# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000035402-25-001362
**Filing Date:** 2025-10
**Character Count:** 146351
**Document Hash:** 254cf281a7694c8c06be2ee4dbc94d37
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-001362.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0000035402-25-001362

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251424400

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Limited Term Securitized Completion Fund (Series ID: S000085243)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000250211 | Fidelity Limited Term Securitized Completion Fund | FLTGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Limited Term Securitized Completion Fund

- **b. EDGAR series identifier (if any):** S000085243

- **c. LEI of Series:** 2549001H0X8EQFWLH509

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $128042876.16

**Total Liabilities:** $37881112.46

**Net Assets:** $90161763.70

**Delayed Delivery Securities:** $18583752.50

**Cash Not Reported:** $500475.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 351.24723235 | **1-Year:** 7371.31923792 | **5-Year:** 7996.96569909 | **10-Year:** 2646.57015998 | **30-Year:** 916.51622041

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

- **3-Month:** 36.29273680 | **1-Year:** 227.90335978 | **5-Year:** 399.81958535 | **10-Year:** 66.26557175 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000250211 | 0.95%                | -0.03%               | 1.05%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8696.93                | $453762.80                                 |
| Month 2  | $71669.70                | $-302653.71                                |
| Month 3  | $77268.78                | $504404.23                                 |

**Designated Index Information**

- **Index Name:** Bloomberg ABS ex. Stranded Cost Utility Index

- **Index Identifier:** 82982688

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARINGS EQUIPMENT FINANCE LLC 2025-A                        | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A                        | CUSIP: 06764MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    384253 | PA      | $385689.46    | 0.43%             | 2028-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426136 | PA      | $426802.13    | 0.47%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                       | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                       | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100718.90    | 0.11%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                         | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                            | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1469572.30   | 1.63%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 09/01/2055 #TBA                                                        | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3000000 | PA      | $-2967993.60  | -3.29%            | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100172.33    | 0.11%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 11/52#MA4805                                                       | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50287 | PA      | $48587.17     | 0.05%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                    | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72361 | PA      | $72451.14     | 0.08%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                              | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $407292.16    | 0.45%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 09/17/45                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -511000 | NC      | $-3734.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP REC 3.87 11/07/29                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9324.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                    | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                    | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201160.00    | 0.22%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                              | BANK 2017-BNKS 3.131% 06/15/2060                                                  | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24324 | PA      | $23948.44     | 0.03%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                              | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                            | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    492450 | PA      | $495853.43    | 0.55%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                          | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                              | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $112669.90    | 0.12%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2036#FS4058                                                  | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105430 | PA      | $99722.40     | 0.11%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                          | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                           | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     91077 | PA      | $91158.49     | 0.10%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 11/01/2035#QN4142                                                  | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17328 | PA      | $15570.37     | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 24-1                           | DELL EQUIPMENT FINANCE TRUST 24-1 5.39% 03/22/2030 144A                           | CUSIP: 24702GAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $857303.37    | 0.95%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 06/01/2036#BR2059                                                  | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15571 | PA      | $13957.37     | 0.02%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                               | DLLAD 2023-1A 4.79% 01/20/2028 144A                                               | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    715760 | PA      | $718405.89    | 0.80%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 09/01/2055 #TBA                                                      | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $337443.37    | 0.37%             | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 08/01/2036#RC2193                                                    | CUSIP: 3133L8NJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98315 | PA      | $91378.70     | 0.10%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A              | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253571.50    | 0.28%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                    | BX TRUST 0.8% 06/15/2023 144A                                                     | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527796 | PA      | $527631.22    | 0.59%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                           | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                               | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $44441.88     | 0.05%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    599960 | NC      | $-4956.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                      | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A              | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99833 | PA      | $100051.51    | 0.11%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.065 05/02/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $56295.71     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU 25-12 CTF SOFR30A+140 03/25/2055                           | CUSIP: 3136BVFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    184692 | PA      | $185344.66    | 0.21%             | 2055-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.9 07/08/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $33553.89     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                  | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $197268.70    | 0.22%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 10/01/2055 #TBA                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    275000 | PA      | $218388.69    | 0.24%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                          | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                               | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101298.95    | 0.11%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 02/01/2036#SB8088                                                  | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13497 | PA      | $12107.13     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                         | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                    | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141000 | PA      | $141616.88    | 0.16%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                              | BANK 2017-BNK8 A3 3.229% 11/15/2050                                               | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147580 | PA      | $145247.33    | 0.16%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150871.89    | 0.17%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                          | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                            | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     61109 | PA      | $60783.91     | 0.07%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                          | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                         | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    189062 | PA      | $189707.39    | 0.21%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $12896.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                 | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249921.88    | 0.28%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 3.805 11/05/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $8956.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                        | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                       | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96624 | PA      | $97407.00     | 0.11%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CY873248 04/17/65 S                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-15990.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 10/01/2036#FS9362                                                  | CUSIP: 3140XRML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179278 | PA      | $161095.52    | 0.18%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+53 06/25/2030                              | CUSIP: 3137HMCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $299869.68    | 0.33%             | 2030-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                       | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                       | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $50425.30     | 0.06%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                   | DLLAD LLC 4.42% 09/20/2030 144A                                                   | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100843.41    | 0.11%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                           | CHASE ISSUANCE TR 5.16% 09/15/2028                                                | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    374000 | PA      | $378221.34    | 0.42%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                     | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                         | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448077 | PA      | $442510.62    | 0.49%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                       | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $50307.58     | 0.06%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                             | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                             | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100256.03    | 0.11%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                | VERUS 2025-4 5.448% 05/25/2070 144A                                               | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192473 | PA      | $193747.57    | 0.21%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                              | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83005 | PA      | $82980.65     | 0.09%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                           | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                           | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83522 | PA      | $83936.83     | 0.09%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                             | WELLS FARGO CARD ISSUANCE TRUST 4.29% 10/15/2029                                  | CUSIP: 92970QAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $110945.92    | 0.12%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                            | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                               | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104133.07    | 0.12%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 04/01/2036#SB8098                                                    | CUSIP: 3132D57K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13834 | PA      | $12728.09     | 0.01%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2019-2                             | ONEMAIN FINL ISSUANCE TR 2019-2 3.14% 10/14/2036 144A                             | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $586950.78    | 0.65%             | 2036-10-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 08/01/2036#                                                        | CUSIP: 31418D3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15829 | PA      | $14189.06     | 0.02%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                     | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                     | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423872 | PA      | $415158.36    | 0.46%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                             | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                    | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85730 | PA      | $85676.27     | 0.10%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                            | DLLMT 2024-1 LLC 4.84% 08/21/2028 144A                                            | CUSIP: 23347AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $757316.33    | 0.84%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.01 05/07/30                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $13895.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11953 | PA      | $11901.90     | 0.01%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029                                   | CUSIP: 3137H5YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $284170.35    | 0.32%             | 2029-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $-4026.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $14396.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                 | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                             | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75215 | PA      | $73094.36     | 0.08%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 06/01/2036#MA4359                                                  | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15319 | PA      | $13740.96     | 0.02%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1342.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                          | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                         | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    174210 | PA      | $170793.35    | 0.19%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 09/01/2055 #TBA                                                      | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2425000 | PA      | $2477668.09   | 2.75%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                 | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    172958 | PA      | $173278.26    | 0.19%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 5.19% 04/15/2030 144A                      | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $400719.16    | 0.44%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                    | BENCHMARK 2018-B7 A4 4.51% 05/15/2053                                             | CUSIP: 08162TBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300764.46    | 0.33%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                      | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                            | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $75804.52     | 0.08%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                  | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $197328.16    | 0.22%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $504440.62    | 0.56%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                             | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    185545 | PA      | $185133.70    | 0.21%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 4.146 07/30/30                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    240000 | NC      | $8706.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX12 COML MTG TR                                 | CSAIL 2018-CX12 COML MTG TR 3.9585% 08/15/2051                                    | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495144.30    | 0.55%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                    | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100356.06    | 0.11%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33903 | PA      | $33923.98     | 0.04%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 09/17/29                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1727000 | NC      | $-14914.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.875% 07/31/2027                                                       | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $953933.59    | 1.06%             | 2027-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 09/01/2055 #TBA                                                    | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $625218.75    | 0.69%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 04/01/2036#MA4321                                                  | CUSIP: 31418DYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478390 | PA      | $426133.24    | 0.47%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                          | PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A                                        | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    461818 | PA      | $452599.80    | 0.50%             | 2054-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                    | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162739 | PA      | $161631.08    | 0.18%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-1                      | CITIZENS AUTO RECEIVABLES TRUST 2024-1 5.11% 04/17/2028 144A                      | CUSIP: 17331QAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $251336.25    | 0.28%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 4.146 07/30/30                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    240000 | NC      | $8300.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY562346 11/18/64 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     99993 | NC      | $-333.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    900000 | NC      | $-12079.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                            | WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051                             | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $49487.00     | 0.05%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2023-1                            | TOWD POINT MORTGAGE TRUST 2023-1 A1 3.75% 01/25/2063 144A                         | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1365591 | PA      | $1320161.97   | 1.46%             | 2063-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C5                                     | UBS COML MTG TR 2017-C5 3.345% 11/15/2050                                         | CUSIP: 90276TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85996 | PA      | $85007.23     | 0.09%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 02/01/2036#CA9140                                                    | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59171 | PA      | $54645.37     | 0.06%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498058 | PA      | $495722.86    | 0.55%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                        | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                       | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $589008.72    | 0.65%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 4.03 04/25/30                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $7028.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                       | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                       | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253530.15    | 0.28%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 5% 02/01/2040#SB8363                                                    | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174983 | PA      | $176777.76    | 0.20%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                 | MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054                                    | CUSIP: 61692CBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $106321.78    | 0.12%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-1342.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#MB0092                                                    | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97805 | PA      | $98575.92     | 0.11%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                      | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $284264.99    | 0.32%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                | WESTF 2025-A 5.582% 06/15/2050 144A                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    248628 | PA      | $252394.95    | 0.28%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.13% 03/15/2029 144A                            | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1013964.60   | 1.12%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.875% 07/15/2028                                                       | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2840000 | PA      | $2861965.64   | 3.17%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     99993 | NC      | $-826.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4000 | PA      | $4008.41      | 0.00%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#MA4302                                                  | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14799 | PA      | $13275.28     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 09/17/27                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1803000 | NC      | $-7470.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                 | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252251.75    | 0.28%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                   | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503000 | PA      | $517066.65    | 0.57%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A                            | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115000 | PA      | $115969.24    | 0.13%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 07/01/2036#MA4382                                                  | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15606 | PA      | $13989.19     | 0.02%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                      | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                      | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201303.70    | 0.22%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                     | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                          | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71601 | PA      | $71735.13     | 0.08%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                  | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                       | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1014158.10   | 1.12%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                   | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                   | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     91224 | PA      | $92436.20     | 0.10%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                              | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                         | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124999.95    | 0.14%             | 2030-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2055#CB9828                                                  | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140128 | PA      | $147652.64    | 0.16%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                   | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5000 | PA      | $5026.89      | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                            | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                            | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100435.23    | 0.11%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX Trust 2025-ROIC VAR 03/15/2030 144A                                            | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60763 | PA      | $60687.08     | 0.07%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 4.03 04/25/30                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $6838.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                      | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                           | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94883 | PA      | $95060.64     | 0.11%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020             | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $168802.42    | 0.19%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 09/01/2055 #TBA                                                      | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -400000 | PA      | $-317593.76   | -0.35%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 2023-1 A2 SOFR30A+115 06/15/2028 144A            | CUSIP: 361886CS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $402233.92    | 0.45%             | 2028-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 10/01/2055 #TBA                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -600000 | PA      | $-611409.18   | -0.68%            | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                               | DBJPM 2020-C9 1.926% 08/15/2053                                                   | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $267245.01    | 0.30%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                           | CHASE ISSUANCE TR VAR 01/16/2029                                                  | CUSIP: 161571HV9<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100782.85    | 0.11%             | 2029-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                 | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70219 | PA      | $70697.79     | 0.08%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                             | WELLS FARGO CARD ISSUANCE TRUST 4.94% 02/15/2029                                  | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $405183.04    | 0.45%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DBJPM 16-C1                                                 | DBJPM 16-C1 3.015% 05/10/2049                                                     | CUSIP: 23312LAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71372 | PA      | $70933.93     | 0.08%             | 2049-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 10/01/2055 #TBA                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $654211.29    | 0.73%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 03/01/2037#FS7773                                                    | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21075 | PA      | $19443.25     | 0.02%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                    | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61697 | PA      | $61696.52     | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR16                                            | BANK5 2025-5YR16 VAR 08/15/2063                                                   | CUSIP: 065934BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $19219.40     | 0.02%             | 2063-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 5% 09/01/2040 #TBA                                                      | CUSIP: 01F050494<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $429399.43    | 0.48%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                       | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361648 | PA      | $362552.55    | 0.40%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                              | AMERICAN EXPRESS CR ACC MST TR 5.23% 04/15/2029                                   | CUSIP: 02582JKH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $637601.63    | 0.71%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORDR 2025-2                                                | FORDR 2025-2 STEP 02/15/2038 144A                                                 | CUSIP: 34536BAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | PA      | $1705083.34   | 1.89%             | 2038-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                         | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                         | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95322 | PA      | $95583.79     | 0.11%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.75% 04/30/2027                                                        | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3350000 | PA      | $3353533.21   | 3.72%             | 2027-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    150000 | NC      | $-23986.32    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#CC0730                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199636 | PA      | $204923.17    | 0.23%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                           | OBX 2025-NQM14 STEP 08/25/2064 144A                                               | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    494395 | PA      | $495404.74    | 0.55%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                     | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030                           | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145000 | PA      | $145436.28    | 0.16%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                     | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151641 | PA      | $151830.13    | 0.17%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                             | BANK 2023-BNK45 5.203% 02/15/2056                                                 | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102325.04    | 0.11%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 09/17/28                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -5741000 | NC      | $-48554.51    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C14                               | BBCMS Mortgage Trust 2022-C14 ASB 2.901% 02/15/2055                               | CUSIP: 07336AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $180808.77    | 0.20%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 02/01/2037#SB1503                                                  | CUSIP: 3132CXU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2867150 | PA      | $2570085.82   | 2.85%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                     | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    218058 | PA      | $217843.19    | 0.24%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 10/01/2055 #TBA                                                      | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $765644.55    | 0.85%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                     | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    158367 | PA      | $158778.11    | 0.18%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                        | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                          | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571000 | PA      | $11653.21     | 0.01%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                          | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 3.0352% 12/15/2052                         | CUSIP: 90278PBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $186405.46    | 0.21%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A             | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $969700.90    | 1.08%             | 2034-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A             | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99930.87     | 0.11%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 09/01/2055 #TBA                                                      | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1309590.49   | 1.45%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       101 | NC      | $38422.27     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                          | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                         | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110050 | PA      | $108199.39    | 0.12%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                          | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                   | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100015.60    | 0.11%             | 2035-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 09/01/2036#MA4417                                                  | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16526 | PA      | $14813.76     | 0.02%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2052#SD8275                                                  | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81460 | PA      | $78707.25     | 0.09%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                             | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172300 | PA      | $172493.40    | 0.19%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                               | BHG 2025-2CON 4.84% 09/17/2036 144A                                               | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2217609.24   | 2.46%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027             | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    196547 | PA      | $196612.04    | 0.22%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051           | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    189306 | PA      | $148433.82    | 0.16%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                    | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99948 | PA      | $100229.35    | 0.11%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                             | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    273483 | PA      | $276267.89    | 0.31%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.75% 04/15/2028                                                        | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $501914.06    | 0.56%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                      | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100414.15    | 0.11%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                             | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    175598 | PA      | $177100.64    | 0.20%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                       | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                       | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1305619.11   | 1.45%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                 | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                 | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250169.83    | 0.28%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                             | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     85040 | PA      | $85594.82     | 0.09%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150335.52    | 0.17%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 06/36#SB8106                                                       | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15800 | PA      | $14173.04     | 0.02%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                    | GS MTG SECS CORP TR 2019 3.16% 07/10/2052                                         | CUSIP: 36257HBP0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $141756.77    | 0.16%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                      | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A            | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99174 | PA      | $99111.67     | 0.11%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 09/01/2055 #TBA                                                        | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5500000 | PA      | $5609740.95   | 6.22%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 07/01/2039#SB1215                                                    | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124803 | PA      | $128858.85    | 0.14%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    500000 | NC      | $-6711.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    299980 | NC      | $-2478.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                    | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                     | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175890 | PA      | $178846.95    | 0.20%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.87% 05/15/2031                    | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $202357.86    | 0.22%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                       | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                       | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $97409.08     | 0.11%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 09/01/2055 #TBA                                                      | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1532578.20  | -1.70%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-12610.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                          | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                          | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2214476.66   | 2.46%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-RPL1                          | BRAVO RESIDENTIAL FDG TR 2023-RPL1 A1 5% 05/25/2063 144A                          | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73268 | PA      | $73493.13     | 0.08%             | 2063-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.75% 02/15/2045                                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    790000 | PA      | $778273.44    | 0.86%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 12/01/2035#MA4205                                                  | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13399 | PA      | $12039.90     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                 | SCLP 2025-2 4.82% 06/25/2034 144A                                                 | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    345749 | PA      | $346595.16    | 0.38%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 A3 3.203% 09/15/2050                  | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $391824.92    | 0.43%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                          | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                           | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    140437 | PA      | $141238.28    | 0.16%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                      | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                       | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100678.97    | 0.11%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                 | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84428 | PA      | $85076.95     | 0.09%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                 | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                               | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1356165.45   | 1.50%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                   | MFRA TRUST VAR 02/25/2066 144A                                                    | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88573 | PA      | $83786.81     | 0.09%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 4.3% 09/15/2029 144A                               | CUSIP: 34528QJK1<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1004181.60   | 1.11%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                            | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                            | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85000 | PA      | $86682.41     | 0.10%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                    | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                    | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $302911.53    | 0.34%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    500000 | NC      | $-6711.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                            | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    106570 | PA      | $107973.79    | 0.12%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                           | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                           | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100063.16    | 0.11%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                      | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572176 | PA      | $572354.43    | 0.63%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 04/01/2036#SB8097                                                  | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15310 | PA      | $13733.14     | 0.02%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 5% 05/15/2045                                         | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30501.56     | 0.03%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C1                                     | UBS COML MTG TR 2017-C1 3.196% 06/15/2050                                         | CUSIP: 90276EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8905 | PA      | $8700.65      | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                    | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100154.95    | 0.11%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 09/01/2055 #TBA                                                      | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1300000 | PA      | $-1309590.49  | -1.45%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C51                            | WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052                             | CUSIP: 95001VAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76198 | PA      | $74828.23     | 0.08%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                   | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     91363 | PA      | $83432.41     | 0.09%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 07/01/2036#FM7881                                                    | CUSIP: 3140XBXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51137 | PA      | $47528.83     | 0.05%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 09/01/2055 #TBA                                                        | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2967993.60   | 3.29%             | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  10127597 | NS      | $10129622.67  | 11.23%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2684.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                        | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101286.28    | 0.11%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99937.76     | 0.11%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                            | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                             | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $409501.72    | 0.45%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 01/01/2036#SB8083                                                  | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13195 | PA      | $11856.51     | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                        | VERIZON MASTER TRUST 4.62% 11/20/2030                                             | CUSIP: 92348KDM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $507211.20    | 0.56%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2054#CB8857                                                    | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94049 | PA      | $96319.06     | 0.11%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                    | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                 | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    494846 | PA      | $474578.52    | 0.53%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545247 | PA      | $545076.59    | 0.60%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                             | BANK 2020-BNK26 2.313% 03/15/2063                                                 | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735330 | PA      | $707942.17    | 0.79%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.9 07/08/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $20306.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                     | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.39% 09/17/2029                          | CUSIP: 30167KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170000 | PA      | $170448.34    | 0.19%             | 2029-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84602 | PA      | $70803.14     | 0.08%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338386 | PA      | $283422.07    | 0.31%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 09/01/2055 #TBA                                                    | CUSIP: 01F042699<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -650000 | PA      | $-625218.75   | -0.69%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-7709.94     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | USTN TII 2.375% 02/15/2055                                                        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $116100.19    | 0.13%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                               | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                               | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100597.16    | 0.11%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 02/01/2036#FM5367                                                  | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13585 | PA      | $12186.25     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A             | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $307729.53    | 0.34%             | 2035-04-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                            | CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A                                            | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    395706 | PA      | $387720.95    | 0.43%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     66859 | PA      | $67357.18     | 0.07%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1342.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 3.805 11/05/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $10824.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST               | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A               | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    160877 | PA      | $162430.62    | 0.18%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                            | KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A                            | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1627320.16   | 1.80%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017                    | CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050                                   | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $98245.90     | 0.11%             | 2050-10-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                        | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                        | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    700000 | PA      | $708143.73    | 0.79%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                               | SCG 2025-FLWR 5.65% 08/15/2030 144A                                               | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500625.50    | 0.56%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                  | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $23608.57     | 0.03%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.68% 05/15/2030             | CUSIP: 98164PAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252043.13    | 0.28%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                               | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                               | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9493 | PA      | $9497.74      | 0.01%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                     | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                          | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201714.22    | 0.22%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                             | VERD 2025-1A A2 4.85% 03/13/2028 144A                                             | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100400.04    | 0.11%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                           | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                             | CUSIP: 08164RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $16140.00     | 0.02%             | 2058-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $4655.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.065 05/02/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $56731.38     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2043                                      | CUSIP: 3137FVHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    549606 | PA      | $526556.72    | 0.58%             | 2043-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 10/01/2055 #TBA                                                        | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $611409.18    | 0.68%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 09/01/2055 #TBA                                                        | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -5500000 | PA      | $-5609740.95  | -6.22%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                              | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70375 | PA      | $72805.52     | 0.08%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                         | DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A                                         | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $464239.22    | 0.51%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.75% 05/15/2028                                                        | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $672781.71    | 0.75%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1199921 | NC      | $-9913.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                             | JPMCC COML MTG SECS TR 2016-JP4 3.4743% 12/15/2049                                | CUSIP: 46645UAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100117 | PA      | $99494.70     | 0.11%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                         | CARVANA AUTO RECEIVABLES TR 2025-P1 4.98% 05/12/2031                              | CUSIP: 14689MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $203631.18    | 0.23%             | 2031-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A               | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99821.48     | 0.11%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A              | CUSIP: 81378RAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      7398 | PA      | $7455.93      | 0.01%             | 2031-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                   | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                               | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494876.10    | 0.55%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 10/01/2035#FM4516                                                    | CUSIP: 3140X8AS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197842 | PA      | $182709.66    | 0.20%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2052#CB5405                                                  | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66710 | PA      | $64455.57     | 0.07%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 11/01/2036#FM9724                                                    | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14779 | PA      | $13590.84     | 0.02%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                    | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                  | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190104 | PA      | $190579.04    | 0.21%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.01 05/07/30                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $14680.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 08/01/2035#MA4099                                                  | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264332 | PA      | $250021.53    | 0.28%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 05/01/2036#BR1069                                                  | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15414 | PA      | $13826.24     | 0.02%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                | BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A                                      | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4496 | PA      | $4494.31      | 0.00%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 10/01/2035#RC1599                                                    | CUSIP: 3133L7X44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204798 | PA      | $189133.72    | 0.21%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                      | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                       | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000 | PA      | $9836.63      | 0.01%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#FM6100                                                  | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777186 | PA      | $697147.98    | 0.77%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 07/01/2036#SB8110                                                  | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15452 | PA      | $13851.03     | 0.02%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                              | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                      | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     97829 | PA      | $95029.21     | 0.11%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                   | BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052                                      | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $141868.65    | 0.16%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 5.5% 03/01/2040#FA1061                                                  | CUSIP: 3140W1FB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914831 | PA      | $935726.07    | 1.04%             | 2040-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#MA4540                                                    | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411375 | PA      | $353822.39    | 0.39%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 10/01/2055 #TBA                                                    | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $240283.20    | 0.27%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A                                      | CUSIP: 12515XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $251846.55    | 0.28%             | 2032-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                    | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                    | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201020.70    | 0.22%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                           | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                          | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    486990 | PA      | $489518.10    | 0.54%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 5.646% 04/15/2058                                                | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $209738.98    | 0.23%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347861 | PA      | $290852.69    | 0.32%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220644 | PA      | $221264.46    | 0.25%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                        | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                         | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    228424 | PA      | $228628.70    | 0.25%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 08/01/2055#RJ4642                                                    | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $207718.58    | 0.23%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-6489.36     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP PAY 3.87 11/07/29                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $10433.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $8405.91      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                           | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                            | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145000 | PA      | $146377.79    | 0.16%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2684.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                              | CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028                                   | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $785110.48    | 0.87%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                               | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                               | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100119.54    | 0.11%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                  | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    132079 | PA      | $132374.53    | 0.15%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                 | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                 | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150182.31    | 0.17%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 09/01/2030#AL7320                                                    | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156990 | PA      | $154089.15    | 0.17%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    170134 | PA      | $167965.02    | 0.19%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                             | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                          | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    516496 | PA      | $504732.60    | 0.56%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORDO 2024-B                                                | FORDO 2024-B 5.1% 04/15/2029                                                      | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342000 | PA      | $346592.34    | 0.38%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 4.5% 09/01/2040 #TBA                                                    | CUSIP: 01F042491<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $947959.02    | 1.05%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                 | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $47491.80     | 0.05%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180329 | PA      | $150539.11    | 0.17%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2023-2                                    | DELL EQUIP FIN TR 2023-2 5.65% 01/22/2029 144A                                    | CUSIP: 24703GAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96994 | PA      | $97413.37     | 0.11%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 10/01/2055 #TBA                                                        | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1482824.85   | 1.64%             | 2055-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                             | BANK 2019-BNK20 2.6% 10/17/2052                                                   | CUSIP: 06540BBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393195 | PA      | $1310671.66   | 1.45%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                      | REACH ABS TRUST 2025-1 4.96% 08/16/2032 144A                                      | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    426908 | PA      | $427727.15    | 0.47%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                               | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                    | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1905000 | PA      | $1903825.76   | 2.11%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                   | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                   | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $181560.60    | 0.20%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 03/01/2036#                                                        | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14925 | PA      | $13387.87     | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2024-REV1                             | FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A                                | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $409638.20    | 0.45%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84361 | PA      | $84598.98     | 0.09%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                           | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                           | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57453 | PA      | $56646.97     | 0.06%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 4.79% 03/15/2029 144A                            | CUSIP: 361886DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100535.90    | 0.11%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                         | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20000 | PA      | $20074.37     | 0.02%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                    | BENCHMARK 2018-B4 MTG TR 4.059% 07/15/2051                                        | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14534 | PA      | $14465.31     | 0.02%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                     | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $147380.55    | 0.16%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer