $330127.42     | 0.00%             | 2031-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2023-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2023 CES2 A1A 144A      | CUSIP: 748956AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393885 | PA      | $395679.29     | 0.00%             | 2043-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                              | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13824782 | PA      | $13061575.63   | 0.15%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2           | CUSIP: 07384YGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19128 | PA      | $19172.04      | 0.00%             | 2042-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                       | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        252 | PA      | $245.42        | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  198000000 | PA      | $198455641.56  | 2.31%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 8JA1              | CUSIP: 466247QR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717858 | PA      | $585855.94     | 0.01%             | 2035-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A            | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1197843 | PA      | $1110275.89    | 0.01%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                             | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A              | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735978 | PA      | $738392.48     | 0.01%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                  | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20946 | PA      | $9846.33       | 0.00%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7650 G2 10/51 FIXED 3                     | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     466629 | PA      | $417384.90     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                 | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   30000000 | PA      | $30097890.00   | 0.35%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1B 144A        | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3699657 | PA      | $3721919.53    | 0.04%             | 2072-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A2        | CUSIP: 07387VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3566516 | PA      | $3258452.79    | 0.04%             | 2037-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2023 C A3             | CUSIP: 344940AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4318214 | PA      | $4352889.71    | 0.05%             | 2028-09-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-7 LTD 2018-7A                                                          | CBAM CLO MANAGEMENT CBAM 2018 7A A 144A                  | CUSIP: 12482JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3030011 | PA      | $3033218.86    | 0.04%             | 2031-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26402.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-21                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 21 DB1          | CUSIP: 22541QQQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     687594 | PA      | $635018.64     | 0.01%             | 2033-08-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-749815.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES1 A1A 144A   | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900006 | PA      | $905157.38     | 0.01%             | 2060-01-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2B 144A    | CUSIP: 55287XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8296640 | PA      | $8300497.60    | 0.10%             | 2028-05-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                               | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A      | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5202424 | PA      | $5207915.66    | 0.06%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 2022-27A LTD                                                            | AMERICAN MONEY MANAGEMENT CORP AMMC 2022 27A A1R 144A    | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3700229.73    | 0.04%             | 2037-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658481 FN 09/33 FLOATING VAR                   | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6961 | PA      | $7042.11       | 0.00%             | 2033-09-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| USB AUTO OWNER TRUST 2025-1A                                                     | USB AUTO OWNER TRUST USCAR 2025 1A A2 144A               | CUSIP: 90367VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4520905 | PA      | $4527211.61    | 0.05%             | 2028-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1         | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417489 | PA      | $367593.72     | 0.00%             | 2035-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                     | ARI FLEET LEASE TRUST ARIFL 2025 A A2 144A               | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1994178 | PA      | $1997211.20    | 0.02%             | 2034-01-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A3         | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12693136 | PA      | $3776609.12    | 0.04%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08803 FG 03/48 FIXED 3                | CUSIP: 3128MJ3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     826762 | PA      | $742263.48     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M4           | CUSIP: 68389FGN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2931675 | PA      | $2179342.77    | 0.03%             | 2035-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A1           | CUSIP: 55275BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12822487 | PA      | $6402274.36    | 0.07%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1              | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7117124 | PA      | $6073466.09    | 0.07%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A          | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1461154 | PA      | $1458740.31    | 0.02%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7664 FR 07/52 FIXED 4                | CUSIP: 3133KPQR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264549 | PA      | $250686.64     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A    | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907166 | PA      | $867121.59     | 0.01%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.92750 03/25/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-200293.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                   | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5026097 | PA      | $4876940.99    | 0.06%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                  | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4952 | PA      | $4988.99       | 0.00%             | 2034-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A               | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1094202 | PA      | $1096171.82    | 0.01%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A           | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5394056 | PA      | $5389902.38    | 0.06%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BHG-2021-A                                                                       | BANKERS HEALTHCARE GROUP SECUR BHG 2021 A A 144A         | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     198935 | PA      | $198021.40     | 0.00%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A         | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122988 | PA      | $23954.27      | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1361 FN 04/55 FIXED VAR                      | CUSIP: 3140W1QP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1475197 | PA      | $1508694.42    | 0.02%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-2                                                   | FREMONT HOME LOAN TRUST FHLT 2004 2 M1                   | CUSIP: 35729PED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2728905 | PA      | $2602391.73    | 0.03%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888527 FN 04/34 FLOATING VAR                   | CUSIP: 31410GD83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $397.81        | 0.00%             | 2034-04-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891332 FN 04/36 FLOATING VAR                   | CUSIP: 31410MHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $328.78        | 0.00%             | 2036-04-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 A2          | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17332 | PA      | $16608.78      | 0.00%             | 2034-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $259447.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4876 FN 12/52 FIXED 6                        | CUSIP: 31418EM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107712 | PA      | $110837.62     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  127400000 | PA      | $119971012.98  | 1.40%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  102435000 | PA      | $101037891.08  | 1.18%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4            | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129918 | PA      | $129648.87     | 0.00%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A        | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     276715 | PA      | $277148.42     | 0.00%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO8 1A3A        | CUSIP: 75115FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4395951 | PA      | $4293557.45    | 0.05%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SACO I INC 2005-3                                                                | SACO I TRUST SACO 2005 3 M1 144A                         | CUSIP: 785778EV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41265 | PA      | $41912.70      | 0.00%             | 2035-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0970 FN 12/26 FIXED 3                        | CUSIP: 3138XCCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2025 | PA      | $2014.97       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                  | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24408784 | PA      | $22658376.41   | 0.26%             | 2036-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A24              | CUSIP: 46628YAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207664 | PA      | $73481.64      | 0.00%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                     | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                 | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5301689.91    | 0.06%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR           | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1819 | PA      | $1868.49       | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A      | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2949538.96    | 0.03%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A            | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6403200.00    | 0.07%             | 2035-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R5                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R5 1A3 144A     | CUSIP: 05990WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60919162 | PA      | $58970552.96   | 0.69%             | 2036-10-26      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 1 A1 144A       | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1274631 | PA      | $1262147.80    | 0.01%             | 2031-02-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A      | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     201347 | PA      | $200863.17     | 0.00%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                               | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A       | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3525337 | PA      | $3548582.05    | 0.04%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                         | SEQUOIA MORTGAGE TRUST SEMT 9 2A                         | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5850 | PA      | $5751.80       | 0.00%             | 2032-09-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1              | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501604 | PA      | $481356.57     | 0.01%             | 2036-01-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 A2 144A       | CUSIP: 69545GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     301711 | PA      | $302025.57     | 0.00%             | 2032-10-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 13R 5A2 144A      | CUSIP: 12646ADL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3578588 | PA      | $2163011.73    | 0.03%             | 2036-02-27      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                   | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        758 | PA      | $767.37        | 0.00%             | 2044-03-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC4                            | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC4 A1         | CUSIP: 07388WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8378606 | PA      | $6513441.54    | 0.08%             | 2036-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                         | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                    | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4692950.24    | 0.05%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A       | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4416934 | PA      | $3998830.33    | 0.05%             | 2047-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 2A19       | CUSIP: 23246KBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812545 | PA      | $376592.50     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1               | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5786015 | PA      | $3331781.15    | 0.04%             | 2035-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A            | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19262040 | PA      | $18617832.31   | 0.22%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A     | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6040626.00    | 0.07%             | 2036-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5008 FR 08/39 FIXED 4                | CUSIP: 3133KYR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1686349 | PA      | $1646823.68    | 0.02%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005017 G2 04/41 FIXED 4.5                   | CUSIP: 36202FSE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51169 | PA      | $50754.86      | 0.00%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A        | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17564280 | PA      | $15756707.93   | 0.18%             | 2038-01-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A        | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3286310 | PA      | $3178480.13    | 0.04%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-129901.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A       | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128813 | PA      | $121638.26     | 0.00%             | 2046-02-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2186 FR 04/55 FIXED 6.5              | CUSIP: 31426LNC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210106 | PA      | $217405.25     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A           | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6250000 | PA      | $6252713.75    | 0.07%             | 2034-10-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                                    | ACE SECURITIES CORP. ACE 2006 ASP5 A2C                   | CUSIP: 004422AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14060590 | PA      | $4677464.69    | 0.05%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A        | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490924 | PA      | $493282.92     | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 1 30B1          | CUSIP: 55265WBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1795950 | PA      | $222036.87     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A5                | CUSIP: 07386HRC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     973807 | PA      | $806805.95     | 0.01%             | 2035-04-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MORTGAGE SECURITIES VII 1997-LB6                                | SALOMON BROTHERS MORTGAGE SECU SBM7 1997 LB6 B2          | CUSIP: 79548KYB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340821 | PA      | $52929.96      | 0.00%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1        | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3095798 | PA      | $2089585.90    | 0.02%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A           | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9100000 | PA      | $9102011.28    | 0.11%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                               | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A         | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2557733 | PA      | $2565881.07    | 0.03%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A           | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     203422 | PA      | $203515.14     | 0.00%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8811 FR 03/55 FIXED 7                | CUSIP: 31426FYH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2723916 | PA      | $2881986.82    | 0.03%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-119669.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A      | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1254982 | PA      | $1245583.43    | 0.01%             | 2037-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6812 FN 01/53 FIXED 5.5                      | CUSIP: 3140NBSA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81733 | PA      | $82451.83      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1            | CUSIP: 759950AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377232 | PA      | $361476.31     | 0.00%             | 2032-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR29                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR29 A1         | CUSIP: 45662DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139772 | PA      | $142326.61     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1          | CUSIP: 81375WAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030983 | PA      | $1092984.15    | 0.01%             | 2034-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8461 FR 09/54 FIXED 5                | CUSIP: 3132DWMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142029 | PA      | $140213.06     | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 7A2           | CUSIP: 576433GP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2557 | PA      | $2507.18       | 0.00%             | 2033-12-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13       | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234562 | PA      | $115579.00     | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| LMNT CRE 2025-FL3 LLC                                                            | LFT CRE 2021 FL1, LLC LMNT 2025 FL3 A 144A               | CUSIP: 50208TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11200000 | PA      | $11206772.86   | 0.13%             | 2043-07-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2023-1A                                               | BANK OF AMERICA AUTO TRUST BAAT 2023 1A A4 144A          | CUSIP: 06428AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4200000 | PA      | $4233055.68    | 0.05%             | 2029-07-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A             | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $602293.08     | 0.01%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1          | CUSIP: 542514BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        204 | PA      | $204.12        | 0.00%             | 2032-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5297 FN 03/54 FIXED 6.5                      | CUSIP: 31418E3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19333251 | PA      | $20001024.28   | 0.23%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A    | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $948143.02     | 0.01%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2A1               | CUSIP: 669971AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538196 | PA      | $167872.30     | 0.00%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1         | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76255 | PA      | $63194.74      | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M3         | CUSIP: 17309MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11379606 | PA      | $10681512.66   | 0.12%             | 2036-08-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A       | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6285719 | PA      | $6295000.37    | 0.07%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                                    | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A              | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     515297 | PA      | $518114.13     | 0.01%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10213 | PA      | $9738.91       | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                             | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                 | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4998849 | PA      | $4999318.83    | 0.06%             | 2033-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1            | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8320 | PA      | $8048.44       | 0.00%             | 2035-10-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 CB3        | CUSIP: 939336RQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468893 | PA      | $495409.21     | 0.01%             | 2033-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8445 FR 07/54 FIXED 5                | CUSIP: 3132DWL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     420066 | PA      | $414883.69     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUITY ONE ABS INC 2004-3                                                        | EQUITY ONE ABS INC EQABS 2004 3 AV2                      | CUSIP: 294751EY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1384 | PA      | $1356.74       | 0.00%             | 2034-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 1A1         | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3699227 | PA      | $3832264.64    | 0.04%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5         | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155430 | PA      | $143966.55     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                          | LEHMAN XS TRUST LXS 2005 5N 1A2                          | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2695870 | PA      | $2720696.92    | 0.03%             | 2035-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 1A1         | CUSIP: 74958WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194301 | PA      | $169049.84     | 0.00%             | 2037-02-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                            | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A         | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22467042 | PA      | $3446988.01    | 0.04%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                 | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6603704.78    | 0.08%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1190 FR 05/55 FIXED 5.5              | CUSIP: 31427NKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234357 | PA      | $239658.59     | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                             | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27400000 | PA      | $26474254.28   | 0.31%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                                        | FANNIE MAE FNR 2024 88 FD                                | CUSIP: 3136BT6B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1328137 | PA      | $1339442.28    | 0.02%             | 2054-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 1A1                  | CUSIP: 12669GUH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261592 | PA      | $244387.86     | 0.00%             | 2035-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1              | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62193 | PA      | $57094.96      | 0.00%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A         | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464637 | PA      | $452459.47     | 0.01%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A          | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8724 | PA      | $8855.98       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1           | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         95 | PA      | $95.51         | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A    | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907006 | PA      | $880983.03     | 0.01%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A          | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15066615 | PA      | $15163386.25   | 0.18%             | 2055-05-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A      | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1243215 | PA      | $1226322.17    | 0.01%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                              | MFRA TRUST MFRA 2021 RPL1 M2 144A                        | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $414773.80     | 0.00%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4662 FN 07/42 FIXED 4                        | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304895 | PA      | $298097.25     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $914249.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                                | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     321088 | PA      | $315296.32     | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1014 G2 05/43 FIXED 4.5                   | CUSIP: 36179NDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23566 | PA      | $23378.40      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A           | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2253250 | PA      | $2271531.94    | 0.03%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                               | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                  | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     355783 | PA      | $356320.27     | 0.00%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3380 FR 02/55 FIXED 5.5              | CUSIP: 31427QXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     740739 | PA      | $754116.57     | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.0* 8/09/23-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $324571.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A             | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     873295 | PA      | $871527.05     | 0.01%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M2 144A      | CUSIP: 126405AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9794500 | PA      | $7592433.91    | 0.09%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 CB1        | CUSIP: 22541QUX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1062690 | PA      | $977474.10     | 0.01%             | 2033-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM1 A1 144A    | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     888962 | PA      | $894553.23     | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A     | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $958634.75     | 0.01%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA2 1A1        | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1425019 | PA      | $1302753.05    | 0.02%             | 2047-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782804 FH 11/34 FLOATING VAR           | CUSIP: 31349UDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1015.82       | 0.00%             | 2034-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8514 FR 03/55 FIXED 5                | CUSIP: 3132DWN74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220474 | PA      | $217657.76     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2026-1A                                              | FCCU AUTO RECEIVABLES TRUST FCCU 2026 1A A1 144A         | CUSIP: 30343XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     692312 | PA      | $692306.24     | 0.01%             | 2027-02-16      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1         | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80210 | PA      | $73300.25      | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-3A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 3A A2            | CUSIP: 30166XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5426962 | PA      | $5431663.61    | 0.06%             | 2028-01-18      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2026-1A                                              | FCCU AUTO RECEIVABLES TRUST FCCU 2026 1A A2 144A         | CUSIP: 30343XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4475000 | PA      | $4466194.99    | 0.05%             | 2029-10-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE2230 FR 05/52 FIXED 3                | CUSIP: 3133BBPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     961074 | PA      | $846098.29     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                  | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10700000 | PA      | $10713051.75   | 0.12%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A4          | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2644516.16    | 0.03%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4                | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     516602 | PA      | $505050.88     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782645 FH 02/36 FLOATING VAR           | CUSIP: 31349T5E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1223 | PA      | $1260.44       | 0.00%             | 2036-02-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-501918.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A        | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     286214 | PA      | $286380.33     | 0.00%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A               | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1713263 | PA      | $1723968.62    | 0.02%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1         | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15469 | PA      | $12687.09      | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2C                  | CUSIP: 03076MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17843565 | PA      | $5421629.89    | 0.06%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2024 1A A2 144A     | CUSIP: 026944AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     254905 | PA      | $255237.40     | 0.00%             | 2028-03-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M6          | CUSIP: 03072SVW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3843676 | PA      | $3446056.78    | 0.04%             | 2034-11-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-2                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 2 A2           | CUSIP: 10807HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6102665 | PA      | $6106965.70    | 0.07%             | 2028-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR17                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR17 3A1        | CUSIP: 45660LUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7070566 | PA      | $4712877.25    | 0.05%             | 2035-09-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-61                                                               | FANNIE MAE FNR 2001 61 FH                                | CUSIP: 313921R26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        467 | PA      | $467.63        | 0.00%             | 2031-11-18      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 3 M4           | CUSIP: 68383NBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2775588 | PA      | $2800873.26    | 0.03%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A2               | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     373121 | PA      | $366948.41     | 0.00%             | 2029-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 1 A3            | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $214856.71     | 0.00%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8214 FR 05/52 FIXED 3.5              | CUSIP: 3132DWDT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     334063 | PA      | $306806.06     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 1AV1               | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2043013 | PA      | $1951826.47    | 0.02%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1              | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1042055 | PA      | $662392.27     | 0.01%             | 2045-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A       | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15794916 | PA      | $12704643.51   | 0.15%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $60840.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2928 FN 03/55 FIXED 7                        | CUSIP: 3140B3HE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2202870 | PA      | $2333066.57    | 0.03%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 6 A2 144A            | CUSIP: 89175JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $963651.30     | 0.01%             | 2057-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-8 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A       | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1831173 | PA      | $1824278.58    | 0.02%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A      | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     768262 | PA      | $770287.89     | 0.01%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A             | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2544143 | PA      | $2544002.53    | 0.03%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FD           | CUSIP: 38375BD74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     370058 | PA      | $369095.64     | 0.00%             | 2062-12-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX1 M2         | CUSIP: 75405KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7626182 | PA      | $7611087.49    | 0.09%             | 2036-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2B         | CUSIP: 32029AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10007092 | PA      | $9321539.61    | 0.11%             | 2037-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3261939.12    | 0.04%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 5A1               | CUSIP: 45254TRS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     821210 | PA      | $516148.30     | 0.01%             | 2035-07-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2004-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2004 1 M1                | CUSIP: 45254TPA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317028 | PA      | $298162.63     | 0.00%             | 2034-03-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27291.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H21 FA           | CUSIP: 38375UAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15394 | PA      | $15484.28      | 0.00%             | 2063-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1387331.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004771 G2 08/40 FIXED 4.5                   | CUSIP: 36202FJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48664 | PA      | $48194.08      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1122429.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3146 FN 06/44 FIXED 4                        | CUSIP: 3138XSP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     587227 | PA      | $565971.24     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                           | PIKES PEAK CLO PIPK 2018 2A ARR 144A                     | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6008278.56    | 0.07%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 3 A2A          | CUSIP: 379965AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8639697 | PA      | $8647926.41    | 0.10%             | 2027-10-20      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                     | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5206723.96    | 0.06%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4482 FN 11/47 FIXED 4                        | CUSIP: 3140H56U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1773 | PA      | $1704.54       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                              | PRET 2025 NPL10 LLC 10/55 5.2498                         | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3016907 | PA      | $3005893.46    | 0.03%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                            | CQS US CLO LTD CQS 2021 1A AR 144A                       | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3701228.73    | 0.04%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A       | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     157619 | PA      | $157975.44     | 0.00%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4061 FN 10/37 FIXED VAR                      | CUSIP: 3140XKQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     496257 | PA      | $474410.57     | 0.01%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1          | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15736 | PA      | $15109.60      | 0.00%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                   | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962141 | PA      | $440209.92     | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3              | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2097397 | PA      | $2085146.89    | 0.02%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  601594630 | PA      | $612352754.26  | 7.12%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOODWARD CAPITAL MANAGEMENT SERIES 2026-CES1                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2026 CES1 A1A 144A      | CUSIP: 74939BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2535196 | PA      | $2517851.41    | 0.03%             | 2056-01-25      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A      | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $955584.33     | 0.01%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A              | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1647182 | PA      | $1648889.90    | 0.02%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-112081.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8869 FN 05/49 FIXED 3.5                      | CUSIP: 3140JR2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72635 | PA      | $67946.69      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A              | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2942185 | PA      | $2500291.40    | 0.03%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A    | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19000000 | PA      | $17864805.10   | 0.21%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4           | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664417 | PA      | $663462.40     | 0.01%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LBMLT 2003-3 M3 SP BOA                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $139.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-865726.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN 2000-5                                                  | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2000 5 A            | CUSIP: 68389FBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        597 | PA      | $608.49        | 0.00%             | 2030-08-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A          | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3475671 | PA      | $3484695.01    | 0.04%             | 2055-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H24 FB           | CUSIP: 38375UBR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212471 | PA      | $213614.92     | 0.00%             | 2063-09-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6430 FN 04/55 FIXED 7                        | CUSIP: 3140B7EC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3727746 | PA      | $3954125.84    | 0.05%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A1 144A            | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     919579 | PA      | $936570.98     | 0.01%             | 2055-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-15                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 15 6A1          | CUSIP: 576433VQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164713 | PA      | $156108.21     | 0.00%             | 2034-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3         | CUSIP: 04541GUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10881327 | PA      | $11111677.86   | 0.13%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3799 FN 09/55 FIXED VAR                      | CUSIP: 3140W4GH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2251769 | PA      | $2342661.03    | 0.03%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A            | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001045.68    | 0.01%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A    | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13524497 | PA      | $6154199.78    | 0.07%             | 2037-06-27      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A3          | CUSIP: 542514UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38691940 | PA      | $11418529.30   | 0.13%             | 2046-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6433 FN 03/55 FIXED 7                        | CUSIP: 3140B7EF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5558590 | PA      | $5890040.32    | 0.07%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A      | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9155912 | PA      | $8844038.80    | 0.10%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 3 B3 144A            | CUSIP: 89172YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $948276.10     | 0.01%             | 2056-04-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253348 FN 06/30 FIXED 8.5                      | CUSIP: 31371JL51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        875 | PA      | $896.91        | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-257484.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2518                                                                 | FREDDIE MAC FHR 2518 FP                                  | CUSIP: 31392WQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1385.36       | 0.00%             | 2032-10-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A 2026-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2026 A A1            | CUSIP: 142929AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10477884 | PA      | $10478014.15   | 0.12%             | 2027-03-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A             | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     903602 | PA      | $909141.53     | 0.01%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SACO I INC 1997-2                                                                | SACO I TRUST SACO 1997 2 1A5 144A                        | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1852 | PA      | $1687.26       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                              | MFRA TRUST MFRA 2020 NQM2 A3 144A                        | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143502 | PA      | $141341.85     | 0.00%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A       | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     605559 | PA      | $606659.60     | 0.01%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B        | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675664 | PA      | $633875.58     | 0.01%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781086 FH 12/33 FLOATING VAR           | CUSIP: 31349SF32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7141 | PA      | $7305.04       | 0.00%             | 2033-12-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A         | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4690058 | PA      | $4418647.78    | 0.05%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1           | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2144719 | PA      | $1691178.78    | 0.02%             | 2036-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7133 FN 02/47 FIXED 4                        | CUSIP: 3140FS4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29349 | PA      | $28142.35      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                              | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A               | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   27300000 | PA      | $27252573.08   | 0.32%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A          | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4642330.74    | 0.05%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                             | GCAT GCAT 2024 NQM1 A1 144A                              | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650044 | PA      | $653167.35     | 0.01%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                             | CUSIP: 21H022648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3097687.50    | 0.04%             | 2056-04-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  413000000 | PA      | $420224220.78  | 4.89%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J6                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J6 2A1         | CUSIP: 12667FRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12074 | PA      | $12338.69      | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2007-2                                                | HSI ASSET LOAN OBLIGATION HALO 2007 2 3A6                | CUSIP: 40432BAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132378 | PA      | $352853.73     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 4A1        | CUSIP: 45661KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2451174 | PA      | $1904730.12    | 0.02%             | 2036-06-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A5           | CUSIP: 86359BGK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14904 | PA      | $14484.66      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 3 A2 144A        | CUSIP: 29375UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15400000 | PA      | $15440335.68   | 0.18%             | 2028-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                              | POST CLO LTD POST 2022 1A AR 144A                        | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7501658.40    | 0.09%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $48819652.78   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2         | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1358632 | PA      | $1265430.48    | 0.01%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A      | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3981103 | PA      | $4015447.89    | 0.05%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A     | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4757319 | PA      | $4788147.51    | 0.06%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 4A1          | CUSIP: 07401EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1491665 | PA      | $1353380.20    | 0.02%             | 2046-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV2478 FN 06/37 FIXED 3                        | CUSIP: 3140MFXG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149684 | PA      | $143820.31     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2003-A15                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A15 1A2         | CUSIP: 45660NWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11263 | PA      | $10683.65      | 0.00%             | 2034-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783590 G2 06/41 FIXED 4.5                   | CUSIP: 36241L7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43684 | PA      | $43323.65      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A6          | CUSIP: 32028GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25256000 | PA      | $22172058.03   | 0.26%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2              | CUSIP: 61744CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5419875 | PA      | $5307056.61    | 0.06%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MV2                       | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2878 | PA      | $2772.47       | 0.00%             | 2034-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 8 A1 144A       | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1079776 | PA      | $1079513.47    | 0.01%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 AA         | CUSIP: 17307GMC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42033 | PA      | $40638.20      | 0.00%             | 2034-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1         | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295635 | PA      | $279605.17     | 0.00%             | 2036-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $661467.66     | 0.01%             | 2041-04-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                       | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A              | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2603588.03    | 0.03%             | 2034-10-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-1                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 1 A2             | CUSIP: 262102AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17611185 | PA      | $17626967.74   | 0.21%             | 2028-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0868 G2 01/56 FIXED 3.5                   | CUSIP: 3618N56E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18358253.18   | 0.21%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                       | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3277328.68    | 0.04%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 2A A2 144A     | CUSIP: 78398HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13542364 | PA      | $13564768.98   | 0.16%             | 2028-11-20      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A           | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1487803 | PA      | $1499730.02    | 0.02%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A1               | CUSIP: 07386HB75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1791035 | PA      | $1249987.38    | 0.01%             | 2036-02-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A         | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1029988 | PA      | $1037001.57    | 0.01%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2996905 | PA      | $3006578.04    | 0.03%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 03/18/26-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-36955.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                     | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2015726 | PA      | $2017819.10    | 0.02%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-11                                                   | GSAA HOME EQUITY TRUST GSAA 2004 11 M2                   | CUSIP: 36242DQK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3411767 | PA      | $3226305.64    | 0.04%             | 2034-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3            | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2805937.12    | 0.03%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 1A1        | CUSIP: 83613AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7007607 | PA      | $5243593.03    | 0.06%             | 2037-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2026 CES2 A1A 144A        | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875528 | PA      | $1852553.11    | 0.02%             | 2066-02-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A           | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4454003 | PA      | $4436581.82    | 0.05%             | 2053-04-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                                  | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 B1          | CUSIP: 92922FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3250 | PA      | $3173.22       | 0.00%             | 2033-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1             | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19221 | PA      | $12350.61      | 0.00%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1           | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     655400 | PA      | $258151.61     | 0.00%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1354 FN 06/47 FIXED 4                        | CUSIP: 3140GPQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79366 | PA      | $76415.20      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A        | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     658066 | PA      | $659584.57     | 0.01%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-3Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $357194.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR2                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR2 AX2         | CUSIP: 45660NG90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1150920 | PA      | $946011.29     | 0.01%             | 2034-06-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A           | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     877778 | PA      | $882582.77     | 0.01%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M1            | CUSIP: 9497EBAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3521757 | PA      | $3557795.58    | 0.04%             | 2037-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                                         | BCAP LLC TRUST BCAP 2008 IND1 A1                         | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11142367 | PA      | $8400416.47    | 0.10%             | 2047-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                   | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3871782 | PA      | $4026363.81    | 0.05%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                       | SANDSTONE PEAK LTD. SAND 2021 1A A1R2 144A               | CUSIP: 800130BA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8750000 | PA      | $8728921.25    | 0.10%             | 2038-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO I LTD 2021-1A                                                | CAPITAL FOUR US CLO C4US 2021 1A AR 144A                 | CUSIP: 14016TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7800000 | PA      | $7788300.55    | 0.09%             | 2035-01-18      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-41920.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2007-AR1                                     | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR1 1A2          | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276107 | PA      | $264169.10     | 0.00%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-58                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 58 2A2                  | CUSIP: 12669FDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4205 | PA      | $4159.59       | 0.00%             | 2034-02-19      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-588278.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 02/09/22-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $200370.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                                        | RCO MORTGAGE LLC RCO 2025 5 A1 144A                      | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1374831 | PA      | $1372206.12    | 0.02%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 6A22         | CUSIP: 007036TR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192946 | PA      | $185815.37     | 0.00%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.25000 06/17/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-565081.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $978857.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1          | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4511083 | PA      | $4054764.02    | 0.05%             | 2046-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $711089.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-15274.05     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1        | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28307 | PA      | $26598.09      | 0.00%             | 2036-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 1A5          | CUSIP: 93934FCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269448 | PA      | $226213.68     | 0.00%             | 2035-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                                | CIM TRUST CIM 2023 R4 A1 144A                            | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1211889 | PA      | $1205103.83    | 0.01%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                      | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                  | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001168.75    | 0.01%             | 2034-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3          | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7355874 | PA      | $4710533.09    | 0.05%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM8                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM8 A1 144A    | CUSIP: 61779QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2779355 | PA      | $2775674.35    | 0.03%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                               | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A          | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3996080.80    | 0.05%             | 2029-08-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BX-2021-LBA                                                                      | BX TRUST BX 2021 LBA AV 144A                             | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4151751 | PA      | $4151609.71    | 0.05%             | 2036-02-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 6A             | CUSIP: 02660TEV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3284 | PA      | $2738.59       | 0.00%             | 2035-08-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2026-A                                                 | AQUA FINANCE TRUST AQFIT 2026 A A 144A                   | CUSIP: 038410AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1892183.97    | 0.02%             | 2051-04-17      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-95142.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES10                                                   | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES10 A1A 144A     | CUSIP: 74939LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13079390 | PA      | $13003258.86   | 0.15%             | 2055-11-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4746 FN 08/27 FIXED 3                        | CUSIP: 3138M8HY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6378 | PA      | $6327.26       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                   | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3592 | PA      | $3394.74       | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC3                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC3 M5             | CUSIP: 61744CQB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2090777 | PA      | $2052470.73    | 0.02%             | 2035-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A      | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     341362 | PA      | $335682.58     | 0.00%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A3           | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1751438 | PA      | $1765591.93    | 0.02%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR33                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR33 3A1        | CUSIP: 45660L5A3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2865339 | PA      | $2624771.07    | 0.03%             | 2036-01-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                                    | SLM STUDENT LOAN TRUST SLMA 2005 B A4                    | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     717216 | PA      | $703472.99     | 0.01%             | 2039-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-5                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 5 4A1           | CUSIP: 225458UE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95373 | PA      | $98213.46      | 0.00%             | 2035-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8100000 | PA      | $8151989.04    | 0.09%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 9CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 9CB 1A5        | CUSIP: 12667GEP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99915 | PA      | $88481.76      | 0.00%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3564 FN 11/55 FIXED VAR                      | CUSIP: 3140W36A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1728440 | PA      | $1763027.64    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR33                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR33 3A2        | CUSIP: 22541NXW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26091 | PA      | $20070.07      | 0.00%             | 2032-12-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM2 A1 144A    | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14198812 | PA      | $14334385.47   | 0.17%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A        | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4132966 | PA      | $4142469.06    | 0.05%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5740 FR 05/54 FIXED 7                | CUSIP: 3133WCLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3060291 | PA      | $3239511.00    | 0.04%             | 2054-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005082 G2 06/41 FIXED 4.5                   | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410319 | PA      | $404668.11     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 2A1        | CUSIP: 12668ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1960045 | PA      | $606749.33     | 0.01%             | 2035-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2016-1A                                                | NELNET STUDENT LOAN TRUST NSLT 2016 1A A 144A            | CUSIP: 64033UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4719491 | PA      | $4725835.57    | 0.05%             | 2065-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-2                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 2 AF4           | CUSIP: 75970NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        908 | PA      | $905.34        | 0.00%             | 2035-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR18 A          | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570236 | PA      | $569485.49     | 0.01%             | 2033-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $58817.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A         | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2021316 | PA      | $2002576.55    | 0.02%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2         | CUSIP: 07384MZ96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45770 | PA      | $43907.51      | 0.00%             | 2034-11-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF3 A1 144A    | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     865221 | PA      | $864147.94     | 0.01%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 5 A1 144A       | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1801081 | PA      | $1798679.00    | 0.02%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0788 FR 02/55 FIXED 6                | CUSIP: 31427M2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     779149 | PA      | $804717.95     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080309 G2 08/29 FLOATING VAR                | CUSIP: 36225CKX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1292.62       | 0.00%             | 2029-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                                       | SCULPTOR CLO LTD SCUL 27A A1RR 144A                      | CUSIP: 81124UBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8100000 | PA      | $8093399.15    | 0.09%             | 2037-04-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2007-S                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD3 A          | CUSIP: 07387LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425955 | PA      | $406662.54     | 0.00%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 4A2          | CUSIP: 61748HEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10689 | PA      | $10510.38      | 0.00%             | 2034-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26351489.42  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 7 A1 144A       | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1814792 | PA      | $1816813.69    | 0.02%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU1888 FN 09/51 FIXED 4                        | CUSIP: 3140M3C24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245202 | PA      | $233630.68     | 0.00%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A            | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     711526 | PA      | $715228.37     | 0.01%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2049 FR 08/55 FIXED 5.5              | CUSIP: 31427PH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1999258 | PA      | $2035657.10    | 0.02%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780870 FH 09/33 FLOATING VAR           | CUSIP: 31342A6F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4271 | PA      | $4397.70       | 0.00%             | 2033-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 3A          | CUSIP: 74958WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456781 | PA      | $404335.36     | 0.00%             | 2037-02-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-3 LTD 2025-3A                                    | PALMER SQUARE LOAN FUNDING LTD PSTAT 2025 3A A1 144A     | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3101303.02    | 0.04%             | 2034-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A4 144A           | CUSIP: 293601AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1016699.40    | 0.01%             | 2029-11-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1          | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207191 | PA      | $197144.82     | 0.00%             | 2036-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A1         | CUSIP: 00075VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7080386 | PA      | $4486982.71    | 0.05%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR3 2A          | CUSIP: 929227EM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2237 | PA      | $2092.37       | 0.00%             | 2041-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2A                                                 | FOUNDATION FINANCE TRUST FFIN 2025 2A A 144A             | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     926643 | PA      | $921754.34     | 0.01%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A3 144A        | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2716340.13    | 0.03%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                            | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                 | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1697683 | PA      | $1699180.35    | 0.02%             | 2033-04-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M1 144A         | CUSIP: 59982HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8550000 | PA      | $7797246.03    | 0.09%             | 2060-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2026-A                                                | CPS AUTO TRUST CPS 2026 A A 144A                         | CUSIP: 22410MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6571068 | PA      | $6568077.97    | 0.08%             | 2029-12-17      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                                        | HILTON USA TRUST HILT 2016 HHV A 144A                    | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $994914.40     | 0.01%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 3A             | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378698 | PA      | $366132.64     | 0.00%             | 2034-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A      | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873154 | PA      | $839079.45     | 0.01%             | 2063-01-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A   | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2814445 | PA      | $2797039.68    | 0.03%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6A        | CUSIP: 17307GVL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     919400 | PA      | $852587.35     | 0.01%             | 2035-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4528 FR 04/55 FIXED 7                | CUSIP: 3142GVA68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5190490 | PA      | $5457392.94    | 0.06%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                         | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A      | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5347000 | PA      | $761828.26     | 0.01%             | 2036-05-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A4          | CUSIP: 14689MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5400000 | PA      | $5461836.48    | 0.06%             | 2031-04-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                                  | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A      | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4100026.53    | 0.05%             | 2034-10-21      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7899 FN 07/43 FIXED 3.5                      | CUSIP: 3138WVX55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30944 | PA      | $29164.42      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1A                                    | ONEMAIN DIRECT AUTO RECEIVABLE ODART 2023 1A A 144A      | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7247443 | PA      | $7299899.00    | 0.08%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 RCF2 A1 144A    | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309909 | PA      | $305784.15     | 0.00%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-3                                             | MILL CITY MORTGAGE TRUST MCMLT 2017 3 B2 144A            | CUSIP: 59980CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96664 | PA      | $82716.07      | 0.00%             | 2061-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9            | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     437753 | PA      | $402163.95     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42975.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M3         | CUSIP: 76110WG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2653450 | PA      | $2657411.49    | 0.03%             | 2034-11-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A            | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5547437 | PA      | $5117878.21    | 0.06%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A           | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12321172 | PA      | $6488162.83    | 0.08%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 2A1           | CUSIP: 86364CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3943227 | PA      | $3791335.65    | 0.04%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2723 FH 01/35 FLOATING VAR           | CUSIP: 3128JM4H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3384 | PA      | $3458.67       | 0.00%             | 2035-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4277 FN 01/27 FIXED 3                        | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6250 | PA      | $6214.63       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.62000 04/18/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-487432.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF1        | CUSIP: 59024KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76038 | PA      | $72713.86      | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A               | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5392131 | PA      | $5396671.85    | 0.06%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1           | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397548 | PA      | $391298.01     | 0.00%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806506 FN 10/44 FLOATING VAR                   | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2864 | PA      | $2899.26       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1              | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     740446 | PA      | $684722.57     | 0.01%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6634 | PA      | $6635.82       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1           | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31267 | PA      | $31271.17      | 0.00%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A    | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8305368.52    | 0.10%             | 2034-07-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A        | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1592766 | PA      | $1594616.71    | 0.02%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                                   | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                  | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6505524.29    | 0.08%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M2         | CUSIP: 073879PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1666298 | PA      | $1751993.66    | 0.02%             | 2035-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.81700 04/05/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2868718.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-414115.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB        | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354079 | PA      | $342649.01     | 0.00%             | 2033-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1988 FR 05/52 FIXED 3                | CUSIP: 3133BBF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1980840 | PA      | $1745035.83    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL3                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL3 A1 144A    | CUSIP: 69383QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     989721 | PA      | $982349.78     | 0.01%             | 2056-02-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR5 B1          | CUSIP: 22540VLG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69266 | PA      | $63887.74      | 0.00%             | 2039-12-19      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                  | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4694125.33    | 0.05%             | 2035-10-23      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M1              | CUSIP: 61744CFP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5737751 | PA      | $5938388.64    | 0.07%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                  | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4313 | PA      | $4436.11       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-245693.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18372 | PA      | $16555.33      | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A    | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899031 | PA      | $901088.45     | 0.01%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3114                                                                 | FREDDIE MAC FHR 3114 KZ                                  | CUSIP: 31396HHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64668 | PA      | $65542.31      | 0.00%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005115 G2 07/41 FIXED 4.5                   | CUSIP: 36202FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116624 | PA      | $115656.10     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 2A4        | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17849 | PA      | $17676.93      | 0.00%             | 2033-10-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 FV           | CUSIP: 38383BFW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1778919 | PA      | $1782602.07    | 0.02%             | 2055-09-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008989 G2 10/26 FLOATING VAR                | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        413 | PA      | $412.33        | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8425 | PA      | $8420.74       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A          | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6790 | PA      | $6951.11       | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A5          | CUSIP: 45660NU45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53298 | PA      | $43320.19      | 0.00%             | 2034-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR3 1A1         | CUSIP: 86359LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3197380 | PA      | $3103454.41    | 0.04%             | 2035-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO IV LTD                                                              | GREYWOLF CLO LTD GWOLF 2019 1A A1R2 144A                 | CUSIP: 39809TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2703463.75    | 0.03%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                       | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6708173.20    | 0.08%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3583 FN 11/55 FIXED VAR                      | CUSIP: 3140W36V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1562854 | PA      | $1626412.18    | 0.02%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                    | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5573070.75    | 0.06%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A        | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     426488 | PA      | $427618.55     | 0.00%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1         | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174453 | PA      | $365221.74     | 0.00%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A      | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42862 | PA      | $41710.28      | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| PRKCM 2025-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2025 AFC1 A1A 144A                     | CUSIP: 69392YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     957048 | PA      | $955370.30     | 0.01%             | 2060-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13        | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5600530 | PA      | $5500969.25    | 0.06%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-831729.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4729 FN 09/42 FIXED 4                        | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23848 | PA      | $23315.33      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A       | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2863283 | PA      | $2922069.03    | 0.03%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-10                                                   | SEQUOIA MORTGAGE TRUST SEMT 2004 10 A1A                  | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10673 | PA      | $10222.72      | 0.00%             | 2034-11-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD1 M2 144A      | CUSIP: 126670VQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4036948 | PA      | $3670268.58    | 0.04%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735654 FN 10/44 FLOATING VAR                   | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6863 | PA      | $6892.41       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A1            | CUSIP: 14320BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2122734 | PA      | $2122872.46    | 0.02%             | 2026-10-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2022-D                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A3           | CUSIP: 98163VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     165364 | PA      | $165723.55     | 0.00%             | 2028-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A2 144A      | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1450000 | PA      | $1447066.07    | 0.02%             | 2060-12-27      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A9         | CUSIP: 761118PY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2124369 | PA      | $1848640.51    | 0.02%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A3 144A         | CUSIP: 505709AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1162478 | PA      | $1165093.35    | 0.01%             | 2029-03-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1 144A    | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1926363 | PA      | $1875536.17    | 0.02%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1          | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18985594 | PA      | $18471856.88   | 0.21%             | 2037-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2994 FR 10/55 FIXED 6                | CUSIP: 31427QKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1021483 | PA      | $1062319.40    | 0.01%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST 2007-FLX5                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX5 2A1        | CUSIP: 45669WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2636881 | PA      | $2472799.38    | 0.03%             | 2037-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A       | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6800000 | PA      | $6791500.48    | 0.08%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1           | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3380 | PA      | $2953.13       | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190445 FN 03/55 FIXED VAR                      | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8467619 | PA      | $8760091.81    | 0.10%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A           | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45637 | PA      | $43372.32      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A         | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3273217 | PA      | $3302056.37    | 0.04%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                                    | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                   | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9000000 | PA      | $9005012.82    | 0.10%             | 2034-04-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A     | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     448976 | PA      | $439189.39     | 0.01%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1525 FN 08/43 FIXED 3.5                      | CUSIP: 31418AVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14620 | PA      | $13760.73      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-33                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 33 2M1         | CUSIP: 12667FB46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1251842 | PA      | $1227280.09    | 0.01%             | 2034-12-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1        | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71261 | PA      | $39563.96      | 0.00%             | 2035-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB1 1A1                | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5661 | PA      | $5333.05       | 0.00%             | 2033-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3798 FN 11/55 FIXED VAR                      | CUSIP: 3140W4GG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1223514 | PA      | $1272796.62    | 0.01%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA7844 FN 08/47 FIXED 4                        | CUSIP: 3140QFWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11138 | PA      | $10673.24      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A4 144A      | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1617865.92    | 0.02%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 1A1         | CUSIP: 12667GBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81707 | PA      | $71714.23      | 0.00%             | 2035-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A       | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1380755 | PA      | $1367389.72    | 0.02%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                  | PFP III PFP 2024 11 A 144A                               | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1960072 | PA      | $1964349.98    | 0.02%             | 2039-09-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  149000000 | PA      | $151346974.99  | 1.76%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF2 A1 144A    | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4095135 | PA      | $4000905.53    | 0.05%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A  | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9183918 | PA      | $8224327.22    | 0.10%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A      | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10800000 | PA      | $10710167.76   | 0.12%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR5                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR5 3A1        | CUSIP: 76112BYB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     749129 | PA      | $601429.66     | 0.01%             | 2035-09-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                       | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A              | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4800220.99    | 0.06%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A    | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     989161 | PA      | $539213.34     | 0.01%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 26-1                                                   | TOWD POINT MORTGAGE TRUST TPMT 2026 1 A1A 144A           | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3913880 | PA      | $3863920.04    | 0.04%             | 2066-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A3          | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2421210 | PA      | $2437631.64    | 0.03%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A    | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6778092 | PA      | $6791161.56    | 0.08%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A4          | CUSIP: 761119AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1751793 | PA      | $1221951.48    | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A1          | CUSIP: 84751WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21233678 | PA      | $20045222.32   | 0.23%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8159 FN 03/54 FIXED 6                        | CUSIP: 3140QUB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     757422 | PA      | $783412.37     | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A      | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    9200000 | PA      | $9197700.37    | 0.11%             | 2035-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4830 FR 09/55 FIXED 5.5              | CUSIP: 3142GVLL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     639451 | PA      | $654120.22     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-4 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 4 A 144A        | CUSIP: 83405UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3679938 | PA      | $3674785.02    | 0.04%             | 2035-08-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 M1            | CUSIP: 83611MLA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11226317 | PA      | $11249474.88   | 0.13%             | 2036-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 9/22/23-5Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $478691.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                                                    | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 1A         | CUSIP: 07384YLH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465504 | PA      | $428390.40     | 0.00%             | 2043-06-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A3           | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5200000 | PA      | $5211503.44    | 0.06%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906281 FN 01/37 FLOATING VAR                   | CUSIP: 31411E2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2130 | PA      | $2192.10       | 0.00%             | 2037-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A3 144A               | CUSIP: 78437KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3009685.20    | 0.04%             | 2028-04-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A  | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8200000 | PA      | $8202557.99    | 0.10%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2005-10                                                             | SACO I TRUST SACO 2005 10 1A                             | CUSIP: 785778ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10392 | PA      | $10254.34      | 0.00%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M3 144A         | CUSIP: 59982HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2358000 | PA      | $1972734.16    | 0.02%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A        | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3258790 | PA      | $3227685.24    | 0.04%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2025-B                                                  | TOYOTA LEASE OWNER TRUST TLOT 2025 B A2A 144A            | CUSIP: 89240NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42549165 | PA      | $42511522.13   | 0.49%             | 2028-05-22      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL2 A1 144A     | CUSIP: 64830HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4827983 | PA      | $4709776.46    | 0.05%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M3         | CUSIP: 46630XAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20645000 | PA      | $18192332.71   | 0.21%             | 2037-03-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A      | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2939628 | PA      | $2953480.83    | 0.03%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1              | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1430289 | PA      | $1386178.07    | 0.02%             | 2034-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4        | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3246273 | PA      | $3000702.94    | 0.03%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1510              | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1510 X1            | CUSIP: 3137FL2N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85331244 | PA      | $2276705.86    | 0.03%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A      | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24700000 | PA      | $24701637.61   | 0.29%             | 2042-11-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004923 G2 01/41 FIXED 4.5                   | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260984 | PA      | $258898.16     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080143 G2 12/27 FLOATING VAR                | CUSIP: 36225CER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $205.97        | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A          | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1170197 | PA      | $1126222.05    | 0.01%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2025-1A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2025 1A A2A 144A    | CUSIP: 73329KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16118700 | PA      | $16149685.28   | 0.19%             | 2027-12-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 2025-1A                                         | PLANET FITNESS MASTER ISSUER L PLNT 2025 1A A2I 144A     | CUSIP: 72703PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1101160.50    | 0.01%             | 2055-12-06      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3797 FN 03/55 FIXED VAR                      | CUSIP: 3140W4GF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1041517 | PA      | $1082156.19    | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 2A1A              | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203012 | PA      | $164616.86     | 0.00%             | 2046-04-19      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                   | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30741 | PA      | $28472.67      | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A     | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1323772.58    | 0.02%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A           | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1066587 | PA      | $1067675.99    | 0.01%             | 2031-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A               | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2479649 | PA      | $2424518.37    | 0.03%             | 2035-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LCM 39A LTD                                                                      | LCM LTD PARTNERSHIP LCM 39A A1R2 144A                    | CUSIP: 50204NBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1750000 | PA      | $1750262.99    | 0.02%             | 2034-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 2A1         | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4169218 | PA      | $2296897.05    | 0.03%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A         | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508320.00     | 0.01%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A        | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2346924 | PA      | $2348182.32    | 0.03%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.42500 03/01/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14055.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                            | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                   | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7300000 | PA      | $7290875.51    | 0.08%             | 2035-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M2          | CUSIP: 86358EAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3730754 | PA      | $3983113.18    | 0.05%             | 2033-04-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0771 FR 06/37 FIXED 3                | CUSIP: 3132CW2C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     780856 | PA      | $748331.57     | 0.01%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2006-D                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2006 D M2             | CUSIP: 07325HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7063509 | PA      | $6413450.62    | 0.07%             | 2036-12-28      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 14A1         | CUSIP: 07384MH70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24164 | PA      | $21008.94      | 0.00%             | 2034-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1807354.80    | 0.02%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $76450.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A3 144A     | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2506049.50    | 0.03%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                                    | ACE SECURITIES CORP. ACE 2006 ASP5 A2D                   | CUSIP: 004422AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2005276 | PA      | $667030.32     | 0.01%             | 2036-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1              | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168596 | PA      | $94801.19      | 0.00%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A       | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2188409 | PA      | $2194939.21    | 0.03%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A2 144A       | CUSIP: 706916AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     465639 | PA      | $465763.76     | 0.01%             | 2028-09-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A       | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6120413 | PA      | $5964513.66    | 0.07%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1         | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737737 | PA      | $654816.72     | 0.01%             | 2037-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1                                   | AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5             | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1275730 | PA      | $1263989.99    | 0.01%             | 2034-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                                 | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                  | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6604816.55    | 0.08%             | 2034-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A4 144A                      | CUSIP: 32115BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267574 | PA      | $640612.14     | 0.01%             | 2037-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-75258.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                     | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A           | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1904172.00    | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-FA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2019 FA A2 144A         | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     929146 | PA      | $899098.36     | 0.01%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A         | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7154597 | PA      | $6264101.11    | 0.07%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5779 FN 05/45 FIXED 3.5                      | CUSIP: 3138YKM59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48751 | PA      | $45689.69      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A3L              | CUSIP: 46628BBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014410 | PA      | $560696.40     | 0.01%             | 2036-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3          | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27022 | PA      | $25254.17      | 0.00%             | 2033-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                    | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3063536 | PA      | $1254727.40    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A      | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464785 | PA      | $467054.28     | 0.01%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-618657.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 NB21        | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2072 | PA      | $2016.22       | 0.00%             | 2034-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0117 FN 03/55 FIXED 6                        | CUSIP: 3140Y6DX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1545898 | PA      | $1604908.42    | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                           | APIDOS CLO APID 2012 11A AR4 144A                        | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7400000 | PA      | $7409646.34    | 0.09%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A            | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2802897.16    | 0.03%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                | CIM TRUST CIM 2025 R1 A1 144A                            | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2364501 | PA      | $2341582.99    | 0.03%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV2           | CUSIP: 126670RE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43412043 | PA      | $41666609.39   | 0.48%             | 2036-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A4 144A            | CUSIP: 80620BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3216818.56    | 0.04%             | 2031-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3768 FN 09/34 FIXED 3                        | CUSIP: 31418DFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36314 | PA      | $35015.01      | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-187                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 187 FC           | CUSIP: 38385JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1985964 | PA      | $1991583.11    | 0.02%             | 2055-11-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A            | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129729 | PA      | $127589.77     | 0.00%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/06/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-372316.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1         | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287663 | PA      | $269719.06     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 1A           | CUSIP: 54251UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1077303 | PA      | $697337.33     | 0.01%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                    | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A     | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6301635.42    | 0.07%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ACREC 2026-FL4 LLC                                                               | ACREC LLC ACREC 2026 FL4 A 144A                          | CUSIP: 004970AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6396786.56    | 0.07%             | 2043-01-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                         | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     802128 | PA      | $803972.03     | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                                 | VOYA CLO LTD VOYA 2017 3A A1RR 144A                      | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12400000 | PA      | $12409139.92   | 0.14%             | 2034-04-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                    | LUX 2023 LION LUX 2023 LION A 144A                       | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2817352.16    | 0.03%             | 2040-08-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $563489.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9152 FN 09/54 FIXED 6                        | CUSIP: 3140QVE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2344775 | PA      | $2423810.00    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-3                                                | VERUS SECURITIZATION TRUST VERUS 2022 3 A1 144A          | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5834314 | PA      | $5582938.67    | 0.06%             | 2067-02-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 22A1               | CUSIP: 07386HYB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592732 | PA      | $251869.33     | 0.00%             | 2035-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2026-CES1                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2026 CES1 A1A 144A   | CUSIP: 26846MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1133954 | PA      | $1123981.82    | 0.01%             | 2060-12-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 4A4          | CUSIP: 93934FEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136009 | PA      | $121342.67     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A    | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848124 | PA      | $801872.68     | 0.01%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2026-1                             | BRIDGECREST LENDING AUTO SECUR BLAST 2026 1 A2           | CUSIP: 107927AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $900064.08     | 0.01%             | 2028-07-17      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A   | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3096451 | PA      | $2854483.24    | 0.03%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS6                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS6 M8          | CUSIP: 76110WZ58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2921139.30    | 0.03%             | 2035-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9984 FR 04/37 FIXED 3                | CUSIP: 3133GHCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81119 | PA      | $77548.07      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-143514.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2026-RPL1 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 RPL1 A1 144A    | CUSIP: 69393EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5901581 | PA      | $5723761.83    | 0.07%             | 2070-01-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP4 A1 144A     | CUSIP: 17292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6733599 | PA      | $6188170.79    | 0.07%             | 2062-10-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A          | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     798771 | PA      | $799680.22     | 0.01%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/20/23-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $908921.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                     | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10600000 | PA      | $10611268.12   | 0.12%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A3 144A               | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3972511 | PA      | $3984917.76    | 0.05%             | 2027-11-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A      | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     963916 | PA      | $966515.59     | 0.01%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A     | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1176837 | PA      | $1182161.40    | 0.01%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-1A                                                 | GOLDEN CREDIT CARD TRUST GCCT 2022 1A A 144A             | CUSIP: 380881FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   33100000 | PA      | $32541344.82   | 0.38%             | 2029-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV3           | CUSIP: 126670RF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32300000 | PA      | $28447388.41   | 0.33%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2878 FN 05/47 FIXED 4                        | CUSIP: 3140GRFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     439379 | PA      | $421772.61     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8193 FN 04/53 FIXED 4.5                      | CUSIP: 3140NDC70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5475958 | PA      | $5304459.24    | 0.06%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                                    | SYCAMORE TREE CLO LTD STCP 2023 2A A1R2 144A             | CUSIP: 87122CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8550000 | PA      | $8544171.98    | 0.10%             | 2037-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B           | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1424118 | PA      | $1425403.84    | 0.02%             | 2028-05-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5314 FN 02/44 FIXED 6.5                      | CUSIP: 31418E3Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5812722 | PA      | $6013494.10    | 0.07%             | 2044-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2004-FF6                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M2           | CUSIP: 32027NKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1447014 | PA      | $1461211.30    | 0.02%             | 2034-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27480000 | PA      | $26524796.30   | 0.31%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                       | ARES CLO LTD ARES 2013 2A AR3 144A                       | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6708130.38    | 0.08%             | 2034-10-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7382 FN 04/55 FIXED 7                        | CUSIP: 3140B8FY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3305083 | PA      | $3491429.33    | 0.04%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9902 G2 09/54 FIXED 3.5                   | CUSIP: 36180AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3751656 | PA      | $3474351.68    | 0.04%             | 2054-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A   | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1488064 | PA      | $1496449.34    | 0.02%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-706931.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A2          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14973753 | PA      | $4820329.54    | 0.06%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A        | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     924402 | PA      | $848769.95     | 0.01%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 13 A8                   | CUSIP: 12669GC82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240473 | PA      | $644250.13     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FLD1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FLD1 M7        | CUSIP: 46626LAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9309658.00    | 0.11%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-7F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 7F B1                   | CUSIP: 362341NJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2341769 | PA      | $1973126.16    | 0.02%             | 2035-09-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H08 FC           | CUSIP: 38380L7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152103 | PA      | $152500.83     | 0.00%             | 2070-02-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                        | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3521 | PA      | $3376.53       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q039                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q039 A               | CUSIP: 3137HPER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1694800 | PA      | $1651596.14    | 0.02%             | 2054-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 4A1          | CUSIP: 05948XYQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3030 | PA      | $2981.52       | 0.00%             | 2033-11-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                            | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A      | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10100000 | PA      | $10073878.77   | 0.12%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                   | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222072 | PA      | $151419.63     | 0.00%             | 2047-01-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 MV6           | CUSIP: 126670BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $5832674.37    | 0.07%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1         | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9992 | PA      | $10201.80      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A      | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     293819 | PA      | $295475.63     | 0.00%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A       | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4365000 | PA      | $4358307.15    | 0.05%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                   | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $734330.12     | 0.01%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2          | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4347873 | PA      | $1149190.32    | 0.01%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C                                        | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A      | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     637691 | PA      | $600869.75     | 0.01%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A     | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4077130 | PA      | $4080996.24    | 0.05%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A3 144A     | CUSIP: 96042YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1039371 | PA      | $1041510.13    | 0.01%             | 2028-02-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.57300 02/28/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-142326.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M2                   | CUSIP: 040104NE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37500000 | PA      | $35569286.25   | 0.41%             | 2035-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A           | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440941 | PA      | $1441221.88    | 0.02%             | 2055-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3           | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1980157 | PA      | $1981186.76    | 0.02%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                                    | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                   | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     322167 | PA      | $322303.24     | 0.00%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-101356.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $204.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1               | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12933 | PA      | $12970.01      | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL5 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL5 A1 144A    | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5267716 | PA      | $5280121.43    | 0.06%             | 2055-05-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                                    | LENDMARK FUNDING TRUST LFT 2024 2A A 144A                | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1598004.00    | 0.02%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A4                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A4 A1           | CUSIP: 45660LHD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3158099 | PA      | $1522476.46    | 0.02%             | 2035-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2004-3                                               | MASTR ASSET SECURITIZATION TRU MASTR 2004 3 4A9          | CUSIP: 55265K7Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485448 | PA      | $373793.76     | 0.00%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 8 M2                 | CUSIP: 07386HKV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2466958 | PA      | $2460849.46    | 0.03%             | 2034-09-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2004-1                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2004 1 2A             | CUSIP: 02660TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154308 | PA      | $172874.55     | 0.00%             | 2044-04-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A         | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10766100 | PA      | $9827890.75    | 0.11%             | 2046-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST 26-A                                                     | NISSAN AUTO LEASE TRUST NALT 2026 A A2A                  | CUSIP: 65481HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18750000 | PA      | $18709083.75   | 0.22%             | 2028-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 3B1        | CUSIP: 17307GMK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12657 | PA      | $12344.84      | 0.00%             | 2034-12-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                        | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20926 | PA      | $19945.35      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R1                                                                | CIM TRUST CIM 2022 R1 A1 144A                            | CUSIP: 12571YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2621327 | PA      | $2437929.57    | 0.03%             | 2061-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H B1           | CUSIP: 05948XTN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369446 | PA      | $305865.32     | 0.00%             | 2033-09-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4601957 | PA      | $4473498.55    | 0.05%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 03/18/26-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-105073.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A             | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     668908 | PA      | $673596.79     | 0.01%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-6                                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 6 3A1           | CUSIP: 576433NS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     597760 | PA      | $542929.15     | 0.01%             | 2034-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A1          | CUSIP: 32028GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29138051 | PA      | $27195944.35   | 0.32%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M1                   | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11993 | PA      | $11975.99      | 0.00%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                  | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34720 | PA      | $32907.15      | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1706514.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 3A1           | CUSIP: 05950PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47332 | PA      | $41036.55      | 0.00%             | 2046-09-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC 2026-FL11                                         | FS RIALTO ISSUER LTD FSRIA 2026 FL11 A 144A              | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5501050.06    | 0.06%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                   | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4739608 | PA      | $4386155.41    | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M5        | CUSIP: 46626LEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4769043.00    | 0.06%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-445736.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A1          | CUSIP: 86361GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5682642 | PA      | $3445549.66    | 0.04%             | 2036-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A    | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1994083 | PA      | $1946476.11    | 0.02%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 M                  | CUSIP: 12669D3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     768037 | PA      | $702063.13     | 0.01%             | 2033-07-19      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535332 FN 04/30 FIXED VAR                      | CUSIP: 31384VVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $950.62        | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 2 A1            | CUSIP: 576429AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4442151 | PA      | $4163025.58    | 0.05%             | 2047-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-2                                               | ALLY AUTO RECEIVABLES TRUST ALLYA 2024 2 A3              | CUSIP: 02007NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2836553 | PA      | $2838595.06    | 0.03%             | 2029-07-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A18              | CUSIP: 46629AAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31809 | PA      | $12062.01      | 0.00%             | 2036-08-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO 2016-1 LLC                                                     | MOUNTAIN VIEW CLO MVEW 2016 1A AR3 144A                  | CUSIP: 62432FAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1198881.78    | 0.01%             | 2033-04-14      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A        | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     864414 | PA      | $727449.62     | 0.01%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A5                  | CUSIP: 12669GKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256879 | PA      | $235067.62     | 0.00%             | 2035-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 1A A2 144A     | CUSIP: 81885BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1380892 | PA      | $1382215.80    | 0.02%             | 2028-05-22      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-6                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 6 2A2           | CUSIP: 161546HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1253 | PA      | $1261.59       | 0.00%             | 2034-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2           | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3224576 | PA      | $3226770.86    | 0.04%             | 2028-06-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN 2004-A                                                  | INDYMAC HOME EQUITY LOAN ASSET INHEL 2004 A M2           | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167470 | PA      | $162919.39     | 0.00%             | 2034-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A3         | CUSIP: 86359LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52612 | PA      | $50266.68      | 0.00%             | 2034-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 773245 FN 02/35 FLOATING VAR                   | CUSIP: 31404NBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1880 | PA      | $1924.80       | 0.00%             | 2035-02-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                                    | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M2         | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15546 | PA      | $15400.19      | 0.00%             | 2034-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                                | ONSLOW BAY FINANCIAL LLC OBX 2025 R1 A1 144A             | CUSIP: 67123GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4990795 | PA      | $4961126.87    | 0.06%             | 2062-09-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70520 09/02/25-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36010.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                                     | PPM CLO, LTD. PPMC 2021 5A AR 144A                       | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7508829.00    | 0.09%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  358600000 | PA      | $359789422.41  | 4.19%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                               | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A        | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000321.56    | 0.01%             | 2035-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                            | BX TRUST BX 2022 AHP A 144A                              | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9445594 | PA      | $9446705.03    | 0.11%             | 2039-01-17      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB4 1A1                | CUSIP: 125431AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543358 | PA      | $516900.33     | 0.01%             | 2036-06-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                   | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     699999 | PA      | $642702.36     | 0.01%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8308 FR 03/53 FIXED 5.5              | CUSIP: 3132DWGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4298411 | PA      | $4337766.00    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 M1              | CUSIP: 61744CZE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19098397 | PA      | $16404155.17   | 0.19%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A      | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $910778.22     | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2025-3                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2025 3 A 144A        | CUSIP: 02528EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     309816 | PA      | $310217.73     | 0.00%             | 2029-01-12      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM1                                                     | ACE SECURITIES CORP. ACE 2004 FM1 M1                     | CUSIP: 004421DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547871 | PA      | $545325.17     | 0.01%             | 2033-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD 2016-22A                                                     | GALAXY CLO LTD GALXY 2016 22A AR4 144A                   | CUSIP: 36320TBM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2200000 | PA      | $2199134.63    | 0.03%             | 2034-04-16      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A          | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14261 | PA      | $13189.27      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A2 144A     | CUSIP: 02650VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1394510 | PA      | $1395979.09    | 0.02%             | 2028-08-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41914 FG 07/46 FIXED 3.5              | CUSIP: 3132WFDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55100 | PA      | $51505.72      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS 2026-NPL4 LLC                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL4 A1 144A    | CUSIP: 74144EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1501075.80    | 0.02%             | 2056-04-25      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A      | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1160055 | PA      | $1169945.07    | 0.01%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A               | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23390 | PA      | $20918.24      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-A                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2023 A A4             | CUSIP: 344928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2308827.17    | 0.03%             | 2028-12-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                               | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A                | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2540279 | PA      | $2542805.64    | 0.03%             | 2031-04-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                                      | ACRES PLC ACRES 2026 FL4 A 144A                          | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6600000 | PA      | $6595747.95    | 0.08%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 25-3A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2025 3A A2 144A      | CUSIP: 36272GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     603051 | PA      | $603845.78     | 0.01%             | 2030-10-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A             | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671427 | PA      | $674604.84     | 0.01%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-7                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 7 A1                    | CUSIP: 81744FCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17301 | PA      | $16905.70      | 0.00%             | 2034-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 782320 FN 11/34 FLOATING VAR                   | CUSIP: 31404YDZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4566 | PA      | $4606.37       | 0.00%             | 2034-11-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL B 144A                      | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     262453 | PA      | $263187.54     | 0.00%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A       | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4674317 | PA      | $4720770.62    | 0.05%             | 2056-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 M2              | CUSIP: 61756YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364805 | PA      | $303853.35     | 0.00%             | 2037-07-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-5                                                           | LEHMAN XS TRUST LXS 2006 5 1A1A                          | CUSIP: 525221JT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1987210 | PA      | $1783368.66    | 0.02%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A             | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2054578 | PA      | $2070939.39    | 0.02%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-58                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 58 M                    | CUSIP: 12669E6K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4406 | PA      | $4247.62       | 0.00%             | 2034-02-19      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-2                                              | MASTR SPECIALIZED LOAN TRUST MASD 2007 2 M1 144A         | CUSIP: 55291QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199322 | PA      | $35308.72      | 0.00%             | 2037-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A      | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5122409 | PA      | $4633614.75    | 0.05%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1        | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3219716 | PA      | $1433621.90    | 0.02%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A           | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1088916 | PA      | $1090875.56    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A    | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     938181 | PA      | $940865.11     | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 TRUST 2026-RCF1                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 RCF1 A1 144A    | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2092670 | PA      | $2082563.51    | 0.02%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                               | KKR FINANCIAL CLO LTD KKR 33A AR 144A                    | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2802873.44    | 0.03%             | 2034-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4455 FN 02/45 FIXED 3.5                      | CUSIP: 3138WD5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     477510 | PA      | $448639.85     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8289 FR 01/53 FIXED 5.5              | CUSIP: 3132DWF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     932557 | PA      | $941189.86     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A          | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2626929 | PA      | $2683451.07    | 0.03%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                        | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                 | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4100000 | PA      | $4100810.24    | 0.05%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                                      | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A       | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6960000 | PA      | $6977400.00    | 0.08%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2776 FN 07/46 FIXED 4                        | CUSIP: 3140FACN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52427 | PA      | $50336.75      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9490 FN 11/52 FIXED 5.5                      | CUSIP: 3140N2RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222458 | PA      | $224070.30     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                                | CIM TRUST CIM 2023 I2 A1 144A                            | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058880 | PA      | $1060324.28    | 0.01%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2021-2A                                          | HERTZ VEHICLE FINANCING LLC HERTZ 2021 2A A 144A         | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5321000 | PA      | $5247935.22    | 0.06%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004946 G2 02/41 FIXED 4.5                   | CUSIP: 36202FP75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64517 | PA      | $63997.73      | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 M1 144A      | CUSIP: 22945AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $858548.30     | 0.01%             | 2057-07-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1          | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186358 | PA      | $71831.69      | 0.00%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I 2025-3A                               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 3A A1 144A       | CUSIP: 76090QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     797902 | PA      | $798216.43     | 0.01%             | 2026-07-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP JPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3.20          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R2                                               | VERUS SECURITIZATION TRUST VERUS 2025 R2 A1 144A         | CUSIP: 92541EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7711058 | PA      | $7692067.19    | 0.09%             | 2067-07-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 6 LTD 2026-6A                                                       | NAVESINK CLO, LIMITED NAVS 2026 6A A1 144A               | CUSIP: 63944AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9750000 | PA      | $9750000.00    | 0.11%             | 2037-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43413 FG 10/46 FIXED 3                | CUSIP: 3132WGYK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     291983 | PA      | $263794.18     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-MTR1                                                 | GSAA HOME EQUITY TRUST GSAA 2005 MTR1 M2                 | CUSIP: 362341UF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4148387 | PA      | $4119399.98    | 0.05%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2026-1 LLC 2026-1                                     | ENTERPRISE FLEET FINANCING LLC EFF 2026 1 A1 144A        | CUSIP: 29376JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12985224 | PA      | $12983496.62   | 0.15%             | 2027-02-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2019-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2019 BA A2B 144A        | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1631196 | PA      | $1630928.26    | 0.02%             | 2059-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1          | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        157 | PA      | $146.45        | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2373 FR 09/54 FIXED 6.5              | CUSIP: 3142GST73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3812683 | PA      | $3945089.31    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A1 144A  | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2827943.46    | 0.03%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 5A6          | CUSIP: 225470EH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114601 | PA      | $80135.55      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                             | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24400000 | PA      | $24509647.26   | 0.29%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-D                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 D A3             | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7050000 | PA      | $7095768.60    | 0.08%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE1 23A        | CUSIP: 07389UAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271739 | PA      | $269026.35     | 0.00%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 1A1           | CUSIP: 05950RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69616 | PA      | $59620.70      | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-14AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 14AR 2A1         | CUSIP: 61756VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2293712 | PA      | $1275143.48    | 0.01%             | 2037-10-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-84                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 84 2A1         | CUSIP: 12668BAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1071150 | PA      | $1002206.86    | 0.01%             | 2036-02-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7988 G2 04/52 FIXED 3                     | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16005831 | PA      | $14309590.80   | 0.17%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.03          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES 2026-1A                                                     | LAD AUTO RECEIVABLES TRUST LADAR 2026 1A A1 144A         | CUSIP: 505708AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1968501 | PA      | $1968438.50    | 0.02%             | 2027-02-16      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC4 A2         | CUSIP: 07378RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2244642 | PA      | $1964122.68    | 0.02%             | 2037-02-25      | Variable      | 14.02%                | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                       | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A           | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6250000 | PA      | $6252139.69    | 0.07%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A4 144A         | CUSIP: 881943AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12500000 | PA      | $12669122.50   | 0.15%             | 2029-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004834 G2 10/40 FIXED 4.5                   | CUSIP: 36202FLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55312 | PA      | $54878.07      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 2A1         | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6699044 | PA      | $6258182.21    | 0.07%             | 2047-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A           | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279600 | PA      | $293359.87     | 0.00%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 3 A 144A        | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3449562 | PA      | $3450529.29    | 0.04%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1987028.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 783026 FH 02/35 FLOATING VAR           | CUSIP: 31349ULF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5831 | PA      | $6051.44       | 0.00%             | 2035-02-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0130 FN 12/42 FIXED 3.5                      | CUSIP: 3138NWEC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9448 | PA      | $8900.92       | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                          | REACH FINANCIAL LLC REACH 2025 2A A 144A                 | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3595673 | PA      | $3610896.66    | 0.04%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2D                  | CUSIP: 03076MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2960292 | PA      | $899422.46     | 0.01%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A      | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17800000 | PA      | $17821031.06   | 0.21%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2         | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7447 | PA      | $7547.32       | 0.00%             | 2034-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 694287 FN 03/33 FLOATING VAR                   | CUSIP: 31400QJ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $565.68        | 0.00%             | 2033-03-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HM EQUITY LN TR 2001-NC1                                             | NEW CENTURY HOME EQUITY LOAN T NCHET 2001 NC1 M3         | CUSIP: 64352VCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1027696 | PA      | $947008.00     | 0.01%             | 2031-06-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A     | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2400786.86    | 0.03%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-14AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 14AR 5A1         | CUSIP: 61756VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1363804 | PA      | $105175.35     | 0.00%             | 2037-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4          | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40770476 | PA      | $13121166.40   | 0.15%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1        | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19748060 | PA      | $17493043.03   | 0.20%             | 2037-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SAIL 2004-10 M3 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.91          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 787954 G2 02/55 FIXED 6                     | CUSIP: 3622ADWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72392 | PA      | $73411.64      | 0.00%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                                    | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A           | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001369.34    | 0.01%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A3 144A     | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3021876 | PA      | $3023745.39    | 0.04%             | 2027-10-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-2                                           | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M4             | CUSIP: 126673J45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10610528 | PA      | $10250644.09   | 0.12%             | 2035-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3387 FN 11/55 FIXED VAR                      | CUSIP: 3140W3XR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100793 | PA      | $1121641.66    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3207 FN 10/55 FIXED VAR                      | CUSIP: 3140W3R50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     570324 | PA      | $581634.97     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0376 FR 11/42 FIXED 4                | CUSIP: 3132D9MZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500724 | PA      | $489840.30     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A         | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6502639.85    | 0.08%             | 2034-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                        | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A                | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1600000 | PA      | $1601609.47    | 0.02%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A    | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     776611 | PA      | $779371.87     | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 1 M1 144A            | CUSIP: 89173FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4087894 | PA      | $4042709.35    | 0.05%             | 2056-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4                        | GM FINANCIAL SECURITIZED TERM GMCAR 2024 4 A2A           | CUSIP: 38014AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     292632 | PA      | $292726.39     | 0.00%             | 2027-10-18      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                             | ACRES PLC ACRES 2025 FL3 A 144A                          | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   10200000 | PA      | $10236641.46   | 0.12%             | 2040-08-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M2         | CUSIP: 59020UPS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1377232 | PA      | $1339924.17    | 0.02%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS6                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS6 M7          | CUSIP: 76110WZ41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480306 | PA      | $481627.44     | 0.01%             | 2035-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A2                  | CUSIP: 36242DKV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965957 | PA      | $114515.15     | 0.00%             | 2034-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-481318.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUAST 2005-11                                                  | GSAA HOME EQUITY TRUST GSAA 2005 11 1A2                  | CUSIP: 362341NW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     931715 | PA      | $984996.24     | 0.01%             | 2035-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782837 FH 11/34 FLOATING VAR           | CUSIP: 31349UEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $5187.41       | 0.00%             | 2034-11-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUSINESS FIN SERVICES 2002-2                                            | ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1                  | CUSIP: 000759CR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429982 | PA      | $343362.04     | 0.00%             | 2033-07-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3903 FR 05/55 FIXED 7                | CUSIP: 31426NKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1540210 | PA      | $1622767.90    | 0.02%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $78976.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2097 FR 04/53 FIXED 5.5              | CUSIP: 3133C2KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4110658 | PA      | $4144840.60    | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A      | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4673110 | PA      | $4221892.28    | 0.05%             | 2046-12-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1         | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142591 | PA      | $143324.88     | 0.00%             | 2034-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                   | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1218 | PA      | $1238.11       | 0.00%             | 2033-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                            | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A                | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12300000 | PA      | $12316285.57   | 0.14%             | 2035-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A       | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188482 | PA      | $179378.79     | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701043 FN 04/33 FLOATING VAR                   | CUSIP: 31400XZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2934 | PA      | $2981.34       | 0.00%             | 2033-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1C         | CUSIP: 41161PSM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103563 | PA      | $97599.35      | 0.00%             | 2035-06-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 6A            | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2227856 | PA      | $1228125.21    | 0.01%             | 2036-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| PFP 2025-12 LTD                                                                  | PFP III PFP 2025 12 A 144A                               | CUSIP: 69382JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500051.49     | 0.01%             | 2042-12-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2026 1 A2           | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22650000 | PA      | $22644092.88   | 0.26%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                           | BX TRUST BX 2021 ACNT A 144A                             | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9919372 | PA      | $9914791.56    | 0.12%             | 2038-11-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6611207.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                 | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222729 | PA      | $212966.53     | 0.00%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                                                | CIM TRUST CIM 2022 R2 A1 144A                            | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8650432 | PA      | $8184744.50    | 0.10%             | 2061-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 B1           | CUSIP: 41161PFX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578858 | PA      | $416782.51     | 0.00%             | 2034-08-19      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                                       | ARES CLO LTD ARES 2021 62A A1R 144A                      | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10500000 | PA      | $10503444.11   | 0.12%             | 2034-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A      | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001216.70    | 0.01%             | 2034-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                              | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5              | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        325 | PA      | $325.63        | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU1913 FN 10/51 FIXED 4                        | CUSIP: 3140M3DT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173696 | PA      | $164409.37     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M1         | CUSIP: 46630XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3851000 | PA      | $3753798.06    | 0.04%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                        | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A           | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     948790 | PA      | $951604.35     | 0.01%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254855 FN 09/33 FLOATING VAR                   | CUSIP: 31371LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4130 | PA      | $4232.61       | 0.00%             | 2033-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3305 FN 03/48 FIXED 3.5                      | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2250448 | PA      | $2090647.85    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1C              | CUSIP: 23332UEP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318852 | PA      | $200394.30     | 0.00%             | 2045-08-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A      | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500020.00     | 0.01%             | 2034-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A  | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2725133 | PA      | $2450216.52    | 0.03%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                            | GSAMP TRUST GSAMP 2005 WMC2 M1                           | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21684 | PA      | $21678.77      | 0.00%             | 2035-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.69000 07/11/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-72218.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A1R 144A        | CUSIP: 03330RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10900000 | PA      | $10875068.32   | 0.13%             | 2037-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 4A1         | CUSIP: 74959AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     801430 | PA      | $764773.43     | 0.01%             | 2037-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-3                                                           | LEHMAN XS TRUST LXS 2006 3 A1                            | CUSIP: 525221JG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5792110 | PA      | $5896172.87    | 0.07%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B                                          | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 B A3           | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11626307 | PA      | $11647202.28   | 0.14%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2019-A                                             | COLLEGE AVE STUDENT LOANS CASL 2019 A A2 144A            | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5732869 | PA      | $5504180.81    | 0.06%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781418 FH 04/34 FLOATING VAR           | CUSIP: 31349SSF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2487 | PA      | $2547.05       | 0.00%             | 2034-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A      | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7714293 | PA      | $7752985.62    | 0.09%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST 26-2                                       | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 2 A1 144A       | CUSIP: 74390XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1622315 | PA      | $1623412.47    | 0.02%             | 2031-02-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A3 144A     | CUSIP: 02650VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23000000 | PA      | $22987915.80   | 0.27%             | 2030-11-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783294 G2 03/41 FIXED 4.5                   | CUSIP: 36241LUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55868 | PA      | $54834.22      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A           | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27932967 | PA      | $25558899.62   | 0.30%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783576 G2 12/41 FIXED 4.5                   | CUSIP: 36241L6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105104 | PA      | $104229.59     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4697 FN 08/42 FIXED 4                        | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419637 | PA      | $410347.01     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     134815 | PA      | $135044.67     | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $806482.40     | 0.01%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                                 | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 2A1            | CUSIP: 61748HVH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168253 | PA      | $159603.30     | 0.00%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.76500 03/16/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-215189.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844214 FN 11/35 FLOATING VAR                   | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $537.49        | 0.00%             | 2035-11-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF6 A1 144A    | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     781844 | PA      | $765713.90     | 0.01%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A             | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4100261.83    | 0.05%             | 2034-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                           | PIKES PEAK CLO PIPK 2019 4A ARR 144A                     | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6100000 | PA      | $6108167.23    | 0.07%             | 2034-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                                 | FREDDIE MAC FHR 2395 FT                                  | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $829.85        | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7786 FN 01/54 FIXED 6                        | CUSIP: 3140QTUL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     745902 | PA      | $770741.28     | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7A2           | CUSIP: 007036QT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13527 | PA      | $13503.04      | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A         | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720487 | PA      | $715528.22     | 0.01%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2005 1 A1                    | CUSIP: 81744FGM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254887 | PA      | $245547.94     | 0.00%             | 2035-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A      | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8211879 | PA      | $7993840.86    | 0.09%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1        | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1038391 | PA      | $949603.86     | 0.01%             | 2035-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2024 3 A1 144A                     | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1617665 | PA      | $1634021.41    | 0.02%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6551 FR 01/53 FIXED 5.5              | CUSIP: 3133BUH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6063922 | PA      | $6120058.89    | 0.07%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A       | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1019587 | PA      | $1024309.07    | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $82385.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45000 03/07/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-82519.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-2                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 2 M5             | CUSIP: 126673ZG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8446074 | PA      | $8484055.52    | 0.10%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A           | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5302824.58    | 0.06%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B       | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163144 | PA      | $161589.61     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1            | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673441 | PA      | $670984.51     | 0.01%             | 2037-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                                  | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A      | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30588 | PA      | $30531.43      | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14        | CUSIP: 12668BLY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61522 | PA      | $24650.99      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2026-A 2026-A                                              | ARI FLEET LEASE TRUST ARIFL 2026 A A1 144A               | CUSIP: 04033DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6952017 | PA      | $6950493.39    | 0.08%             | 2027-01-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                             | WSTN TRUST WSTN 2023 MAUI A 144A                         | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4851975.84    | 0.06%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2          | CUSIP: 32027NXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13134565 | PA      | $12921667.30   | 0.15%             | 2035-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                             | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A          | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1634599 | PA      | $1646318.91    | 0.02%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                       | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A                | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6100000 | PA      | $6106264.15    | 0.07%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005175 G2 09/41 FIXED 4.5                   | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11636 | PA      | $11538.88      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8509 FN 05/52 FIXED 3                        | CUSIP: 3140MNN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3250974 | PA      | $2864402.79    | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1         | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2433108 | PA      | $1829225.99    | 0.02%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A     | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291849 | PA      | $284333.57     | 0.00%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A             | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     526864 | PA      | $531276.86     | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4         | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $297689.28     | 0.00%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF5 A1 144A    | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899872 | PA      | $890718.15     | 0.01%             | 2055-10-25      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905759 FN 12/36 FLOATING VAR                   | CUSIP: 31411EJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        977 | PA      | $1003.87       | 0.00%             | 2036-12-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 3 A2           | CUSIP: 80288JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8002555 | PA      | $8016785.51    | 0.09%             | 2028-10-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323890 FN 05/36 FLOATING VAR                   | CUSIP: 31374TXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        765 | PA      | $758.46        | 0.00%             | 2036-05-01      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H06 FA           | CUSIP: 38375BKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33624 | PA      | $33609.03      | 0.00%             | 2061-02-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENTS PARTNERS LTD 2018-1A                                         | OCTAGON INVESTMENTS PARTNERS 3 OCT36 2018 1A A1 144A     | CUSIP: 67591UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     328275 | PA      | $328638.34     | 0.00%             | 2031-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2026-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2026 2A A2            | CUSIP: 30166WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11700000 | PA      | $11706072.30   | 0.14%             | 2028-11-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-2                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 2 M9             | CUSIP: 29445FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280535 | PA      | $1993293.13    | 0.02%             | 2034-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                 | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     211129 | PA      | $211346.24     | 0.00%             | 2031-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A2D         | CUSIP: 590216AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15144213 | PA      | $1655418.48    | 0.02%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                               | RCKT TRUST RCKTL 2025 1A A 144A                          | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     209556 | PA      | $210015.89     | 0.00%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2026 HYB1 A1A 144A           | CUSIP: 81750GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     960000 | PA      | $938226.43     | 0.01%             | 2056-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A5           | CUSIP: 05952DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1109506 | PA      | $1057011.53    | 0.01%             | 2047-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR2 B1          | CUSIP: 92922FNX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330242 | PA      | $288321.89     | 0.00%             | 2044-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6432 FN 03/55 FIXED 7                        | CUSIP: 3140B7EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     818825 | PA      | $868791.56     | 0.01%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A2         | CUSIP: 45660LUE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503224 | PA      | $364233.29     | 0.00%             | 2045-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A         | CUSIP: 59023FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5742862 | PA      | $810381.62     | 0.01%             | 2037-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2          | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     473983 | PA      | $474158.42     | 0.01%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                          | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A          | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7400000 | PA      | $7403100.08    | 0.09%             | 2035-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1          | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9628789 | PA      | $9349500.62    | 0.11%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D        | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2968633 | PA      | $2932528.74    | 0.03%             | 2036-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A10          | CUSIP: 74958YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73514 | PA      | $56192.89      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-1                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 1 3A26          | CUSIP: 059496BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279117 | PA      | $1107428.07    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3           | CUSIP: 542514HV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3221 | PA      | $2843.65       | 0.00%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A            | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2485421 | PA      | $2497368.81    | 0.03%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-737154.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2         | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442860 | PA      | $194989.22     | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer