# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0000933691-25-001128
**Filing Date:** 2025-8
**Character Count:** 231280
**Document Hash:** 67fd4dedbd06b0ed36decfe36a564a9d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000933691-25-001128.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0000933691-25-001128

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 251265994

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1882749819.26

**Total Liabilities:** $1982809.12

**Net Assets:** $1880767010.14

**Cash Not Reported:** $11806249.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -208.871992122891 | **1-Year:** -11386.990179998338 | **5-Year:** -61203.551490022921 | **10-Year:** -167094.490433575281 | **30-Year:** -395195.080635947315

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

- **3-Month:** -1015.290007109966 | **1-Year:** -17142.330225871084 | **5-Year:** -17072.450137645023 | **10-Year:** -77755.377077902757 | **30-Year:** -39162.034602039282

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218180 | 0.63%                | -0.89%               | 1.71%                |
| Class ID C000218181 | 0.62%                | -0.88%               | 1.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4107050.92             | $6239335.08                                |
| Month 2  | $-3487626.94             | $-8547098.20                               |
| Month 3  | $-1651782.53             | $20393768.47                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LHMN0001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AASET 2024-2 Ltd                                                                       | AASET 2024-2 Ltd                                                                       | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4030629 | PA      | $4071741.73   | 0.22%             | 2031-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| AREIT 2024-CRE9 Ltd                                                                    | AREIT 2024-CRE9 Ltd                                                                    | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    804076 | PA      | $806087.72    | 0.04%             | 2029-01-17      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust 2023-B                                               | Affirm Asset Securitization Trust 2023-B                                               | CUSIP: 00792FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5026634.00   | 0.27%             | 2026-04-15      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                                       | Aligned Data Centers Issuer, LLC                                                       | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4831913.50   | 0.26%             | 2026-08-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                                       | Aligned Data Centers Issuer, LLC                                                       | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3836956.80   | 0.20%             | 2026-08-17      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                                       | Aligned Data Centers Issuer, LLC                                                       | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1515946.35   | 0.08%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Allegro CLO V-S Ltd                                                                    | Allegro CLO V-S Ltd                                                                    | CUSIP: 01750RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3008775.00   | 0.16%             | 2037-07-24      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-19CB                                                       | Alternative Loan Trust 2006-19CB                                                       | CUSIP: 02147QAR3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   4864611 | PA      | $2642027.01   | 0.14%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-15CB                                                       | Alternative Loan Trust 2006-15CB                                                       | CUSIP: 02147RAG5<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |    947425 | PA      | $928526.93    | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-3T1                                                        | Alternative Loan Trust 2007-3T1                                                        | CUSIP: 02149VAF6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |  10887167 | PA      | $4913239.99   | 0.26%             | 2037-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-5CB                                                        | Alternative Loan Trust 2007-5CB                                                        | CUSIP: 02150EAE3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-CBDO         | CORP              | US        |   3031110 | PA      | $282610.37    | 0.02%             | 2037-04-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-5CB                                                        | Alternative Loan Trust 2007-5CB                                                        | CUSIP: 02150EAF0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   3031110 | PA      | $1219991.97   | 0.06%             | 2037-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-7                                                        | Angel Oak Mortgage Trust 2025-7                                                        | CUSIP: 03466TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2207459.98   | 0.12%             | 2070-06-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-7                                                        | Angel Oak Mortgage Trust 2025-7                                                        | CUSIP: 03466TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3818532.60   | 0.20%             | 2070-06-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XLVIII Ltd                                                                  | Apidos CLO XLVIII Ltd                                                                  | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2005518.00   | 0.11%             | 2037-07-27      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd.                               | Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd.                               | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1707260 | PA      | $1707214.19   | 0.09%             | 2036-11-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                                        | Arbor Realty Collateralized Loan Obligation Ltd                                        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1536257 | PA      | $1536257.10   | 0.08%             | 2037-01-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust                                                          | ARDN 2025-ARCP Mortgage Trust                                                          | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1273218.31   | 0.07%             | 2027-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Ares LIX CLO Ltd                                                                       | Ares LIX CLO Ltd                                                                       | CUSIP: 04018EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3004779.00   | 0.16%             | 2034-04-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE26 Mortgage Trust                                                        | COMM 2015-CCRE26 Mortgage Trust                                                        | CUSIP: 12593QBF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14952117 | PA      | $14407.86     | 0.00%             | 2048-10-13      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| COMM 2016-DC2 Mortgage Trust                                                           | COMM 2016-DC2 Mortgage Trust                                                           | CUSIP: 12594CBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11772508 | PA      | $17988.39     | 0.00%             | 2049-02-12      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| COMM 2016-DC2 Mortgage Trust                                                           | COMM 2016-DC2 Mortgage Trust                                                           | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1306278.63   | 0.07%             | 2026-02-12      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31374CSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11195046 | PA      | $10745005.85  | 0.57%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137A4MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     40960 | PA      | $173.84       | 0.00%             | 2040-11-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137A4T98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   3992353 | PA      | $422592.14    | 0.02%             | 2040-12-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36000 | PA      | $16853.48     | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AREIT 2025-CRE10 LTD                                                                   | AREIT 2025-CRE10 LTD                                                                   | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2704073.23   | 0.14%             | 2038-07-19      | Floating      | 5.70%                 | No            |                  3 | On Loan: No      |
| AASET 2024-1                                                                           | AASET 2024-1                                                                           | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2363297 | PA      | $2413398.68   | 0.13%             | 2031-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137AX2D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7052576 | PA      | $6050311.99   | 0.32%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137AXTB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3278534 | PA      | $2393743.05   | 0.13%             | 2043-01-15      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137B4HG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3334188 | PA      | $3228876.77   | 0.17%             | 2033-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137B4J49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6199000 | PA      | $5896506.16   | 0.31%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   1816043 | PA      | $196000.78    | 0.01%             | 2054-01-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137BF4T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2270725 | PA      | $2088096.19   | 0.11%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1                                                                           | AASET 2024-1                                                                           | CUSIP: 00255JAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    957162 | PA      | $954290.75    | 0.05%             | 2031-05-16      | Fixed         | 6.90%                 | No            |                  3 | On Loan: No      |
| ACRES Commercial Realty 2021-FL1 Issuer, Ltd.                                          | ACRES Commercial Realty 2021-FL1 Issuer, Ltd.                                          | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    388825 | PA      | $387966.22    | 0.02%             | 2036-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Rate Adjustable Mortgage Trust                                                         | Rate Adjustable Mortgage Trust                                                         | CUSIP: 007036KH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743602 | PA      | $2361108.07   | 0.13%             | 2035-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Carval CLO IX-C Ltd.                                                                   | Carval CLO IX-C Ltd.                                                                   | CUSIP: 14688HAA0<br>LEI: 2549009HBUYMF23IOB57 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003616.00   | 0.05%             | 2037-04-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137BLFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    554762 | PA      | $447186.04    | 0.02%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137BRRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22408341 | PA      | $19873834.39  | 1.06%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO X-C Ltd.                                                                    | Carval CLO X-C Ltd.                                                                    | CUSIP: 146918AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4011040.00   | 0.21%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CBAM 2017-1 Ltd                                                                        | CBAM 2017-1 Ltd                                                                        | CUSIP: 14987LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3007191.00   | 0.16%             | 2038-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Cedar Funding IX CLO Ltd                                                               | Cedar Funding IX CLO Ltd                                                               | CUSIP: 15033EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003782.00   | 0.05%             | 2037-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2006-S2                                            | Chase Mortgage Finance Trust Series 2006-S2                                            | CUSIP: 16163BAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6296739 | PA      | $2264648.06   | 0.12%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aircraft Lease Securitisation Limited                                                  | Aircraft Lease Securitisation Limited                                                  | CUSIP: 16165YAU6<br>LEI: 549300U0MLTIRZBG3244 | Long             | ABS-MBS          | CORP              | US        |   2061241 | PA      | $1744486.53   | 0.09%             | 2028-12-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                            | Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                            | CUSIP: 17309VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952543 | PA      | $843785.18    | 0.04%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR8                                                 | Citigroup Mortgage Loan Trust 2007-AR8                                                 | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162939 | PA      | $980395.89    | 0.05%             | 2047-07-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-GC36                                          | Citigroup Commercial Mortgage Trust 2016-GC36                                          | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18074685 | PA      | $37893.58     | 0.00%             | 2049-02-12      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137BXHY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8228440 | PA      | $7205825.93   | 0.38%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137FMES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4564751 | PA      | $4103639.29   | 0.22%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137FWTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6954653 | PA      | $3255758.84   | 0.17%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137H3SR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  17362959 | PA      | $2779927.77   | 0.15%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137H8RE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24493314 | PA      | $20597081.71  | 1.10%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HHCN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17614955 | PA      | $17552715.91  | 0.93%             | 2054-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2021-JL1                                                 | Citigroup Mortgage Loan Trust 2021-JL1                                                 | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    677805 | PA      | $646663.33    | 0.03%             | 2062-02-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| COLT 2023-1 Mortgage Loan Trust                                                        | COLT 2023-1 Mortgage Loan Trust                                                        | CUSIP: 19688NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4506073 | PA      | $4512625.36   | 0.24%             | 2068-04-25      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HHG70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17840310 | PA      | $17814840.80  | 0.95%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HHS93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16500027 | PA      | $16489869.18  | 0.88%             | 2054-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7061667 | PA      | $6418976.55   | 0.34%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2039205 | PA      | $1833933.24   | 0.10%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HJPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3267064 | PA      | $3268523.57   | 0.17%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7497749 | PA      | $7518080.11   | 0.40%             | 2055-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18370650 | PA      | $18420435.97  | 0.98%             | 2055-06-25      | Floating      | 5.81%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381HKJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  28502804 | PA      | $1341760.95   | 0.07%             | 2064-06-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4287900 | PA      | $3856331.34   | 0.21%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2506462 | PA      | $2238548.24   | 0.12%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2601711 | PA      | $2312500.71   | 0.12%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DNAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9512853 | PA      | $8330531.88   | 0.44%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381HMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  77425102 | PA      | $2533302.87   | 0.13%             | 2063-11-16      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  39932464 | PA      | $2665595.81   | 0.14%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381LVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  49393092 | PA      | $3271344.01   | 0.17%             | 2065-10-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382CS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   8724065 | PA      | $1680916.27   | 0.09%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                        | Ginnie Mae REMIC Trust 2020-095                                                        | CUSIP: 38382GAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  12017982 | PA      | $2081491.63   | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                        | Ginnie Mae REMIC Trust 2020-095                                                        | CUSIP: 38382GDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  24260519 | PA      | $4213050.15   | 0.22%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  32921456 | PA      | $4805791.82   | 0.26%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382KG56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  33791814 | PA      | $4997569.34   | 0.27%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382LNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  13448055 | PA      | $2101101.27   | 0.11%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382LR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  34099878 | PA      | $4983833.61   | 0.26%             | 2050-12-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382M3T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  44582169 | PA      | $6605459.08   | 0.35%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382NPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  14321675 | PA      | $2452350.53   | 0.13%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  23559742 | PA      | $3526224.35   | 0.19%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382QS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   8479955 | PA      | $1451246.76   | 0.08%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382RCV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  48436357 | PA      | $1526307.11   | 0.08%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382RPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  15463655 | PA      | $189592.14    | 0.01%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382USE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  32891410 | PA      | $5653319.64   | 0.30%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38382WPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  17165757 | PA      | $2534987.48   | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383CFY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17292855 | PA      | $10600993.66  | 0.56%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383DA99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  18039180 | PA      | $3525083.16   | 0.19%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383GY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8558686 | PA      | $6425777.09   | 0.34%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383L7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  25499661 | PA      | $3494593.46   | 0.19%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9963557 | PA      | $7987389.42   | 0.42%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8220941 | PA      | $6585265.02   | 0.35%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14924414 | PA      | $13585365.37  | 0.72%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140XN2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15565632 | PA      | $15997321.05  | 0.85%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140XTBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6847098 | PA      | $5471929.70   | 0.29%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6964453 | PA      | $6498804.47   | 0.35%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    660128 | PA      | $605850.95    | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4358722 | PA      | $3792472.83   | 0.20%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1514848 | PA      | $1346455.21   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11396691 | PA      | $10129815.61  | 0.54%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1559478 | PA      | $1428818.36   | 0.08%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13662118 | PA      | $10892606.82  | 0.58%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11993002 | PA      | $10018715.16  | 0.53%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11628719 | PA      | $10487249.91  | 0.56%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11639579 | PA      | $11182602.96  | 0.59%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31422M2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  40200373 | PA      | $5995358.93   | 0.32%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31422M2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  16692112 | PA      | $3207549.65   | 0.17%             | 2052-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3142GT2Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12587006 | PA      | $12951821.41  | 0.69%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust, Series 2007-FF2                                    | First Franklin Mortgage Loan Trust, Series 2007-FF2                                    | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4845838 | PA      | $2600975.22   | 0.14%             | 2037-03-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust 2006-AR1                                     | First Horizon Mortgage Pass-Through Trust 2006-AR1                                     | CUSIP: 32051G2W4<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   2499284 | PA      | $972121.56    | 0.05%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                         | FirstKey Homes 2020-SFR1 Trust                                                         | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $5065493.91   | 0.27%             | 2025-09-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 35564K2G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3124082.40   | 0.17%             | 2043-06-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 35564NFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8450000 | PA      | $8462677.54   | 0.45%             | 2044-10-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 36179RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105778 | PA      | $1004274.62   | 0.05%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29251421 | PA      | $24782298.30  | 1.32%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                           | GS Mortgage Securities Corp.                                                           | CUSIP: 362334QE7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |   3616768 | PA      | $1312949.72   | 0.07%             | 2046-03-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GWT Commercial Mortgage Trust 2024-WLF2                                                | GWT Commercial Mortgage Trust 2024-WLF2                                                | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2505471.50   | 0.13%             | 2026-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                                 | GS Mortgage Securities Trust 2015-GC34                                                 | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-CBDO         | CORP              | US        |  14576873 | PA      | $22464.42     | 0.00%             | 2048-10-13      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                                 | GS Mortgage Securities Trust 2015-GC34                                                 | CUSIP: 36250VAJ1<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    782000 | PA      | $478747.91    | 0.03%             | 2025-10-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS3                                                  | GS Mortgage Securities Trust 2016-GS3                                                  | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22467384 | PA      | $180408.60    | 0.01%             | 2049-10-13      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ABFC 2007-WMC1 Trust                                                                   | ABFC 2007-WMC1 Trust                                                                   | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3138182 | PA      | $2263547.24   | 0.12%             | 2037-06-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                             | GS Mortgage Securities Corp Trust 2018-TWR                                             | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436000 | PA      | $337752.59    | 0.02%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                             | GS Mortgage Securities Corp Trust 2018-TWR                                             | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $251600.30    | 0.01%             | 2031-07-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                             | GS Mortgage Securities Corp Trust 2018-TWR                                             | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $103831.20    | 0.01%             | 2031-07-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                             | GS Mortgage Securities Corp Trust 2018-TWR                                             | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $88999.60     | 0.00%             | 2031-07-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                             | GS Mortgage Securities Corp Trust 2018-TWR                                             | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $80156.20     | 0.00%             | 2031-07-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GS1                                                  | GS Mortgage Securities Trust 2015-GS1                                                  | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  25743250 | PA      | $51468.48     | 0.00%             | 2048-11-13      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GS1                                                  | GS Mortgage Securities Trust 2015-GS1                                                  | CUSIP: 36252AAG1<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   2462000 | PA      | $2390137.91   | 0.13%             | 2025-11-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Katayma CLO II, Ltd.                                                                   | Katayma CLO II, Ltd.                                                                   | CUSIP: 485862AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002988.00   | 0.05%             | 2037-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LLC                                                                   | LFT CRE 2021-FL1 LLC                                                                   | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    844554 | PA      | $842425.18    | 0.04%             | 2039-06-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LLC                                                                   | LFT CRE 2021-FL1 LLC                                                                   | CUSIP: 50203JAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | PA      | $2595270.86   | 0.14%             | 2039-06-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C9                                                           | BBCMS Mortgage Trust 2021-C9                                                           | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  34782478 | PA      | $2240673.29   | 0.12%             | 2054-02-18      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C11                                                          | BBCMS Mortgage Trust 2021-C11                                                          | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  42202641 | PA      | $2343107.53   | 0.12%             | 2054-09-17      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BFLD Trust 2025-EWEST                                                                  | BFLD Trust 2025-EWEST                                                                  | CUSIP: 05494JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1271188.59   | 0.07%             | 2027-06-15      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B19 Mortgage Trust                                                      | Benchmark 2020-B19 Mortgage Trust                                                      | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  34232090 | PA      | $1596303.98   | 0.08%             | 2053-09-17      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Labrador Aviation Finance Limited                                                      | Labrador Aviation Finance Limited                                                      | CUSIP: 50543LAA0<br>LEI: 549300FTBC83WH0X4750 | Long             | ABS-CBDO         | CORP              | BM        |   7701118 | PA      | $7416946.93   | 0.39%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                                 | Morgan Stanley Capital I Trust 2019-L3                                                 | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3847000 | PA      | $3595129.60   | 0.19%             | 2029-11-16      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B27 Mortgage Trust                                                      | Benchmark 2021-B27 Mortgage Trust                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19685053 | PA      | $992439.67    | 0.05%             | 2054-07-17      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B29 Mortgage Trust                                                      | Benchmark 2021-B29 Mortgage Trust                                                      | CUSIP: 08163JAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38734000 | PA      | $1398479.45   | 0.07%             | 2054-09-17      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C16 Commercial Mortgage Trust                                               | CSAIL 2019-C16 Commercial Mortgage Trust                                               | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8660680 | PA      | $423080.26    | 0.02%             | 2052-06-17      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Colt 2023-2 Mortgage Loan Trust                                                        | Colt 2023-2 Mortgage Loan Trust                                                        | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |   3176057 | PA      | $3199261.02   | 0.17%             | 2068-07-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 Commercial Mortgage Trust                                                | CSAIL 2015-C1 Commercial Mortgage Trust                                                | CUSIP: 126281BB9<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-CBDO         | CORP              | US        |   1123804 | PA      | $307.81       | 0.00%             | 2050-04-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 Mortgage Trust                                                           | COMM 2015-DC1 Mortgage Trust                                                           | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1923160 | PA      | $29.23        | 0.00%             | 2048-02-12      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2006-16AX                                           | Morgan Stanley Mortgage Loan Trust 2006-16AX                                           | CUSIP: 61749KAE3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |  17012761 | PA      | $6102604.86   | 0.32%             | 2036-07-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-8XS                                            | Morgan Stanley Mortgage Loan Trust 2007-8XS                                            | CUSIP: 61754PAA2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |    926134 | PA      | $487447.38    | 0.03%             | 2037-04-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C4 Commercial Mortgage Trust                                                | CSAIL 2015-C4 Commercial Mortgage Trust                                                | CUSIP: 12635RBD9<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |   1911000 | PA      | $1882764.78   | 0.10%             | 2025-11-18      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust                                                                            | CSMCM Trust                                                                            | CUSIP: 12652YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13779082 | PA      | $11766367.26  | 0.63%             | 2058-09-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-12                                             | Morgan Stanley Mortgage Loan Trust 2007-12                                             | CUSIP: 61755GBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081710 | PA      | $372828.32    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19                            | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19                            | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788066 | PA      | $751744.09    | 0.04%             | 2047-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                          | CSMC 2021-B33                                                                          | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894269 | PA      | $832146.03    | 0.04%             | 2031-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                          | CSMC 2021-B33                                                                          | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130000 | PA      | $1862335.47   | 0.10%             | 2031-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                            | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                            | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17280207 | PA      | $19365.93     | 0.00%             | 2049-01-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                            | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                            | CUSIP: 61766NBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14891867 | PA      | $162641.52    | 0.01%             | 2049-09-17      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                                    | HSI Asset Securitization Corporation Trust 2007-NC1                                    | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1772836 | PA      | $1159294.51   | 0.06%             | 2037-04-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                            | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                            | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360000 | PA      | $2074383.60   | 0.11%             | 2026-10-19      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2020-1                                                         | Mosaic Solar Loan Trust 2020-1                                                         | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1292970 | PA      | $1130591.11   | 0.06%             | 2032-11-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-SPT1 Trust                                                                   | CSMC 2020-SPT1 Trust                                                                   | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6707878.10   | 0.36%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 Trust                                                                   | CSMC 2021-RPL3 Trust                                                                   | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7203162 | PA      | $6411221.37   | 0.34%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                                    | HSI Asset Securitization Corporation Trust 2007-NC1                                    | CUSIP: 40430TAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8343349 | PA      | $5495622.71   | 0.29%             | 2037-04-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd.                                              | Halcyon Loan Advisors Funding 2013-2 Ltd.                                              | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |     61431 | PA      | $55224.40     | 0.00%             | 2025-08-01      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| MP CLO VIII Ltd                                                                        | MP CLO VIII Ltd                                                                        | CUSIP: 62481WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1502115.00   | 0.08%             | 2034-04-28      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NBC Funding LLC                                                                        | NBC Funding LLC                                                                        | CUSIP: 62878YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1492500 | PA      | $1509968.07   | 0.08%             | 2031-07-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                                                               | HalseyPoint CLO II, Ltd.                                                               | CUSIP: 40638TAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6016554.00   | 0.32%             | 2037-07-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                                  | Home Partners of America 2018-1 Trust                                                  | CUSIP: 437300AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2168952 | PA      | $1926196.48   | 0.10%             | 2029-09-19      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                                  | Home Partners of America 2018-1 Trust                                                  | CUSIP: 437300AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    991782 | PA      | $871487.76    | 0.05%             | 2029-09-19      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                                  | Home Partners of America 2018-1 Trust                                                  | CUSIP: 437300AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1142254 | PA      | $1027042.88   | 0.05%             | 2029-09-19      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL6, LLC                                                                    | PRET 2024-NPL6, LLC                                                                    | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |  13386637 | PA      | $13337501.00  | 0.71%             | 2054-09-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                                   | Pretium Mortgage Credit Partners LLC                                                   | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2174682 | PA      | $2169130.25   | 0.12%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL9, LLC                                                                    | PRET 2024-NPL9, LLC                                                                    | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7512981 | PA      | $7624950.67   | 0.41%             | 2027-12-25      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| Progress Residential 2021-SFR5 Trust                                                   | Progress Residential 2021-SFR5 Trust                                                   | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15840000 | PA      | $15434904.67  | 0.82%             | 2026-07-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                                   | Progress Residential 2021-SFR8 Trust                                                   | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $4942942.44   | 0.26%             | 2026-10-19      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR3 Trust                                                   | Progress Residential 2021-SFR3 Trust                                                   | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8500000 | PA      | $8338057.15   | 0.44%             | 2026-05-19      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-4, LLC                                                                       | PRPM 2024-4, LLC                                                                       | CUSIP: 74390EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3315885 | PA      | $3316422.97   | 0.18%             | 2027-08-25      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6, LLC.                                                                      | PRPM 2024-6, LLC.                                                                      | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9276272 | PA      | $9283310.67   | 0.49%             | 2027-11-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| PRPM 2024-7 LLC                                                                        | PRPM 2024-7 LLC                                                                        | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2026426 | PA      | $2034721.45   | 0.11%             | 2027-11-25      | Fixed         | 5.87%                 | No            |                  3 | On Loan: No      |
| RALI Series 2006-QS4 Trust                                                             | RALI Series 2006-QS4 Trust                                                             | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1271697 | PA      | $1011144.81   | 0.05%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust, 2007-A                                                      | RBSGC Mortgage Loan Trust, 2007-A                                                      | CUSIP: 74927WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2235461 | PA      | $2128898.89   | 0.11%             | 2037-01-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                       | RBSGC Mortgage Loan Trust 2007-B                                                       | CUSIP: 74927XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2309447 | PA      | $1252436.09   | 0.07%             | 2036-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                       | RBSGC Mortgage Loan Trust 2007-B                                                       | CUSIP: 74927XBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2309447 | PA      | $243455.88    | 0.01%             | 2037-01-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S6 Trust                                                             | RFMSI Series 2006-S6 Trust                                                             | CUSIP: 74957VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144660 | PA      | $127881.67    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S5 Trust                                                             | RFMSI Series 2007-S5 Trust                                                             | CUSIP: 749580AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3857774 | PA      | $3195258.03   | 0.17%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S2 Trust                                                             | RFMSI Series 2007-S2 Trust                                                             | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472502 | PA      | $356061.96    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S4 Trust                                                             | RFMSI Series 2007-S4 Trust                                                             | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591023 | PA      | $482662.77    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust 2024-CNTR                                                                   | ROCK Trust 2024-CNTR                                                                   | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1376000 | PA      | $1400850.28   | 0.07%             | 2041-11-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006-QS5 Trust                                                             | RALI Series 2006-QS5 Trust                                                             | CUSIP: 75114TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275758 | PA      | $1042724.21   | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust 2025-3                                              | Research-Driven Pagaya Motor Trust 2025-3                                              | CUSIP: 76090QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2800000 | PA      | $2814743.68   | 0.15%             | 2027-06-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                       | Residential Accredit Loans, Inc.                                                       | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3882903 | PA      | $2855349.95   | 0.15%             | 2036-01-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A8                                         | Residential Asset Securitization Trust 2007-A8                                         | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15332220 | PA      | $7264795.35   | 0.39%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HCLV Mortgage Trust                                                          | COMM 2018-HCLV Mortgage Trust                                                          | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $1866645.90   | 0.10%             | 2033-09-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CommonBond Student Loan Trust 2018-B-GS                                                | CommonBond Student Loan Trust 2018-B-GS                                                | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-CBDO         | CORP              | US        |     85378 | PA      | $74290.45     | 0.00%             | 2028-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NP SPE II LLC                                                                          | NP SPE II LLC                                                                          | CUSIP: 62954JAB0<br>LEI: 549300M4DFCB4G0UM882 | Long             | ABS-CBDO         | CORP              | US        |   7474429 | PA      | $7267985.62   | 0.39%             | 2026-09-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.                                                                     | Nassau 2018-I Ltd.                                                                     | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | KY        |    426239 | PA      | $426395.02    | 0.02%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2024-R04                                           | Connecticut Avenue Securities Trust 2024-R04                                           | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14020162 | PA      | $14020118.33  | 0.75%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  29838865 | PA      | $4772350.47   | 0.25%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                         | Alternative Loan Trust 2005-43                                                         | CUSIP: 12667GLC5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   1476517 | PA      | $1204165.97   | 0.06%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                         | Alternative Loan Trust 2005-45                                                         | CUSIP: 12668AKP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12598005 | PA      | $7704716.90   | 0.41%             | 2035-11-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd.                                                                    | CAL Funding IV Ltd.                                                                    | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1783125 | PA      | $1680244.18   | 0.09%             | 2028-03-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO 2017-2, Ltd.                                                            | Carlyle US CLO 2017-2, Ltd.                                                            | CUSIP: 14315JBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2507862.50   | 0.13%             | 2037-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust, Series 2007-RFC1                                       | Carrington Mortgage Loan Trust, Series 2007-RFC1                                       | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1929879 | PA      | $1893534.43   | 0.10%             | 2036-09-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DPTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2566237 | PA      | $2599100.43   | 0.14%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2020-2PAC                                 | Natixis Commercial Mortgage Securities Trust 2020-2PAC                                 | CUSIP: 63875DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3721503.72   | 0.20%             | 2038-12-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-RPL1                                          | New Residential Mortgage Loan Trust 2020-RPL1                                          | CUSIP: 64828XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4628702.00   | 0.25%             | 2059-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                                            | HOMES Trust                                                                            | CUSIP: 43761KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3616900 | PA      | $3632077.64   | 0.19%             | 2068-02-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance III Limited                                                   | Horizon Aircraft Finance III Limited                                                   | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2406250 | PA      | $2392775.00   | 0.13%             | 2031-09-15      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| Ixis Real Estate Capital Trust 2006-HE1                                                | Ixis Real Estate Capital Trust 2006-HE1                                                | CUSIP: 45071KDE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3898537 | PA      | $1925712.61   | 0.10%             | 2036-03-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| INCREF 2025-FL1 LLC                                                                    | INCREF 2025-FL1 LLC                                                                    | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2530000 | PA      | $2538699.66   | 0.13%             | 2042-10-22      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                      | IndyMac MBS, Inc.                                                                      | CUSIP: 45660LSU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6273284 | PA      | $3285503.48   | 0.17%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust 2006-AR2                                              | IndyMac INDA Mortgage Loan Trust 2006-AR2                                              | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514456 | PA      | $485153.06    | 0.03%             | 2036-09-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2016-C2                                     | JPMDB Commercial Mortgage Securities Trust 2016-C2                                     | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17204057 | PA      | $150833.13    | 0.01%             | 2049-06-17      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2016-JP2                                    | JPMCC Commercial Mortgage Securities Trust 2016-JP2                                    | CUSIP: 46590MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5081000 | PA      | $4660194.63   | 0.25%             | 2026-07-17      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31424UPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  19083003 | PA      | $4906835.52   | 0.26%             | 2052-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 31427MS28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21639953 | PA      | $21754772.52  | 1.16%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3132DQGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15152499 | PA      | $14996145.04  | 0.80%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3132DQLN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11750501 | PA      | $11963401.74  | 0.64%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2017-C1                                                  | UBS Commercial Mortgage Trust 2017-C1                                                  | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12844748 | PA      | $250089.81    | 0.01%             | 2050-06-17      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust Series 2025-ST1                                         | Upgrade Master Pass-Thru Trust Series 2025-ST1                                         | CUSIP: 91533KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    917229 | PA      | $917519.17    | 0.05%             | 2029-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DSDU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12032412 | PA      | $12652875.14  | 0.67%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DSND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18031118 | PA      | $18531184.36  | 0.99%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                                       | JNL Government Money Market Fund                                                       | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  51253618 | NS      | $51253617.75  | 2.73%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | CUSIP: 46629VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4012954 | PA      | $3743302.77   | 0.20%             | 2034-01-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | CUSIP: 46629VAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1499919 | PA      | $1403153.09   | 0.07%             | 2036-07-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | CUSIP: 46629VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3879101 | PA      | $3628965.80   | 0.19%             | 2036-11-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132E0BJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7279883 | PA      | $7470404.68   | 0.40%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8302701 | PA      | $7488520.94   | 0.40%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132JMEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2466633 | PA      | $2239531.96   | 0.12%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132JNU21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    787921 | PA      | $760424.35    | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132L6CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    981643 | PA      | $944009.03    | 0.05%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132M3KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    169505 | PA      | $162726.82    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                        | CUSIP: 46630BAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19510544 | PA      | $9657387.56   | 0.51%             | 2036-12-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, N.A.                                                              | JPMorgan Chase Bank, N.A.                                                              | CUSIP: 466317AA2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |   2635955 | PA      | $2606297.19   | 0.14%             | 2037-04-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132M3YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1209363 | PA      | $1161433.52   | 0.06%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3133BHLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7286608 | PA      | $6995977.81   | 0.37%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2025-CRE8 Issuer LLC                                                          | LoanCore 2025-CRE8 Issuer LLC                                                          | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2701524.75   | 0.14%             | 2029-11-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                             | WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                             | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13301341 | PA      | $4408858.43   | 0.23%             | 2036-04-25      | Floating      | 1.08%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2021-4                                                    | Upstart Securitization Trust 2021-4                                                    | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2887932 | PA      | $2861148.15   | 0.15%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2007-7 Trust                                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                                    | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492542 | PA      | $458970.40    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3133KJ3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11712710 | PA      | $9726001.60   | 0.52%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3133KKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6285206 | PA      | $5289818.58   | 0.28%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3133KPT65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11495739 | PA      | $10727903.36  | 0.57%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136A0R33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    694256 | PA      | $77082.24     | 0.00%             | 2041-09-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Resecuritization Trust, Series 2009-10 Trust                               | J.P. Morgan Resecuritization Trust, Series 2009-10 Trust                               | CUSIP: 46634ABH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807028 | PA      | $889333.92    | 0.05%             | 2037-03-26      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C21                                    | JPMBB Commercial Mortgage Securities Trust 2014-C21                                    | CUSIP: 46642EBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741780 | PA      | $735440.84    | 0.04%             | 2047-08-16      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-LC20                                        | Wells Fargo Commercial Mortgage Trust 2015-LC20                                        | CUSIP: 94989EAL1<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |   1190572 | PA      | $1147310.58   | 0.06%             | 2050-04-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C31                                         | Wells Fargo Commercial Mortgage Trust 2015-C31                                         | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1807807.42   | 0.10%             | 2025-11-18      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    563958 | PA      | $540940.50    | 0.03%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136A7XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8847105 | PA      | $8057190.22   | 0.43%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136AED46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    936274 | PA      | $897498.74    | 0.05%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136AEUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    204379 | PA      | $190370.21    | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136ALB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13769075 | PA      | $12504316.60  | 0.66%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136B1R30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18321653 | PA      | $15249481.61  | 0.81%             | 2048-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136B1VR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   4984994 | PA      | $409634.37    | 0.02%             | 2042-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  33412513 | PA      | $2079765.21   | 0.11%             | 2031-09-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Sound Point Clo XXI Ltd                                                                | Sound Point Clo XXI Ltd                                                                | CUSIP: 83613HAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1955338 | PA      | $1955727.24   | 0.10%             | 2031-10-27      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIII                                                                  | Sound Point CLO XXIII                                                                  | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2000992.00   | 0.11%             | 2034-07-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIX Ltd                                                               | Sound Point CLO XXIX Ltd                                                               | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002200.00   | 0.05%             | 2034-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                             | Starwood Mortgage Residential Trust 2021-2                                             | CUSIP: 85573HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5537000 | PA      | $4764873.10   | 0.25%             | 2065-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO 2016-1, Ltd.                                                          | Steele Creek CLO 2016-1, Ltd.                                                          | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | KY        |    508148 | PA      | $508543.49    | 0.03%             | 2031-06-16      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                                | Structured Asset Securities Corporation                                                | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4850578 | PA      | $2452865.64   | 0.13%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust 2017-5                                                 | LSTAR Commercial Mortgage Trust 2017-5                                                 | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  29660616 | PA      | $207271.35    | 0.01%             | 2050-03-11      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Luminace Abs-2024 Issuer LLC                                                           | Luminace Abs-2024 Issuer LLC                                                           | CUSIP: 55026NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1178326 | PA      | $1183809.02   | 0.06%             | 2031-10-30      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust 2007-1                                                    | MASTR Alternative Loan Trust 2007-1                                                    | CUSIP: 55275SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2577683 | PA      | $748596.38    | 0.04%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 Ltd.                                                                      | MF1 2021-FL7 Ltd.                                                                      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1047182 | PA      | $1045833.24   | 0.06%             | 2036-10-21      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 Ltd.                                                                      | MF1 2022-FL8 Ltd.                                                                      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    684488 | PA      | $684253.12    | 0.04%             | 2037-02-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM3 Trust                                                                    | MFA 2023-NQM3 Trust                                                                    | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10065732 | PA      | $10152080.96  | 0.54%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C33                                    | JPMBB Commercial Mortgage Securities Trust 2015-C33                                    | CUSIP: 46645JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224000 | PA      | $2103848.62   | 0.11%             | 2025-11-18      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                       | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                       | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666000 | PA      | $414266.81    | 0.02%             | 2026-12-07      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                                | Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                                | CUSIP: 863579B31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2538117 | PA      | $2090881.88   | 0.11%             | 2035-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-3                                          | Structured Asset Investment Loan Trust 2006-3                                          | CUSIP: 863587AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4495480 | PA      | $2767775.57   | 0.15%             | 2036-06-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2020-COR7                                   | JPMDB Commercial Mortgage Securities Trust 2020-COR7                                   | CUSIP: 46652JAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  34698456 | PA      | $1779114.77   | 0.09%             | 2053-05-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2019-COR6                                   | JPMDB Commercial Mortgage Securities Trust 2019-COR6                                   | CUSIP: 48129RAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3826469.02   | 0.20%             | 2029-11-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| MF1 2025-FL17 LLC                                                                      | MF1 2025-FL17 LLC                                                                      | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2704918.48   | 0.14%             | 2040-02-21      | Floating      | 5.63%                 | No            |                  3 | On Loan: No      |
| MRCD 2019-PARK Mortgage Trust                                                          | MRCD 2019-PARK Mortgage Trust                                                          | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018000 | PA      | $632278.07    | 0.03%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-4                                          | Structured Asset Investment Loan Trust 2006-4                                          | CUSIP: 86360WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $7483137.55   | 0.40%             | 2036-07-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-BNC3                                       | Structured Asset Investment Loan Trust 2006-BNC3                                       | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4601892 | PA      | $2704616.80   | 0.14%             | 2036-09-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Magnetite XL, Limited                                                                  | Magnetite XL, Limited                                                                  | CUSIP: 55955RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2006180.00   | 0.11%             | 2037-07-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXV Ltd                                                               | Marble Point CLO XXV Ltd                                                               | CUSIP: 565923AQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2004108.00   | 0.11%             | 2036-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXV Ltd                                                               | Marble Point CLO XXV Ltd                                                               | CUSIP: 565923AU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003799.00   | 0.05%             | 2036-10-20      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXII Ltd.                                                             | Marble Point CLO XXII Ltd.                                                             | CUSIP: 56606GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000290.00   | 0.05%             | 2034-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios III Issuer, LLC                                                         | Sunnova Helios III Issuer, LLC                                                         | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1477142 | PA      | $1351230.15   | 0.07%             | 2029-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol II Issuer, LLC                                                             | Sunnova Sol II Issuer, LLC                                                             | CUSIP: 86745PAA1<br>LEI: 549300JK1Y1VVC3JU540 | Long             | ABS-CBDO         | CORP              | US        |   3282919 | PA      | $2706004.78   | 0.14%             | 2030-10-30      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                                                 | Switch ABS Issuer, LLC                                                                 | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2522135.00   | 0.13%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| TRTX 2021-FL4 Issuer, Ltd.                                                             | TRTX 2021-FL4 Issuer, Ltd.                                                             | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1264299 | PA      | $1261482.96   | 0.07%             | 2038-03-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 Issuer, Ltd.                                                             | TRTX 2022-FL5 Issuer, Ltd.                                                             | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2518646 | PA      | $2517768.08   | 0.13%             | 2039-02-17      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                                 | Taco Bell Funding, LLC                                                                 | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4912500 | PA      | $4679781.12   | 0.25%             | 2027-02-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                                 | Taco Bell Funding, LLC                                                                 | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3930000 | PA      | $3350710.53   | 0.18%             | 2031-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust 2024-1                                                  | Tesla Sustainable Energy Trust 2024-1                                                  | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2450000 | PA      | $2345009.42   | 0.12%             | 2031-12-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Trinity Rail Leasing 2010 LLC                                                          | Trinity Rail Leasing 2010 LLC                                                          | CUSIP: 89656CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2279198 | PA      | $2264578.55   | 0.12%             | 2031-01-16      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                                     | Credit Suisse Securities (USA) LLC                                                     | CUSIP: 225470AB9<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   4023015 | PA      | $1171365.24   | 0.06%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                                     | Credit Suisse Securities (USA) LLC                                                     | CUSIP: 225470YH0<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   2235464 | PA      | $890907.48    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                   | Credit Suisse First Boston Mortgage Securities Corp.                                   | CUSIP: 2254W0PC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4975825 | PA      | $2513287.15   | 0.13%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OC8                                                        | Alternative Loan Trust 2006-OC8                                                        | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2586164 | PA      | $2447264.47   | 0.13%             | 2036-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C1 Mortgage Trust                                                           | DBJPM 2016-C1 Mortgage Trust                                                           | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19858350 | PA      | $53019.81     | 0.00%             | 2049-05-12      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| DOLP Trust 2021-NYC                                                                    | DOLP Trust 2021-NYC                                                                    | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $471309.03    | 0.03%             | 2031-05-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Databank Issuer, LLC                                                                   | Databank Issuer, LLC                                                                   | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1956300.60   | 0.10%             | 2026-02-25      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1                   | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1                   | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6862339 | PA      | $6465072.96   | 0.34%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1                   | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1                   | CUSIP: 251510MH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2694806 | PA      | $2481004.55   | 0.13%             | 2036-02-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                            | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                            | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8954761 | PA      | $7775284.25   | 0.41%             | 2047-09-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Dryden 53 CLO Ltd., Series 2017-53A                                                    | Dryden 53 CLO Ltd., Series 2017-53A                                                    | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.05%             | 2031-01-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Empower CLO 2024-1 Ltd                                                                 | Empower CLO 2024-1 Ltd                                                                 | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5015045.00   | 0.27%             | 2037-04-27      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-P3                                            | Citigroup Commercial Mortgage Trust 2016-P3                                            | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12833551 | PA      | $139224.78    | 0.01%             | 2049-04-16      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust 2021-ESH                                                   | Extended Stay America Trust 2021-ESH                                                   | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |   2315865 | PA      | $2316589.60   | 0.12%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                      | Master Asset Securitization Trust                                                      | CUSIP: 57643MMK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1707793 | PA      | $1013719.73   | 0.05%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2007-R5                                          | MASTR Adjustable Rate Mortgages Trust 2007-R5                                          | CUSIP: 57645WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8368951 | PA      | $3934523.18   | 0.21%             | 2035-11-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL15 LLC                                                                      | MF1 2024-FL15 LLC                                                                      | CUSIP: 58003MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2507813.25   | 0.13%             | 2041-08-18      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                                    | Merrill Lynch Mortgage Capital Inc.                                                    | CUSIP: 59020VAS2<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-CBDO         | CORP              | US        |  27506132 | PA      | $9333476.95   | 0.50%             | 2037-03-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                                | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                                | CUSIP: 590212AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16133791 | PA      | $4102311.56   | 0.22%             | 2037-06-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1                            | Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1                            | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9822238 | PA      | $2662419.85   | 0.14%             | 2047-10-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2024-NSTB                                               | Morgan Stanley Capital I Trust 2024-NSTB                                               | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2564532 | PA      | $2480838.28   | 0.13%             | 2032-07-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                                 | Morgan Stanley Capital I Trust 2019-L3                                                 | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  65969685 | PA      | $1512750.85   | 0.08%             | 2052-11-18      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd.                                                                     | KREF 2021-FL2 Ltd.                                                                     | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | US        |   1440384 | PA      | $1436297.02   | 0.08%             | 2039-02-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Katayma CLO I, Ltd.                                                                    | Katayma CLO I, Ltd.                                                                    | CUSIP: 48585JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5022500.00   | 0.27%             | 2036-10-20      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust                                                                  | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $10045303.80  | 0.53%             | 2026-07-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust                                                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11300000 | PA      | $10848959.37  | 0.58%             | 2026-10-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Katayma CLO I, Ltd.                                                                    | Katayma CLO I, Ltd.                                                                    | CUSIP: 48585JAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002866.00   | 0.05%             | 2036-10-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| STWD 2021-FL2, Ltd.                                                                    | STWD 2021-FL2, Ltd.                                                                    | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2337726 | PA      | $2328503.66   | 0.12%             | 2038-04-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance II Limited                                                   | Sapphire Aviation Finance II Limited                                                   | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5088795 | PA      | $4852166.48   | 0.26%             | 2027-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-Nc3                                | Securitized Asset Backed Receivables LLC Trust 2006-Nc3                                | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15603098 | PA      | $5106475.86   | 0.27%             | 2036-09-25      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Limited                                                  | Shenton Aircraft Investment I Limited                                                  | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-CBDO         | CORP              | KY        |   5066611 | PA      | $4927785.99   | 0.26%             | 2027-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program 2017-F LLC                                              | SoFi Professional Loan Program 2017-F LLC                                              | CUSIP: 83401BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $7573693.60   | 0.40%             | 2027-05-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2021-1 Trust                                                | SoFi Consumer Loan Program 2021-1 Trust                                                | CUSIP: 83406GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    291381 | PA      | $288796.77    | 0.02%             | 2030-05-25      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2025-2 Trust                                                | SoFi Consumer Loan Program 2025-2 Trust                                                | CUSIP: 83407HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5033755.50   | 0.27%             | 2034-06-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO 38, Ltd.                                                               | Sound Point CLO 38, Ltd.                                                               | CUSIP: 835937AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1503720.00   | 0.08%             | 2037-02-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd                                                                 | Sound Point CLO IX Ltd                                                                 | CUSIP: 83609GBQ7<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $850644.30    | 0.05%             | 2032-07-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                             | Sound Point CLO IV-R, Ltd.                                                             | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |   1425720 | PA      | $1425724.06   | 0.08%             | 2031-04-18      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust 2024-1                                                    | Upstart Securitization Trust 2024-1                                                    | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1849704 | PA      | $1853440.49   | 0.10%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII, LLC                                                                        | VOLT XCVII, LLC                                                                        | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    243864 | PA      | $243820.10    | 0.01%             | 2051-04-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| VOLT CV LLC                                                                            | VOLT CV LLC                                                                            | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568458 | PA      | $566681.34    | 0.03%             | 2051-11-27      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust 2024-TI                                                                    | VEGAS Trust 2024-TI                                                                    | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1377000 | PA      | $1394172.29   | 0.07%             | 2027-11-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                          | Velocity Commercial Capital Loan Trust 2017-2                                          | CUSIP: 92258VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480642 | PA      | $478014.39    | 0.03%             | 2026-07-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-4                                                      | Verus Securitization Trust 2023-4                                                      | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   2711874 | PA      | $2712142.67   | 0.14%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO III Ltd                                                                    | Vibrant CLO III Ltd                                                                    | CUSIP: 92557UAW7<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |    346636 | PA      | $346822.88    | 0.02%             | 2031-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Visio 2021-1R Trust                                                                    | Visio 2021-1R Trust                                                                    | CUSIP: 92837UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6161000 | PA      | $5331505.76   | 0.28%             | 2056-05-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV, LLC                                                                         | VOLT XCIV, LLC                                                                         | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179652 | PA      | $179680.47    | 0.01%             | 2051-02-27      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI, LLC                                                                         | VOLT XCVI, LLC                                                                         | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274193 | PA      | $273872.79    | 0.01%             | 2051-03-27      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 3 Ltd                                                              | Warwick Capital CLO 3 Ltd                                                              | CUSIP: 93655PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003365.00   | 0.05%             | 2037-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 4 Ltd.                                                             | Warwick Capital CLO 4 Ltd.                                                             | CUSIP: 93655QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3008160.00   | 0.16%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust         | CUSIP: 93934NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870018 | PA      | $694972.37    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust         | CUSIP: 93934NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553604 | PA      | $1241021.69   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust                | Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust                | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50530 | PA      | $16968.12     | 0.00%             | 2036-10-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust         | CUSIP: 93935HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16601479 | PA      | $4493954.07   | 0.24%             | 2036-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust         | CUSIP: 93936HAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805715 | PA      | $796100.05    | 0.04%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust 2015-SBC5                                          | Waterfall Commercial Mortgage Trust 2015-SBC5                                          | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257073 | PA      | $256488.12    | 0.01%             | 2026-01-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                            | Wells Fargo Alternative Loan 2007-PA3 Trust                                            | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970175 | PA      | $858221.30    | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                            | Wells Fargo Alternative Loan 2007-PA3 Trust                                            | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910399 | PA      | $780454.54    | 0.04%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS4                                        | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                        | CUSIP: 94989XBL8<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |   2031000 | PA      | $1956288.45   | 0.10%             | 2025-11-18      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                  | Wells Fargo & Company                                                                  | CUSIP: 94989YBF9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |   1577000 | PA      | $1549846.11   | 0.08%             | 2026-01-16      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA5 Trust                                            | Wells Fargo Alternative Loan 2007-PA5 Trust                                            | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323568 | PA      | $268652.72    | 0.01%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-P2                                          | Wells Fargo Commercial Mortgage Trust 2015-P2                                          | CUSIP: 95000AAX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12891738 | PA      | $34927.59     | 0.00%             | 2048-12-17      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                  | Wells Fargo & Company                                                                  | CUSIP: 95000HBM3<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1798173.40   | 0.10%             | 2026-09-17      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                  | Wells Fargo & Company                                                                  | CUSIP: 95000LBC6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-CBDO         | CORP              | US        |   9532382 | PA      | $44535.29     | 0.00%             | 2059-03-17      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                                         | Wells Fargo Commercial Mortgage Trust 2017-C39                                         | CUSIP: 95000XAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  64168470 | PA      | $1007175.48   | 0.05%             | 2050-09-16      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-RC1                                         | Wells Fargo Commercial Mortgage Trust 2017-RC1                                         | CUSIP: 95001FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14764227 | PA      | $264077.40    | 0.01%             | 2060-01-16      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C54                                         | Wells Fargo Commercial Mortgage Trust 2019-C54                                         | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  33858352 | PA      | $1055195.54   | 0.06%             | 2052-12-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2021-FL2 Issuer, Ltd.                                                        | FS Rialto 2021-FL2 Issuer, Ltd.                                                        | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1655524 | PA      | $1652350.42   | 0.09%             | 2038-05-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128M9VU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6101961 | PA      | $5549451.84   | 0.30%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C55                                         | Wells Fargo Commercial Mortgage Trust 2020-C55                                         | CUSIP: 95002EBF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  55968460 | PA      | $2546923.12   | 0.14%             | 2053-02-18      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C56                                         | Wells Fargo Commercial Mortgage Trust 2020-C56                                         | CUSIP: 95002RBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  47881360 | PA      | $2319971.61   | 0.12%             | 2053-06-17      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust IV                                                      | Willis Engine Structured Trust IV                                                      | CUSIP: 97064EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1148442 | PA      | $1130526.77   | 0.06%             | 2026-09-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2100287 | PA      | $1926814.62   | 0.10%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7189184 | PA      | $6532584.51   | 0.35%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NJ 2025-WBRK Mortgage Trust                                                            | NJ 2025-WBRK Mortgage Trust                                                            | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1814000 | PA      | $1871109.44   | 0.10%             | 2030-03-07      | Fixed         | 5.87%                 | No            |                  3 | On Loan: No      |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4           | Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4           | CUSIP: 65535VSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396857 | PA      | $274571.98    | 0.01%             | 2036-02-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust 2011-4R                                                  | Nomura Resecuritization Trust 2011-4R                                                  | CUSIP: 65539CAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5276935 | PA      | $4551596.94   | 0.24%             | 2041-07-26      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                                    | OCP CLO 2017-13 Ltd                                                                    | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001410.00   | 0.05%             | 2037-11-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 Trust                                                                    | OBX 2022-NQM7 Trust                                                                    | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3406290 | PA      | $3388496.48   | 0.18%             | 2062-08-25      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 Trust                                                                    | OBX 2023-NQM3 Trust                                                                    | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3367541 | PA      | $3369607.88   | 0.18%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 Trust                                                                    | OBX 2023-NQM4 Trust                                                                    | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3009540 | PA      | $3016448.48   | 0.16%             | 2063-03-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| 1345 Trust 2025-AOA                                                                    | 1345 Trust 2025-AOA                                                                    | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260000 | PA      | $1264331.75   | 0.07%             | 2027-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| PMT Issuer Trust - FMSR                                                                | PMT Issuer Trust - FMSR                                                                | CUSIP: 69346MAD1<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2011128.20   | 0.11%             | 2026-03-25      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| PR Mortgage Loan Trust                                                                 | PR Mortgage Loan Trust                                                                 | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4216852 | PA      | $3995529.80   | 0.21%             | 2047-09-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A6                                         | Residential Asset Securitization Trust 2006-A6                                         | CUSIP: 76113FBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2382663 | PA      | $1208901.79   | 0.06%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                         | Residential Asset Securitization Trust 2007-A3                                         | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5033132 | PA      | $1838693.57   | 0.10%             | 2037-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                         | Residential Asset Securitization Trust 2007-A3                                         | CUSIP: 76113WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656320 | PA      | $759477.53    | 0.04%             | 2037-04-25      | Floating      | 12.39%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A12                                        | Residential Asset Securitization Trust 2006-A12                                        | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9030078 | PA      | $3440828.16   | 0.18%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A6                                         | Residential Asset Securitization Trust 2007-A6                                         | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2904338 | PA      | $564907.75    | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007 S7 Trust                                                             | RFMSI Series 2007 S7 Trust                                                             | CUSIP: 76200RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922909 | PA      | $762711.70    | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2024-1 Ltd                                                          | Rockford Tower CLO 2024-1 Ltd                                                          | CUSIP: 77342BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2006524.00   | 0.11%             | 2037-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| SFO Commercial Mortgage Trust 2021-555                                                 | SFO Commercial Mortgage Trust 2021-555                                                 | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330000 | PA      | $1321123.05   | 0.07%             | 2028-05-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust 2021-OVA                                                              | SLG Office Trust 2021-OVA                                                              | CUSIP: 78449RAL9<br>LEI: 549300Z8X84XIDB6JE13 | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $1826008.55   | 0.10%             | 2031-07-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Starm Mortgage Loan Trust 2007-2                                                       | Starm Mortgage Loan Trust 2007-2                                                       | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364605 | PA      | $175135.66    | 0.01%             | 2037-04-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust 2018-CBM                                                                   | BBCMS Trust 2018-CBM                                                                   | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599000 | PA      | $1565529.73   | 0.08%             | 2037-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C10                                                          | BBCMS Mortgage Trust 2021-C10                                                          | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21035026 | PA      | $1113758.34   | 0.06%             | 2054-07-17      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C12                                                          | BBCMS Mortgage Trust 2021-C12                                                          | CUSIP: 05552XBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12260205 | PA      | $493621.60    | 0.03%             | 2054-11-18      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BDS 2024-FL13 LLC                                                                      | BDS 2024-FL13 LLC                                                                      | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | PA      | $2604065.62   | 0.14%             | 2029-06-19      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2024-5C29                                                         | BBCMS Mortgage Trust 2024-5C29                                                         | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2629000 | PA      | $2678146.26   | 0.14%             | 2029-09-17      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                                      | BPR Trust 2021-TY                                                                      | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2580000 | PA      | $2576776.55   | 0.14%             | 2038-09-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                                     | BX Trust 2019-OC11                                                                     | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4727000 | PA      | $4315647.48   | 0.23%             | 2029-12-11      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-XL2                                                  | BX Commercial Mortgage Trust 2021-XL2                                                  | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826816 | PA      | $826557.83    | 0.04%             | 2038-10-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-VOLT                                                 | BX Commercial Mortgage Trust 2021-VOLT                                                 | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823504 | PA      | $819643.49    | 0.04%             | 2036-09-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-LP2                                                  | BX Commercial Mortgage Trust 2022-LP2                                                  | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1218367 | PA      | $1217604.61   | 0.06%             | 2039-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit Clo 2022-6, Limited                                                | Bain Capital Credit Clo 2022-6, Limited                                                | CUSIP: 05685LAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1503241.50   | 0.08%             | 2038-01-22      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO 2024-6 Ltd                                                     | Bain Capital Credit CLO 2024-6 Ltd                                                     | CUSIP: 05685XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5009510.00   | 0.27%             | 2038-01-21      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust 2006-4                                          | Banc of America Alternative Loan Trust 2006-4                                          | CUSIP: 05950AAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2284971 | PA      | $2088942.84   | 0.11%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank 2020-BNK25                                                                        | Bank 2020-BNK25                                                                        | CUSIP: 06539WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306000 | PA      | $277896.01    | 0.01%             | 2030-01-17      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Bank5 2024-5YR10                                                                       | Bank5 2024-5YR10                                                                       | CUSIP: 06604AAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2747000 | PA      | $2816368.62   | 0.15%             | 2029-10-17      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XI Ltd.                                                                  | Battalion CLO XI Ltd.                                                                  | CUSIP: 07132LAN9<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000529.00   | 0.05%             | 2034-04-24      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XXIII Ltd.                                                               | Battalion CLO XXIII Ltd.                                                               | CUSIP: 07135LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1006427.00   | 0.05%             | 2037-10-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I LLC                                             | Bear Stearns Asset Backed Securities I LLC                                             | CUSIP: 07387UGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118736 | PA      | $117584.34    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B7 Mortgage Trust                                                       | Benchmark 2018-B7 Mortgage Trust                                                       | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  83981401 | PA      | $878638.61    | 0.05%             | 2053-05-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V10 Mortgage Trust                                                      | Benchmark 2024-V10 Mortgage Trust                                                      | CUSIP: 08163UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2707820.09   | 0.14%             | 2029-09-17      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners Clo XXXVII Ltd                                                 | Benefit Street Partners Clo XXXVII Ltd                                                 | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500905.50    | 0.03%             | 2038-01-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V9 Mortgage Trust                                                       | Benchmark 2024-V9 Mortgage Trust                                                       | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636000 | PA      | $2722361.16   | 0.14%             | 2029-08-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO 2014-2 Ltd                                                            | BlueMountain CLO 2014-2 Ltd                                                            | CUSIP: 09626QBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3007722.00   | 0.16%             | 2030-10-21      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C7 Mortgage Trust                                                            | BMO 2024-5C7 Mortgage Trust                                                            | CUSIP: 09660WAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1834000 | PA      | $1891476.64   | 0.10%             | 2057-11-19      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer LLC                                                                   | Bojangles Issuer LLC                                                                   | CUSIP: 09748RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2034894.60   | 0.11%             | 2029-11-20      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2020-RPL1                                              | Bravo Residential Funding Trust 2020-RPL1                                              | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4271723.10   | 0.23%             | 2059-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2023-NQM5                                              | BRAVO Residential Funding Trust 2023-NQM5                                              | CUSIP: 10569UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11667310 | PA      | $11744857.84  | 0.62%             | 2063-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO IV Ltd                                                               | Bridge Street CLO IV Ltd                                                               | CUSIP: 107934AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002953.00   | 0.05%             | 2037-04-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                                                                | Bridge Street CLO I Ltd                                                                | CUSIP: 10805YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10029520.00  | 0.53%             | 2037-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust 2025-2                                   | Bridgecrest Lending Auto Securitization Trust 2025-2                                   | CUSIP: 10807HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2019676.00   | 0.11%             | 2028-01-18      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CBAM 2017-2 Ltd                                                                        | CBAM 2017-2 Ltd                                                                        | CUSIP: 12481KAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1501023.00   | 0.08%             | 2034-07-17      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                             | CD 2017-CD6 Mortgage Trust                                                             | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $222957.60    | 0.01%             | 2027-11-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C4 Mortgage Trust                                                           | CFCRE 2016-C4 Mortgage Trust                                                           | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  58117849 | PA      | $387256.66    | 0.02%             | 2058-05-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2006-18                                                | CHL Mortgage Pass-Through Trust 2006-18                                                | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1926858 | PA      | $880178.90    | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-8                                                 | CHL Mortgage Pass-Through Trust 2007-8                                                 | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2121947 | PA      | $816953.25    | 0.04%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                            | CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                            | CUSIP: 12566WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696390 | PA      | $648202.78    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2023-R4                                                                      | CIM Trust 2023-R4                                                                      | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6444548 | PA      | $6441941.76   | 0.34%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding IX LLC                                                                     | CLI Funding IX LLC                                                                     | CUSIP: 12571WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2015727.64   | 0.11%             | 2037-06-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                                                        | COMM 2013-CCRE12 Mortgage Trust                                                        | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-CBDO         | CORP              | US        |   2174264 | PA      | $11487.94     | 0.00%             | 2046-10-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DSSB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23773980 | PA      | $24477891.95  | 1.30%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28493102 | PA      | $25040829.38  | 1.33%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                                 | Federal Home Loan Mortgage Corporation                                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10024473 | PA      | $10152845.85  | 0.54%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136BH2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10255000 | PA      | $7029980.94   | 0.37%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12216353 | PA      | $11625185.27  | 0.62%             | 2030-05-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The | CUSIP: 3136BWLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9047941 | PA      | $9085433.79   | 0.48%             | 2055-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68453 | PA      | $68267.59     | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    722287 | PA      | $641996.60    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3138YJJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2622558 | PA      | $2504516.38   | 0.13%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   1736978 | PA      | $123158.34    | 0.01%             | 2035-02-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 31398NRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    228435 | PA      | $215060.61    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1387558 | PA      | $1233314.54   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140HWQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16316635 | PA      | $15190097.10  | 0.81%             | 2029-11-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140HYAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9983657 | PA      | $9032977.09   | 0.48%             | 2030-05-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140J7XW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1836468 | PA      | $1736760.60   | 0.09%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5926605 | PA      | $5267793.61   | 0.28%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6300000 | PA      | $5179076.28   | 0.28%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  62149000 | PA      | $55351521.49  | 2.94%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140LLYQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6907000 | PA      | $7101753.92   | 0.38%             | 2031-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140LLYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8295162 | PA      | $8693060.45   | 0.46%             | 2028-12-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17862000 | PA      | $18762593.11  | 1.00%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140NYBS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13449590 | PA      | $13593060.81  | 0.72%             | 2030-05-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3269482 | PA      | $3003723.45   | 0.16%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15349763 | PA      | $13422804.49  | 0.71%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QPZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8823948 | PA      | $8813552.57   | 0.47%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QTUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8667963 | PA      | $8692284.04   | 0.46%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QU6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3531502 | PA      | $3575622.26   | 0.19%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QVEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9980528 | PA      | $10092743.46  | 0.54%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140QWDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5870785 | PA      | $6074422.71   | 0.32%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140W0SF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14470581 | PA      | $14524298.94  | 0.77%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140X7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27321202 | PA      | $22840663.88  | 1.21%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                            | Federal National Mortgage Association, Inc.                                            | CUSIP: 3140X8GW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19732028 | PA      | $16681063.71  | 0.89%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC38                                                 | GS Mortgage Securities Trust 2019-GC38                                                 | CUSIP: 36252SAX5<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  37026937 | PA      | $1116754.63   | 0.06%             | 2052-02-12      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC24                                                 | GS Mortgage Securities Trust 2014-GC24                                                 | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3112897 | PA      | $1000.17      | 0.00%             | 2047-09-12      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                                                  | GS Mortgage Securities Trust 2017-GS7                                                  | CUSIP: 36254CAX8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  31869032 | PA      | $471954.87    | 0.03%             | 2050-08-12      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                                                  | GS Mortgage Securities Trust 2017-GS7                                                  | CUSIP: 36254CBB5<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4188290.40   | 0.22%             | 2027-07-12      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2018-GS9                                                  | GS Mortgage Securities Trust 2018-GS9                                                  | CUSIP: 36255NAZ8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1680406.60   | 0.09%             | 2028-03-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GC45                                                 | GS Mortgage Securities Trust 2020-GC45                                                 | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  45484175 | PA      | $1020341.94   | 0.05%             | 2053-02-14      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2006-OA1                                                       | GSR Mortgage Loan Trust 2006-OA1                                                       | CUSIP: 362631AF0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |  12564100 | PA      | $1933055.85   | 0.10%             | 2046-08-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Global SC Finance VI SRL                                                               | Global SC Finance VI SRL                                                               | CUSIP: 37959PAA5<br>LEI: 549300NP8065N4YHMG91 | Long             | ABS-CBDO         | CORP              | US        |    949351 | PA      | $899280.81    | 0.05%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust 2024-1                                       | GoodLeap Home Improvement Solutions Trust 2024-1                                       | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1167262 | PA      | $1165798.51   | 0.06%             | 2033-04-20      | Fixed         | 5.35%                 | No            |                  3 | On Loan: No      |
| Goodgreen 2020-1 Trust                                                                 | Goodgreen 2020-1 Trust                                                                 | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2174217 | PA      | $1821176.24   | 0.10%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38378DY25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965521 | PA      | $892169.00    | 0.05%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  52705955 | PA      | $3248378.72   | 0.17%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  64537094 | PA      | $3255960.94   | 0.17%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  10612171 | PA      | $597649.90    | 0.03%             | 2063-04-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  17464146 | PA      | $1153561.00   | 0.06%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  54023071 | PA      | $4066019.44   | 0.22%             | 2062-08-16      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381DBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  38785160 | PA      | $2338873.13   | 0.12%             | 2063-08-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381DFX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  73337426 | PA      | $3701625.93   | 0.20%             | 2061-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381DUB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  77268606 | PA      | $5017011.99   | 0.27%             | 2063-06-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  36710299 | PA      | $1676126.19   | 0.09%             | 2061-12-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383LNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  19908878 | PA      | $3296683.24   | 0.18%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383MQQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  10959330 | PA      | $311918.97    | 0.02%             | 2050-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  36835236 | PA      | $5379281.54   | 0.29%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                               | Government National Mortgage Association                                               | CUSIP: 38383V3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  37012910 | PA      | $5482437.35   | 0.29%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Grace Trust                                                                            | Grace Trust                                                                            | CUSIP: 38406JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1845000 | PA      | $1580959.65   | 0.08%             | 2030-12-12      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2021-FL3, Ltd.                                                     | Greystone CRE Notes 2021-FL3, Ltd.                                                     | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1244773 | PA      | $1243995.57   | 0.07%             | 2039-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust 2016-4A                                                             | HERO Funding Trust 2016-4A                                                             | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1426133 | PA      | $1347401.32   | 0.07%             | 2037-09-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       575 | NC      | $805527.27    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      4050 | NC      | $3434648.24   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      1420 | NC      | $7792649.14   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -520 | NC      | $-1674975.64  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                                 | FUTURE - PHYSICALLY DELIVERED                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       325 | NC      | $1783465.82   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-27

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer