# EDGAR Filing Document

**Accession Number:** 0001392116
**File Stem:** 0001752724-25-202841
**Filing Date:** 2025-8
**Character Count:** 257686
**Document Hash:** 72b6f0b965fe5d0e4288054dc1f7b1b9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-202841.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-202841

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya Separate Portfolios Trust
- **CENTRAL INDEX KEY:** 0001392116

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22025
- **FILM NUMBER:** 251251480

**BUSINESS ADDRESS:**
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 EAST DOUBLETREE RANCH ROAD
- **STREET 2:** STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258-2034

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING Separate Portfolios Trust
- **DATE OF NAME CHANGE:** 20070306

## Series and Classes Contracts Data

### Voya Securitized Credit Fund (Series ID: S000046242)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000159005 | Class A      | VCFAX           |
| C000159006 | Class I      | VCFIX           |
| C000191194 | Class W      | VSCWX           |
| C000221175 | Class R6     | VCFRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Separate Portfolios Trust

- **b. Investment Company Act file number:** 811-22025

- **c. CIK number of Registrant:** 0001392116

- **d. LEI of Registrant:** 549300ZK3E04XAD4QG44

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA SECURITIZED CREDIT FUND

- **b. EDGAR series identifier (if any):** S000046242

- **c. LEI of Series:** 549300IRVV55AI1KRN67

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $838645770.87

**Total Liabilities:** $6217978.73

**Net Assets:** $832427792.14

**Delayed Delivery Securities:** $2000000.00

**Cash Not Reported:** $10710385.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 151.82879000 | **1-Year:** 26578.52038000 | **5-Year:** 140675.42981000 | **10-Year:** 73639.93874000 | **30-Year:** 604.97329000

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

- **3-Month:** 247.39063000 | **1-Year:** 21750.96702000 | **5-Year:** 54197.72879000 | **10-Year:** 17632.30261000 | **30-Year:** 7932.83851000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000191194 | 0.30%                | 0.24%                | 1.16%                |
| Class ID C000159005 | 0.28%                | 0.22%                | 1.14%                |
| Class ID C000221175 | 0.41%                | 0.14%                | 1.17%                |
| Class ID C000159006 | 0.30%                | 0.24%                | 1.17%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $77479.19                | $-2570529.79                               |
| Month 2  | $27809.54                | $1212879.57                                |
| Month 3  | $-84231.63               | $5013667.30                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Onslow Bay Financial LLC                    | OBX 2020-INV1 Trust                                                              | CUSIP: 67113CAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265217 | PA      | $239092.74    | 0.03%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317971 | PA      | $244691.38    | 0.03%             | 2035-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-5                                                    | CUSIP: 81743ACC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417464 | PA      | $382959.17    | 0.05%             | 2049-12-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2024-PJ4                                     | CUSIP: 36269RBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489130 | PA      | $1483984.65   | 0.18%             | 2054-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2021-GSA3                                           | CUSIP: 36263UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $318939.40    | 0.04%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-TAIL                                                               | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2506962.75   | 0.30%             | 2035-06-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581990 | PA      | $511708.27    | 0.06%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-3                                       | CUSIP: 85573MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397704 | PA      | $1306899.64   | 0.16%             | 2065-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC                | Triton Container Finance VIII LLC                                                | CUSIP: 89680HAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1339459 | PA      | $1215858.95   | 0.15%             | 2046-03-20      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1996960.00   | 0.24%             | 2039-01-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC                       | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4653438 | PA      | $3303549.79   | 0.40%             | 2048-07-20      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885455 | PA      | $889504.80    | 0.11%             | 2039-02-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3727676 | PA      | $3697912.93   | 0.44%             | 2051-09-27      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-C2                                      | CUSIP: 17291CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $925597.00    | 0.11%             | 2049-08-10      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3725579 | PA      | $3668129.08   | 0.44%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1516508 | PA      | $1144874.98   | 0.14%             | 2052-05-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2016-2                                                  | CUSIP: 00842EAW1<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-MBS          | CORP              | US        |    998319 | PA      | $757958.57    | 0.09%             | 2046-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2020-1                                                   | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630692 | PA      | $554985.96    | 0.07%             | 2046-04-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                           | Prima Capital CRE Securitization 2019-VII Ltd                                    | CUSIP: 74166VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6988518 | PA      | $6541135.79   | 0.79%             | 2050-12-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                | Parallel 2023-1 Ltd                                                              | CUSIP: 69915NAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3404250.00   | 0.41%             | 2036-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357BE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827037 | PA      | $760594.89    | 0.09%             | 2049-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T              | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108730 | PA      | $60996.92     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651ABC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986003 | PA      | $952800.59    | 0.11%             | 2049-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCF3<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |    331767 | PA      | $278848.77    | 0.03%             | 2045-04-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                   | CFK Trust 2020-MF2                                                               | CUSIP: 12529AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1788518.60   | 0.21%             | 2039-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2017-2                                             | CUSIP: 59980AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $874262.70    | 0.11%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 12 Ltd                                                           | CUSIP: 09090NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1244417.50   | 0.15%             | 2038-04-22      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2024-4                            | CUSIP: 61777BBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    989550 | PA      | $1017529.10   | 0.12%             | 2054-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| DK Trust                                    | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3508797.95   | 0.42%             | 2034-03-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214568 | PA      | $193106.21    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26229 | PA      | $24912.14     | 0.00%             | 2049-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                             | Oaktree CLO 2019-4 Ltd                                                           | CUSIP: 67402CBJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3135000 | PA      | $3149812.88   | 0.38%             | 2037-07-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2021-7                                                    | CUSIP: 81748TCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1604444 | PA      | $1330805.85   | 0.16%             | 2051-11-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    698852 | PA      | $717725.34    | 0.09%             | 2041-11-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13985727 | PA      | $931993.48    | 0.11%             | 2054-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu              | TBW Mortgage-Backed Trust 2006-6                                                 | CUSIP: 87222PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490961 | PA      | $529899.54    | 0.06%             | 2037-01-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $621722.40    | 0.07%             | 2056-03-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL              | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905280 | PA      | $864343.51    | 0.10%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-F                                                  | CUSIP: 00969PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048278 | PA      | $1010204.12   | 0.12%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2004-32CB                                                 | CUSIP: 12667FP41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215897 | PA      | $202923.09    | 0.02%             | 2035-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-INV2 Trust                                                              | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105346 | PA      | $98817.31     | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                        | SMRT 2022-MINI                                                                   | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2436951.75   | 0.29%             | 2039-01-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9024835 | PA      | $682530.71    | 0.08%             | 2036-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R01                                     | CUSIP: 20753UAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $518199.85    | 0.06%             | 2044-01-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C1                      | CUSIP: 61778GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1324390.67   | 0.16%             | 2058-03-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-4 Trust                              | CUSIP: 95002VBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946624 | PA      | $846030.47    | 0.10%             | 2050-07-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2017-6                                       | CUSIP: 64830BAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    903451 | PA      | $886598.95    | 0.11%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                             | CLI Funding VIII LLC                                                             | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |   1317116 | PA      | $1209222.21   | 0.15%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Trust 2015-2                                                  | CUSIP: 599808BL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257933 | PA      | $1157902.80   | 0.14%             | 2057-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2016-2                                                  | CUSIP: 00842EAU5<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-MBS          | CORP              | US        |    637316 | PA      | $603997.71    | 0.07%             | 2046-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC DISC COML 0.0 03JUL25          | AUTOZONE INC DISC COML 0.0 03JUL25                                               | CUSIP: 05333TU35<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999247.00   | 0.24%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust              | Carvana Auto Receivables Trust 2023-P1                                           | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1650 | PA      | $139605.64    | 0.02%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5381650 | PA      | $162810.26    | 0.02%             | 2052-02-10      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979556 | PA      | $777326.05    | 0.09%             | 2045-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-1                                       | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096556 | PA      | $1874392.35   | 0.23%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2019-CD8 Mortgage Trust                                                       | CUSIP: 12515BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11866309 | PA      | $513345.44    | 0.06%             | 2057-08-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-J2                                                                | CUSIP: 12568PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158879 | PA      | $935153.46    | 0.11%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2024-6                                                    | CUSIP: 81743DCG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1429378 | PA      | $1291351.36   | 0.16%             | 2054-07-27      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-C Trust                                      | CUSIP: 83390UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2865000 | PA      | $2423184.05   | 0.29%             | 2046-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939532 | PA      | $4110193.20   | 0.49%             | 2054-10-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                      | Chase Auto Owner Trust 2024-3                                                    | CUSIP: 16144LAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3334 | PA      | $1001906.27   | 0.12%             | 2031-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-14                                               | CUSIP: 46653QCH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960798 | PA      | $780482.06    | 0.09%             | 2052-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2152912 | PA      | $1991720.49   | 0.24%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349017 | PA      | $305477.48    | 0.04%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBU8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1392809.60   | 0.17%             | 2039-04-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L              | Planet Fitness Master Issuer LLC                                                 | CUSIP: 72703PAG8<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   6352000 | PA      | $6478183.12   | 0.78%             | 2054-06-05      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                 | Balboa Bay Loan Funding 2022-1 Ltd                                               | CUSIP: 05766EAQ5<br>LEI: 549300USDGJ8GD3PWY07 | Long             | ABS-CBDO         | CORP              | KY        |   2850000 | PA      | $2863127.10   | 0.34%             | 2037-04-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2143000 | PA      | $2147173.92   | 0.26%             | 2038-04-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1943871 | PA      | $1817370.32   | 0.22%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                         | GSAT Trust 2025-BMF                                                              | CUSIP: 36271XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2007173.40   | 0.24%             | 2030-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                  | AB BSL CLO 5 Ltd                                                                 | CUSIP: 00038GAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1650000 | PA      | $1660975.80   | 0.20%             | 2038-01-20      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311758 | PA      | $291444.76    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2024-INV2 Trust                                                             | CUSIP: 36170KBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376886 | PA      | $2510405.48   | 0.30%             | 2054-06-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Bayview MSR Opportunity Master Fund Trust 2021-INV5                              | CUSIP: 07336JCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281803 | PA      | $1094648.96   | 0.13%             | 2051-11-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2021-1 Ltd                                                             | CUSIP: 75279YAC5<br>LEI: 254900PS93C2BX29OQ80 | Long             | ABS-MBS          | CORP              | BM        |     95791 | PA      | $96374.94     | 0.01%             | 2033-12-27      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor              | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4                     | CUSIP: 863579MS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35338 | PA      | $32081.97     | 0.00%             | 2035-03-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ABZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021879 | PA      | $826440.11    | 0.10%             | 2051-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B13 Mortgage Trust                                                | CUSIP: 08162DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $826538.50    | 0.10%             | 2057-08-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2018-BNK12                                                                  | CUSIP: 06541KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9363500 | PA      | $336567.26    | 0.04%             | 2061-05-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2016-B                                             | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307032 | PA      | $289704.11    | 0.03%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735306 | PA      | $2713027.21   | 0.33%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174871 | PA      | $155830.45    | 0.02%             | 2036-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23317 | PA      | $23027.16     | 0.00%             | 2037-02-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683673 | PA      | $1670865.46   | 0.20%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2754 | PA      | $2706.53      | 0.00%             | 2050-03-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-1 Trust                              | CUSIP: 95002KBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308311 | PA      | $1144207.18   | 0.14%             | 2049-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 27 Ltd                                        | CUSIP: 64131WAS6<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1861087.05   | 0.22%             | 2038-07-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                | Atrium Hotel Portfolio Trust 2017-ATRM                                           | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $484796.80    | 0.06%             | 2036-12-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GSMS Trust 2024-Fair                                                             | CUSIP: 36270JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2566802.50   | 0.31%             | 2029-07-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212950 | PA      | $203518.10    | 0.02%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                             | Lehman XS Trust Series 2005-5N                                                   | CUSIP: 86359DUS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15201 | PA      | $15096.07     | 0.00%             | 2035-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039137 | PA      | $1011346.37   | 0.12%             | 2049-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048278 | PA      | $805156.33    | 0.10%             | 2057-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279112 | PA      | $1172406.27   | 0.14%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FISERV INC DIS 07/08/2021                   | FISERV INC DIS 07/08/2021                                                        | CUSIP: 33774KU81<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1997949.80   | 0.24%             | 2025-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KPN3<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   3494259 | PA      | $3599622.09   | 0.43%             | 2041-12-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate               | Cantor Commercial Real Estate Lending 2019-CF3                                   | CUSIP: 12529TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $889600.13    | 0.11%             | 2053-01-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45735707 | PA      | $395408.05    | 0.05%             | 2047-03-11      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543607 | PA      | $1434643.11   | 0.17%             | 2050-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove Clo 11 Ltd                                                           | CUSIP: 09078AAA3<br>LEI: 2549009HQHT8KMO8YJ79 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002831.00   | 0.12%             | 2038-01-22      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                           | Magnetite Xlv Ltd                                                                | CUSIP: 55956DAA7<br>LEI: 529900IK6R4NURGLMB37 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $851241.00    | 0.10%             | 2038-04-15      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         6 | NC      | $30368.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $496209.45    | 0.06%             | 2039-01-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R05                                     | CUSIP: 20754XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4550000 | PA      | $4575603.76   | 0.55%             | 2044-07-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| LCSS Financing LLC                          | LCSS Financing 2018-A LLC                                                        | CUSIP: 50200XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718103 | PA      | $632356.29    | 0.08%             | 2062-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK4                                                                   | CUSIP: 06541FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7060000 | PA      | $154373.96    | 0.02%             | 2050-05-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2017-6                                                  | CUSIP: 46649HBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825315 | PA      | $746581.76    | 0.09%             | 2048-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2016-A                                             | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129376 | PA      | $120248.13    | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-5C34                                                   | CUSIP: 07337BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1050079.80   | 0.13%             | 2058-05-15      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18033 | PA      | $17127.02     | 0.00%             | 2049-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1378181 | PA      | $1211978.55   | 0.15%             | 2050-05-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969766 | PA      | $2086778.94   | 0.25%             | 2054-10-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re VII Ltd                                                               | CUSIP: 67389JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2655637 | PA      | $2705596.70   | 0.33%             | 2034-04-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                      | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860312 | PA      | $241649.91    | 0.03%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2019-C16                                           | CUSIP: 90276YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14409790 | PA      | $590029.73    | 0.07%             | 2052-04-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                           | Elevation CLO 2021-14 Ltd                                                        | CUSIP: 28623RBN7<br>LEI: 549300JPI8D017HI2768 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1644201.90   | 0.20%             | 2038-01-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,               | Wachovia Mortgage Loan Trust LLC Series 2005-B Trust                             | CUSIP: 92977YBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47080 | PA      | $46230.67     | 0.01%             | 2035-10-20      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg              | DBJPM 2016-C3 Mortgage Trust                                                     | CUSIP: 23312VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1847000 | PA      | $1769755.32   | 0.21%             | 2049-08-10      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88289 | PA      | $80110.77     | 0.01%             | 2049-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R04                                     | CUSIP: 20753GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2028551.20   | 0.24%             | 2044-05-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2015-4                                                  | CUSIP: 46644VBT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264067 | PA      | $899887.51    | 0.11%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2023-PRM3                                    | CUSIP: 17331LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2055635.60   | 0.25%             | 2028-07-10      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5604792 | PA      | $4681612.14   | 0.56%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2018-MTG2                                      | CUSIP: 585499BR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1254132 | PA      | $1192318.25   | 0.14%             | 2048-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                              | Apidos CLO XV                                                                    | CUSIP: 03764QBJ0<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1352200.50   | 0.16%             | 2031-04-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                     | CBAM 2017-1 Ltd                                                                  | CUSIP: 14987LAJ0<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1708540.80   | 0.21%             | 2038-01-20      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2016-1                                                  | CUSIP: 00842TAV0<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-MBS          | CORP              | US        |    646000 | PA      | $490647.79    | 0.06%             | 2045-12-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AG4<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4032364.00   | 0.48%             | 2037-07-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2020-HR8                                          | CUSIP: 61692BBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1320333.45   | 0.16%             | 2053-07-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2019-1                                             | CUSIP: 36418WBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875772 | PA      | $846261.96    | 0.10%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748954 | PA      | $607320.56    | 0.07%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14105764 | PA      | $239829.72    | 0.03%             | 2050-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3378024 | PA      | $3044364.53   | 0.37%             | 2049-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232378 | PA      | $209689.40    | 0.03%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATION                        | MONDELEZ INTERNATION                                                             | CUSIP: 60920VU75<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2098129.74   | 0.25%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2013-C15                              | CUSIP: 46640NAM0<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |  22487488 | PA      | $145185.97    | 0.02%             | 2045-11-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3158420 | PA      | $3163947.87   | 0.38%             | 2034-05-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2021-GSA3                                           | CUSIP: 36263UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257933 | PA      | $861621.33    | 0.10%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37637 | PA      | $35588.02     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2021-1                                                   | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695997 | PA      | $555255.87    | 0.07%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-H                                 | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143219 | PA      | $134664.28    | 0.02%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2020-2                                                    | CUSIP: 81748KEG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535597 | PA      | $1366738.50   | 0.16%             | 2050-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2010738.40   | 0.24%             | 2039-03-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C37                                   | CUSIP: 95000PAX2<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2729399.10   | 0.33%             | 2049-12-15      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KSJ9<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   6604150 | PA      | $6922831.94   | 0.83%             | 2042-02-25      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2014-1                                                  | CUSIP: 46641CBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656132 | PA      | $563982.78    | 0.07%             | 2044-01-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-3                                                  | CUSIP: 46649TBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255044 | PA      | $1139778.29   | 0.14%             | 2048-09-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158601 | PA      | $157362.31    | 0.02%             | 2045-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust | CUSIP: 93936FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415875 | PA      | $367442.65    | 0.04%             | 2047-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1748060.30   | 0.21%             | 2042-02-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R04                                     | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1509880.05   | 0.18%             | 2044-05-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2025-CCM1                                               | CUSIP: 46593MBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1689407 | PA      | $1591680.22   | 0.19%             | 2055-06-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                                    | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2026670 | PA      | $2107193.25   | 0.25%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2014-IVR1                                                             | CUSIP: 12648ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196154 | PA      | $189402.97    | 0.02%             | 2043-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                         | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631HH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5887827 | PA      | $4871916.60   | 0.59%             | 2052-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675000 | PA      | $1646952.80   | 0.20%             | 2030-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                  | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1537396.95   | 0.18%             | 2038-04-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651ABB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986003 | PA      | $955247.36    | 0.11%             | 2049-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2399795 | PA      | $2413719.42   | 0.29%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10966578 | PA      | $484949.77    | 0.06%             | 2053-03-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                          | Wind River 2014-1 CLO Ltd                                                        | CUSIP: 88432CBD7<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | KY        |   1583400 | PA      | $1584964.40   | 0.19%             | 2031-07-18      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6586500 | PA      | $316924.27    | 0.04%             | 2052-07-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC                    | Jersey Mike's Funding LLC                                                        | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596000 | PA      | $1625873.93   | 0.20%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856019 | PA      | $796631.88    | 0.10%             | 2049-11-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2014-5                                                  | CUSIP: 46643KBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786000 | PA      | $721860.44    | 0.09%             | 2029-10-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities               | Brean Asset Backed Securities Trust 2024-RM9                                     | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    972369 | PA      | $960731.40    | 0.12%             | 2064-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                        | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487991 | PA      | $396031.06    | 0.05%             | 2038-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-INV3                                                              | CUSIP: 12557LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198177 | PA      | $180364.15    | 0.02%             | 2049-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C27                                                   | CUSIP: 05555FAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2648489.70   | 0.32%             | 2057-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KAE5<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |   3488032 | PA      | $99162.13     | 0.01%             | 2049-11-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust              | HarborView Mortgage Loan Trust 2007-5                                            | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527197 | PA      | $454293.65    | 0.05%             | 2037-09-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C31                                                   | CUSIP: 07336YAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2197342.25   | 0.26%             | 2057-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust Series 2024-4                                  | CUSIP: 16159NBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1961747 | PA      | $1919351.60   | 0.23%             | 2055-03-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076UAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996989.00    | 0.12%             | 2038-01-19      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                       | Arroyo Mortgage Trust 2019-3                                                     | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455502 | PA      | $435337.37    | 0.05%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562383 | PA      | $530815.06    | 0.06%             | 2049-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4872114 | PA      | $261364.05    | 0.03%             | 2054-08-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE U S I 07/28/2025                   | ENBRIDGE U S I 07/28/2025                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3985669.20   | 0.48%             | 2025-07-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Bayview Opportunity Master Fund VI Trust 2021-INV6                               | CUSIP: 07335UCJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1643962 | PA      | $1377772.72   | 0.17%             | 2051-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R05                                     | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    609346 | PA      | $625181.45    | 0.08%             | 2039-07-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust              | SWCH Commercial Mortgage Trust 2025-DATA                                         | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3725141.25   | 0.45%             | 2042-02-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C1                      | CUSIP: 61778GAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2564626.00   | 0.31%             | 2058-03-15      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt              | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    804745 | PA      | $709384.99    | 0.09%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2024-PJ2                                     | CUSIP: 36271PBW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954441 | PA      | $1929639.21   | 0.23%             | 2054-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Bayview MSR Opportunity Master Fund Trust 2021-INV2                              | CUSIP: 07336NCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347159 | PA      | $1119520.79   | 0.13%             | 2051-12-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                                  | PSMC 2019-3 Trust                                                                | CUSIP: 69375BAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183221 | PA      | $171945.12    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC                       | Bojangles Issuer LLC                                                             | CUSIP: 09748RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1430358.72   | 0.17%             | 2054-11-20      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278378 | PA      | $252232.50    | 0.03%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loans 2017-2 LLC                                                    | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457995 | PA      | $429835.19    | 0.05%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    903145 | PA      | $730536.33    | 0.09%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334773 | PA      | $340379.67    | 0.04%             | 2054-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| WCORE Commercial Mortgage Trus              | WCORE Commercial Mortgage Trust 2024-CORE                                        | CUSIP: 951913AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1564710.73   | 0.19%             | 2041-11-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244745 | PA      | $106454.48    | 0.01%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-5                                                    | CUSIP: 81743ACD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417464 | PA      | $379574.22    | 0.05%             | 2049-12-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       159 | NC      | $97796.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2020-1                                          | CUSIP: 743874AY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042708 | PA      | $868539.01    | 0.10%             | 2050-02-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2023-PJ5                                     | CUSIP: 36268ABS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3523478 | PA      | $3613363.95   | 0.43%             | 2054-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12250292 | PA      | $11835.62     | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRETE 2021-ML11 TRUST                       | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 302610AD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13213620 | PA      | $644559.05    | 0.08%             | 2038-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2018-INV1                                                              | CUSIP: 12553XAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326586 | PA      | $306943.25    | 0.04%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-21M                                            | CUSIP: 05609CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $697490.58    | 0.08%             | 2036-10-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2024-1                                             | CUSIP: 17332CCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1974304 | PA      | $2003023.64   | 0.24%             | 2054-07-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630TAA3<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1357637.88   | 0.16%             | 2034-04-15      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236297 | PA      | $210387.61    | 0.03%             | 2036-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK27                                                                  | CUSIP: 06539XAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36669547 | PA      | $1547137.69   | 0.19%             | 2063-04-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                 | HIT Trust 2022-HI32                                                              | CUSIP: 40442AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035209 | PA      | $1040127.47   | 0.12%             | 2039-07-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143333 | PA      | $130579.42    | 0.02%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                    | Redwood Funding Trust 2025-2                                                     | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3842027 | PA      | $3848185.94   | 0.46%             | 2055-05-27      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1421443 | PA      | $1080588.19   | 0.13%             | 2046-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2020-1NV                                                 | CUSIP: 33851YBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3103512 | PA      | $2887232.65   | 0.35%             | 2050-03-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC              | Sunnova Helios IV Issuer LLC                                                     | CUSIP: 86746CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880477 | PA      | $767938.99    | 0.09%             | 2047-06-20      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                  | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2740691.53   | 0.33%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2268914.85   | 0.27%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   1825522 | PA      | $1875886.33   | 0.23%             | 2041-10-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968379 | PA      | $794586.38    | 0.10%             | 2051-12-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2015-2                                                 | CUSIP: 89171YBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768737 | PA      | $764052.32    | 0.09%             | 2057-11-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust                                                         | CUSIP: 46593VAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3649000 | PA      | $3706993.92   | 0.45%             | 2055-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25752628 | PA      | $1057043.67   | 0.13%             | 2052-07-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2024-2                                                   | CUSIP: 61947BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675055 | PA      | $1569189.43   | 0.19%             | 2052-04-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2017-4                                                  | CUSIP: 46648UAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811333 | PA      | $746186.72    | 0.09%             | 2048-11-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2005-AR5                                                 | CUSIP: 362341MC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88066 | PA      | $44966.71     | 0.01%             | 2035-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-2                                                    | CUSIP: 81746YCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825384 | PA      | $771702.29    | 0.09%             | 2049-06-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78452 | PA      | $66827.89     | 0.01%             | 2037-05-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2025-2                                                    | CUSIP: 816935AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918200 | PA      | $921256.26    | 0.11%             | 2055-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Trafigura Securitisation Finan              | Trafigura Securitisation Finance PLC                                             | CUSIP: 892725AX0<br>LEI: 549300CH6S10UEZXWN56 | Long             | ABS-O            | CORP              | IE        |   6800000 | PA      | $6922121.20   | 0.83%             | 2027-11-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2020-3                                                    | CUSIP: 81748ACE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1233970 | PA      | $1087018.82   | 0.13%             | 2050-04-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2018-CX12 Commercial Mortgage Trust                                        | CUSIP: 12595XAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360000 | PA      | $2250147.66   | 0.27%             | 2051-08-15      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-8                                                  | CUSIP: 46650MBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1165488 | PA      | $1076713.87   | 0.13%             | 2049-01-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848365 | PA      | $802103.60    | 0.10%             | 2049-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2024-2                            | CUSIP: 61776FBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3708036 | PA      | $3860555.41   | 0.46%             | 2054-03-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C45                                   | CUSIP: 95001NAZ1<br>LEI: 5493006021R83VCLAO08 | Long             | ABS-MBS          | CORP              | US        |  13544808 | PA      | $257185.42    | 0.03%             | 2051-06-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-3BP                                           | CUSIP: 67120UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2705658.45   | 0.33%             | 2042-02-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918360 | PA      | $1927934.44   | 0.23%             | 2041-10-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-J1 Trust                                                                | CUSIP: 67116WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878117 | PA      | $713427.85    | 0.09%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2021-J3                                            | CUSIP: 17330BDN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967971 | PA      | $790632.61    | 0.09%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2015-3                                                    | CUSIP: 81746LCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272951 | PA      | $217798.14    | 0.03%             | 2045-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2019-AFC1 Trust                                                             | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398889 | PA      | $387646.16    | 0.05%             | 2049-07-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-B Trust                                      | CUSIP: 83405FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3529000 | PA      | $2944266.93   | 0.35%             | 2046-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust               | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2495345.00   | 0.30%             | 2039-12-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                      | CUSIP: 61766EBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2871623.70   | 0.34%             | 2049-05-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV2                                               | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307248 | PA      | $281181.81    | 0.03%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B7 Mortgage Trust                                                 | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46744727 | PA      | $490464.37    | 0.06%             | 2053-05-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2024-12                                                 | CUSIP: 46658TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1746410 | PA      | $1767313.61   | 0.21%             | 2055-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                          | Subway Funding LLC                                                               | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7512250 | PA      | $7504682.16   | 0.90%             | 2054-07-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                        | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656253 | PA      | $497281.90    | 0.06%             | 2038-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2831598 | PA      | $2820629.65   | 0.34%             | 2036-09-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-CH1                                                  | CUSIP: 81747MCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470554 | PA      | $461522.65    | 0.06%             | 2049-03-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250440.45    | 0.03%             | 2038-04-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2024-8                                         | CUSIP: 16159XBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990449 | PA      | $1030316.17   | 0.12%             | 2055-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2018-2 Ltd                                                     | CUSIP: 69688MAS4<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3762195.00   | 0.45%             | 2037-04-16      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994413.50    | 0.12%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.                       | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $990308.70    | 0.12%             | 2042-08-17      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R03                                     | CUSIP: 207941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4116039.20   | 0.49%             | 2044-03-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10870640 | PA      | $363036.98    | 0.04%             | 2050-12-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50426 | PA      | $48901.66     | 0.01%             | 2036-01-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2438294 | PA      | $1935719.67   | 0.23%             | 2056-11-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | GWT 2024-WLF2                                                                    | CUSIP: 362414AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2714847.57   | 0.33%             | 2041-05-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2025-1 Ltd                                            | CUSIP: 69703VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1592084.80   | 0.19%             | 2033-02-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                            | Unlock HEA Trust 2024-2                                                          | CUSIP: 91528AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1906659 | PA      | $1897910.36   | 0.23%             | 2039-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11038599 | PA      | $715849.28    | 0.09%             | 2054-01-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2014-C26                              | CUSIP: 46643TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34428000 | PA      | $112527.92    | 0.01%             | 2048-01-15      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2013-IVR5                                                             | CUSIP: 12647VAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139154 | PA      | $135170.68    | 0.02%             | 2043-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420454 | PA      | $1427834.12   | 0.17%             | 2039-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1601780.49   | 0.19%             | 2038-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR12                                                                 | CUSIP: 06644XAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1997707.55   | 0.24%             | 2057-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GEJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866597 | PA      | $1786550.19   | 0.21%             | 2049-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $815650.70    | 0.10%             | 2053-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK4                                                                   | CUSIP: 06541FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1537474 | PA      | $1184205.06   | 0.14%             | 2050-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-PJ5                                     | CUSIP: 362925CE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2799366 | PA      | $2323250.93   | 0.28%             | 2052-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2019-2                                                   | CUSIP: 056827AA6<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1979598.00   | 0.24%             | 2032-10-17      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-6                                                | CUSIP: 46655KDF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2608227 | PA      | $2151871.67   | 0.26%             | 2052-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan              | Laurel Road Prime Student Loan Trust 2019-A                                      | CUSIP: 51889RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725688 | PA      | $707863.16    | 0.09%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1598259.20   | 0.19%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2573183 | PA      | $2582990.62   | 0.31%             | 2038-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| La Quinta Mortgage Trust                    | LAQ 2023-LAQ Mortgage Trust                                                      | CUSIP: 516681AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1827727.70   | 0.22%             | 2036-03-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2025-R02                                     | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002266.80   | 0.24%             | 2045-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                      | Chase Auto Owner Trust 2024-4                                                    | CUSIP: 16144YAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $618893.87    | 0.07%             | 2031-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B25 Mortgage Trust                                                | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23795089 | PA      | $1035464.70   | 0.12%             | 2054-04-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-LC25                                  | CUSIP: 95000JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3375000 | PA      | $3046653.00   | 0.37%             | 2059-12-15      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2020-1NV                                                 | CUSIP: 33851YBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1546806 | PA      | $1411605.01   | 0.17%             | 2050-03-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802846 | PA      | $719619.72    | 0.09%             | 2049-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25149 | PA      | $24814.95     | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2024-PJ1                                     | CUSIP: 36268VBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566914 | PA      | $1651998.01   | 0.20%             | 2054-06-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171710 | PA      | $135701.98    | 0.02%             | 2035-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        16 | NC      | $66340.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2016-1                                                  | CUSIP: 46646BBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $747304.00    | 0.09%             | 2046-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285114 | PA      | $258155.46    | 0.03%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage               | STAR 2021-1 Trust                                                                | CUSIP: 85573GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491445 | PA      | $457885.41    | 0.06%             | 2065-05-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC40                                           | CUSIP: 36257HBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11475648 | PA      | $406134.67    | 0.05%             | 2052-07-10      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                         | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631FB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2341154 | PA      | $1844028.44   | 0.22%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3220000 | PA      | $194301.24    | 0.02%             | 2052-03-15      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP3 Trust                                                              | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96997 | PA      | $88400.81     | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260774 | PA      | $237450.48    | 0.03%             | 2037-12-28      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C40                                   | CUSIP: 95000YAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21421975 | PA      | $290317.03    | 0.03%             | 2050-10-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC                          | TIF Funding II LLC                                                               | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035846 | PA      | $932217.58    | 0.11%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 12 Ltd                                                           | CUSIP: 09090MAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1685777.80   | 0.20%             | 2038-04-22      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2023-3                                                    | CUSIP: 816943BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985625 | PA      | $975260.76    | 0.12%             | 2053-09-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-H3                                           | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1171000 | PA      | $1096077.55   | 0.13%             | 2051-07-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1803038 | PA      | $1433453.98   | 0.17%             | 2054-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,               | Wachovia Mortgage Loan Trust LLC Series 2005-B Trust                             | CUSIP: 92977YBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61078 | PA      | $59975.86     | 0.01%             | 2035-10-20      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1796005 | PA      | $1597015.98   | 0.19%             | 2050-03-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -67 | NC      | $-78429.99    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON                 | CUSIP: 46650RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3933109.50   | 0.47%             | 2034-01-05      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681253 | PA      | $635851.46    | 0.08%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    885000 | PA      | $885818.63    | 0.11%             | 2031-04-16      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXIX Ltd                                                         | CUSIP: 83614VAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4106724.00   | 0.49%             | 2034-04-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2024-PJ4                                     | CUSIP: 36269RBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1955523 | PA      | $1909464.80   | 0.23%             | 2054-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2              | JW Trust 2024-BERY                                                               | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1152487.11   | 0.14%             | 2039-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3649191.40   | 0.44%             | 2050-11-27      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP1 Trust                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     10459 | PA      | $10325.07     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                      | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2221094 | PA      | $663351.33    | 0.08%             | 2036-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    916926 | PA      | $750780.31    | 0.09%             | 2052-04-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717992 | PA      | $719996.78    | 0.09%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -31 | NC      | $-128624.42   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3332949.84   | 0.40%             | 2027-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R01                                     | CUSIP: 20753UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1642167.36   | 0.20%             | 2044-01-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2846502.45   | 0.34%             | 2041-12-10      | Variable      | 8.19%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXX Ltd                                                         | CUSIP: 09630QAQ4<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |   2968875 | PA      | $2972125.92   | 0.36%             | 2035-04-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV3                                                | CUSIP: 44555QCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1604114 | PA      | $1357355.64   | 0.16%             | 2051-12-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-C30                                   | CUSIP: 94989NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16657000 | PA      | $20628.86     | 0.00%             | 2058-09-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC              | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774922 | PA      | $740402.22    | 0.09%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B4 Mortgage Trust                                                 | CUSIP: 08161HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $346716.00    | 0.04%             | 2051-07-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2025-1                                                    | CUSIP: 81743EAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1841785 | PA      | $1849112.40   | 0.22%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-C30                                   | CUSIP: 94989NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16657000 | PA      | $21843.99     | 0.00%             | 2058-09-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253708 | PA      | $246655.73    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-5                                                  | CUSIP: 46591FAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223674 | PA      | $1161201.80   | 0.14%             | 2049-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2017-D LLC                                        | CUSIP: 78471CAC3<br>LEI: 549300RC6OGKQI1MHM67 | Long             | ABS-O            | CORP              | US        |    874000 | PA      | $846393.31    | 0.10%             | 2040-09-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1016840.10   | 0.12%             | 2042-07-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11194 | PA      | $11082.60     | 0.00%             | 2050-03-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480299 | PA      | $460729.91    | 0.06%             | 2049-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2024-INV4 Trust                                                             | CUSIP: 367919CJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1746194 | PA      | $1715422.13   | 0.21%             | 2054-12-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                   | CBAMR 2019-9 Ltd                                                                 | CUSIP: 14987VAU3<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5040135.00   | 0.61%             | 2037-07-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1659000 | PA      | $1468825.84   | 0.18%             | 2052-12-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust                  | Point Securitization Trust 2025-1                                                | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2492421 | PA      | $2487932.15   | 0.30%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       451 | NC      | $448071.76    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R07                                     | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1042231.90   | 0.13%             | 2043-09-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-5C10 Mortgage Trust                                                     | CUSIP: 05615BAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1028835.40   | 0.12%             | 2058-05-15      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Sunrun Iris Issuer                          | Sunrun Iris Issuer 2023-1 LLC                                                    | CUSIP: 86772YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2091116 | PA      | $2016262.50   | 0.24%             | 2059-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Trust 2015-3                                                           | CUSIP: 46644MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311889 | PA      | $293617.03    | 0.04%             | 2045-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC              | Sunnova Helios XII Issuer LLC                                                    | CUSIP: 86745YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1562047 | PA      | $941579.88    | 0.11%             | 2050-08-22      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3355676 | PA      | $333647.84    | 0.04%             | 2035-02-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC                      | Sunnova Sol II Issuer LLC                                                        | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430664 | PA      | $1979003.03   | 0.24%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                         | Zaxbys Funding LLC                                                               | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4405824 | PA      | $4078803.94   | 0.49%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                   | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2752242.35   | 0.33%             | 2039-12-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16406000 | PA      | $351765.15    | 0.04%             | 2050-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-9                                                  | CUSIP: 46649YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828096 | PA      | $777051.22    | 0.09%             | 2049-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC                           | Arbys Funding LLC                                                                | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1897380 | PA      | $1811858.25   | 0.22%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875363 | PA      | $802347.17    | 0.10%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2024-5C6 Mortgage Trust                                                      | CUSIP: 05593QAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1769783.80   | 0.21%             | 2057-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2025-PJ1                                     | CUSIP: 36271DCK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2292000 | PA      | $2016477.08   | 0.24%             | 2055-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099184 | PA      | $1048263.55   | 0.13%             | 2049-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC                       | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2244423 | PA      | $1869790.80   | 0.22%             | 2048-07-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2024-CCM1                                               | CUSIP: 46658NBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991347 | PA      | $957619.89    | 0.12%             | 2055-04-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-8                                                  | CUSIP: 46652TCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912833 | PA      | $796783.67    | 0.10%             | 2051-03-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163ABR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5115479 | PA      | $5057754.91   | 0.61%             | 2053-07-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409133 | PA      | $177828.14    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553813 | PA      | $508285.17    | 0.06%             | 2036-12-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160121 | PA      | $147772.58    | 0.02%             | 2037-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2017-1                                                  | CUSIP: 46648CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1999523 | PA      | $1785060.48   | 0.21%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2023-2                                                | CUSIP: 46656DDF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770085 | PA      | $1678857.17   | 0.20%             | 2053-07-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                  | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004193.00   | 0.12%             | 2042-04-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2024-9                                                    | CUSIP: 81749PAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562599 | PA      | $556238.03    | 0.07%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd               | Loanpal Solar Loan Ltd                                                           | CUSIP: 53948NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014057 | PA      | $720780.49    | 0.09%             | 2047-12-20      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4402767 | PA      | $3886230.63   | 0.47%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust                    | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215744 | PA      | $196104.09    | 0.02%             | 2036-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                             | Venture 33 CLO Ltd                                                               | CUSIP: 92330YAW3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |   1266720 | PA      | $1268514.94   | 0.15%             | 2031-07-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Commercial Mortgage Trust 2022-LPF2                                         | CUSIP: 449652AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1501134.00   | 0.18%             | 2039-10-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2014-C26                              | CUSIP: 46643TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46979000 | PA      | $353042.49    | 0.04%             | 2048-01-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2731966.60   | 0.33%             | 2030-01-17      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-HQA2                                          | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004162.90   | 0.12%             | 2044-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                         | Zaxbys Funding LLC                                                               | CUSIP: 98920MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2828625 | PA      | $2896394.89   | 0.35%             | 2054-04-30      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845302 | PA      | $774458.00    | 0.09%             | 2049-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLII LLC                     | JG Wentworth XLII LLC                                                            | CUSIP: 46590UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    604624 | PA      | $549374.89    | 0.07%             | 2077-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R09                                     | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $775770.94    | 0.09%             | 2042-09-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1481068 | PA      | $1526979.47   | 0.18%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2017-B-GS                                          | CUSIP: 20268KAD2<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |     85953 | PA      | $74282.38     | 0.01%             | 2042-09-25      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1509426.00   | 0.18%             | 2037-07-21      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                | Parallel 2023-1 Ltd                                                              | CUSIP: 69915NAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3400170.00   | 0.41%             | 2036-07-20      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,               | Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates Series 2007-WM1     | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246106 | PA      | $218798.57    | 0.03%             | 2037-06-27      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2023-SMRT                                    | CUSIP: 17291NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998243.20    | 0.12%             | 2040-10-12      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048278 | PA      | $1094889.26   | 0.13%             | 2042-01-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                  | HTAP Issuer Trust 2025-1                                                         | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1953428 | PA      | $1929319.45   | 0.23%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2006-AR2                                           | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187290 | PA      | $141683.38    | 0.02%             | 2036-03-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4053000 | PA      | $3695276.14   | 0.44%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Vivint Solar Financing LLC                  | Vivint Solar Financing VII LLC                                                   | CUSIP: 92855HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358491 | PA      | $1221154.36   | 0.15%             | 2051-07-31      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Trust 2015-3                                                           | CUSIP: 46644MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866534 | PA      | $666497.52    | 0.08%             | 2045-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| NXPT Commercial Mortgage Trust              | NXPT Commercial Mortgage Trust 2024-STOR                                         | CUSIP: 67119YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3538408.30   | 0.43%             | 2041-11-05      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-J1                                                                | CUSIP: 12556MCR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771892 | PA      | $712364.42    | 0.09%             | 2049-08-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2017-P8                                      | CUSIP: 17326DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14434785 | PA      | $342061.10    | 0.04%             | 2050-09-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2015-C29                              | CUSIP: 46644RBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796959 | PA      | $792038.53    | 0.10%             | 2048-05-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                              | Apidos CLO XXIV                                                                  | CUSIP: 03759CAX8<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |   2650000 | PA      | $2655122.45   | 0.32%             | 2030-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-RISE                                                               | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1859724 | PA      | $1856318.87   | 0.22%             | 2036-11-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2023-HQA3                                          | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2640684.50   | 0.32%             | 2043-11-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |   2096556 | PA      | $2243721.02   | 0.27%             | 2042-05-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC              | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1190908 | PA      | $939863.35    | 0.11%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2021-PRM2                                    | CUSIP: 17291HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997103.10    | 0.12%             | 2038-10-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust Series 2024-11                                 | CUSIP: 161919BQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986782 | PA      | $1992178.71   | 0.24%             | 2055-11-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2019-CH2                                                  | CUSIP: 81747CCH2<br>LEI: 549300RES143ZXEZ6T39 | Long             | ABS-MBS          | CORP              | US        |   1051200 | PA      | $1035080.85   | 0.12%             | 2049-08-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R01                                     | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1012069.00   | 0.12%             | 2044-01-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan               | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109814 | PA      | $96289.72     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $870450.71    | 0.10%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                    | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461724 | PA      | $2008144.68   | 0.24%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-F                                 | CUSIP: 63942GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $581425.84    | 0.07%             | 2070-02-18      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4497944 | PA      | $3582844.19   | 0.43%             | 2051-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914591 | PA      | $763110.90    | 0.09%             | 2052-04-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO 43 Ltd                                                              | CUSIP: 87170BAL0<br>LEI: 254900QCSPTCYRSY3N68 | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7551075.00   | 0.91%             | 2037-04-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2024-1                                                   | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1791231 | PA      | $1693025.62   | 0.20%             | 2049-09-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Sunrun Jupiter Issuer                       | Sunrun Jupiter Issuer 2022-1 LLC                                                 | CUSIP: 86772RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4368865 | PA      | $4144705.75   | 0.50%             | 2057-07-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CO 07/07/2025                   | DUKE ENERGY CO 07/07/2025                                                        | CUSIP: 26244HU76<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $999119.20    | 0.12%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C29                                                   | CUSIP: 05555PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1752321.80   | 0.21%             | 2057-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-8                                                  | CUSIP: 46650MBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    833859 | PA      | $768138.73    | 0.09%             | 2049-01-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |    337006 | PA      | $338565.75    | 0.04%             | 2034-01-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987006 | PA      | $988476.00    | 0.12%             | 2034-05-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11614927 | PA      | $425741.67    | 0.05%             | 2062-03-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBP1<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    813639 | PA      | $798617.52    | 0.10%             | 2048-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805692 | PA      | $804399.04    | 0.10%             | 2037-02-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Trust 2021-MHC2                                                              | CUSIP: 55293AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800346.24    | 0.10%             | 2038-05-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2025-3                                           | CUSIP: 46593RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2261338.24   | 0.27%             | 2055-09-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-J2                                                                | CUSIP: 12568PCG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874437 | PA      | $717550.93    | 0.09%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-R5                                                                | CUSIP: 12558RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $462776.60    | 0.06%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B14 Mortgage Trust                                                | CUSIP: 08162YAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10418134 | PA      | $528975.02    | 0.06%             | 2062-12-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332150 | PA      | $152760.59    | 0.02%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $626356.20    | 0.08%             | 2034-09-25      | Floating      | 9.46%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2024-BOCA                                         | CUSIP: 096817AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1005165.00   | 0.12%             | 2041-08-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | Sofi Professional Loan Program 2018-C Trust                                      | CUSIP: 78490DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398000 | PA      | $1352185.58   | 0.16%             | 2048-01-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2014-IVR2                                                             | CUSIP: 12648HBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135864 | PA      | $132897.32    | 0.02%             | 2044-04-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus              | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2651263.52   | 0.32%             | 2039-12-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2013-7                                             | CUSIP: 17321BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456344 | PA      | $440693.16    | 0.05%             | 2036-08-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2020-NQM3 Trust                                                              | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187160 | PA      | $177290.03    | 0.02%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-SDMF                                                               | CUSIP: 12434CAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2265319 | PA      | $2244292.00   | 0.27%             | 2034-09-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R01                                     | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2445981 | PA      | $2512727.91   | 0.30%             | 2041-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2005-9                                                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749628 | PA      | $405063.29    | 0.05%             | 2035-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2019-1                                             | CUSIP: 36418WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25621 | PA      | $25022.65     | 0.00%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                         | DBWF Mortgage Trust                                                              | CUSIP: 23306NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $895671.40    | 0.11%             | 2034-06-10      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |   6988518 | PA      | $7198334.28   | 0.86%             | 2042-01-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-J1                                                                | CUSIP: 12559YBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883781 | PA      | $767528.62    | 0.09%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan              | Laurel Road Prime Student Loan Trust 2018-B                                      | CUSIP: 51888RAC4<br>LEI: 549300XLHGW4YH0MCQ51 | Long             | ABS-O            | CORP              | US        |    225384 | PA      | $223107.05    | 0.03%             | 2043-05-26      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2017-A                                          | CUSIP: 78448WAD7<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $985130.60    | 0.12%             | 2041-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2016-1                                                  | CUSIP: 00842TAU2<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-MBS          | CORP              | US        |    394242 | PA      | $338770.80    | 0.04%             | 2045-12-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust                   | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147843 | PA      | $136382.40    | 0.02%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                            | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39747 | PA      | $39426.11     | 0.00%             | 2036-04-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167224 | PA      | $154820.85    | 0.02%             | 2037-02-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56106 | PA      | $53013.27     | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Remic Trust 2025-Hqa1                                          | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000682.40   | 0.24%             | 2045-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1168486.16   | 0.14%             | 2054-04-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2019-IMC                                            | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679341 | PA      | $1649290.70   | 0.20%             | 2034-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6106677 | PA      | $324951.85    | 0.04%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | Sofi Professional Loan Program 2018-D Trust                                      | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1468000 | PA      | $1419780.46   | 0.17%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2020-2                                                    | CUSIP: 81748KEE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879477 | PA      | $783884.08    | 0.09%             | 2050-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                    | BXMT 2025-FL5 Ltd                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1991875.20   | 0.24%             | 2042-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813021 | PA      | $752148.91    | 0.09%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2014-IVR3                                                             | CUSIP: 12648TAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205538 | PA      | $199731.43    | 0.02%             | 2044-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2013-IVR3                                                             | CUSIP: 12646XAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85654 | PA      | $83676.84     | 0.01%             | 2043-05-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29872264 | PA      | $1433480.31   | 0.17%             | 2052-08-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                         | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999575.80    | 0.12%             | 2035-07-15      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2006-1                                           | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404182 | PA      | $202899.20    | 0.02%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2024-RM3                                                                    | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3296593 | PA      | $3175681.56   | 0.38%             | 2054-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2736005 | PA      | $2718251.47   | 0.33%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2024-2                                                    | CUSIP: 81749HAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638270 | PA      | $640793.73    | 0.08%             | 2054-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sabal Issuer 2025-1 LLC                     | Sabal Issuer 2025 1 LLC                                                          | CUSIP: 78517QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4189804 | PA      | $4280480.71   | 0.51%             | 2060-11-01      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180734 | PA      | $119741.93    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit Clo 2019-4 Ltd                                               | CUSIP: 05682XAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1150000 | PA      | $1123667.30   | 0.13%             | 2035-04-23      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1408869.00   | 0.17%             | 2028-03-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2004-J7                                                   | CUSIP: 12667FTE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295928 | PA      | $294504.59    | 0.04%             | 2034-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Sunrun Issuer                               | Sunrun Xanadu Issuer 2019-1 LLC                                                  | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826072 | PA      | $766649.75    | 0.09%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2023-1                                                    | CUSIP: 81749BCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396401 | PA      | $1325140.17   | 0.16%             | 2053-01-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                          | THL Credit Wind River 2017-3 Clo Ltd                                             | CUSIP: 97316LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3958500 | PA      | $3966417.00   | 0.48%             | 2035-04-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                | BBCCRE Trust 2015-GTP                                                            | CUSIP: 05490TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 103000000 | PA      | $29700.05     | 0.00%             | 2033-08-10      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13253026 | PA      | $508288.00    | 0.06%             | 2051-07-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Shellpoint Co-Originator Trust              | Shellpoint Co-Originator Trust 2017-2                                            | CUSIP: 82281FCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757450 | PA      | $701675.86    | 0.08%             | 2047-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAU1<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2604490.20   | 0.31%             | 2031-07-17      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509569 | PA      | $408735.72    | 0.05%             | 2045-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2017-3                                                  | CUSIP: 46647SCQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688638 | PA      | $643169.20    | 0.08%             | 2047-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-4                                      | CUSIP: 24381JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397704 | PA      | $1069006.79   | 0.13%             | 2066-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2013-9                                                    | CUSIP: 81745DAH4<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    199006 | PA      | $191550.50    | 0.02%             | 2043-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504891 | PA      | $454389.89    | 0.05%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2022-4 Ltd                                               | CUSIP: 05685BAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1005211.00   | 0.12%             | 2037-10-16      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    731742 | PA      | $711104.98    | 0.09%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Mortgage Finance Trust Series 2006-A1                                      | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78555 | PA      | $69786.29     | 0.01%             | 2036-09-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-C32                                                    | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19988700 | PA      | $1721594.75   | 0.21%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                   | PRM Trust 2025-PRM6                                                              | CUSIP: 74277DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2735035.05   | 0.33%             | 2033-07-05      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                         | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4598445 | PA      | $3898028.25   | 0.47%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2020-A-GS                                          | CUSIP: 20267WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356824 | PA      | $312470.69    | 0.04%             | 2050-08-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities Trust 2006-SD4                              | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89168 | PA      | $89379.55     | 0.01%             | 2036-10-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876738 | PA      | $877844.52    | 0.11%             | 2038-06-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2024-2                            | CUSIP: 61776FBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3938435 | PA      | $4165981.11   | 0.50%             | 2054-03-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                             | Oaktree CLO 2024-25 Ltd                                                          | CUSIP: 67402PAE7<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1106644.00   | 0.13%             | 2037-04-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157279 | PA      | $922867.55    | 0.11%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47517673 | PA      | $29399.18     | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPP 07/11/2025                   | KEURIG DR PEPP 07/11/2025                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4400000 | PA      | $4393812.72   | 0.53%             | 2025-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2017-A-GS                                          | CUSIP: 20267VAD9<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |    219054 | PA      | $209647.19    | 0.03%             | 2041-05-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-6                                                  | CUSIP: 46651BAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184917 | PA      | $1109652.13   | 0.13%             | 2049-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-OA4                                                  | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739009 | PA      | $663565.05    | 0.08%             | 2047-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2019-2                                                   | CUSIP: 33852BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    871236 | PA      | $797587.93    | 0.10%             | 2049-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B20 Mortgage Trust                                                | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6844186 | PA      | $365136.32    | 0.04%             | 2053-10-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                                        | CUSIP: 83401BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2795000 | PA      | $2699213.11   | 0.32%             | 2041-01-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-C32                                                    | CUSIP: 07337AAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1567393.20   | 0.19%             | 2062-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit              | SG Commercial Mortgage Securities Trust 2020-COVE                                | CUSIP: 78397FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2320000 | PA      | $1908626.88   | 0.23%             | 2037-03-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                      | J.G. Wentworth XLI LLC                                                           | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531158 | PA      | $469126.91    | 0.06%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R02                                     | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4088283 | PA      | $4464516.24   | 0.54%             | 2043-01-25      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                                             | CUSIP: 36418GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285014 | PA      | $275690.65    | 0.03%             | 2058-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2018-1                                    | CUSIP: 94989UBK6<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    400276 | PA      | $360068.18    | 0.04%             | 2047-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126217 | PA      | $113591.95    | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2024-1                                                | CUSIP: 46657PBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3088008 | PA      | $3041184.72   | 0.37%             | 2054-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R05                                     | CUSIP: 20754DAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $4223919.96   | 0.51%             | 2042-04-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2025-5C4                                   | CUSIP: 949931AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $609617.89    | 0.07%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV2                                               | CUSIP: 46651DAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133141 | PA      | $121166.40    | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2005-3                                        | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142690 | PA      | $142467.73    | 0.02%             | 2035-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808740 | PA      | $745912.72    | 0.09%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2420 | PA      | $1461622.17   | 0.18%             | 2060-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966612 | PA      | $971948.78    | 0.12%             | 2040-12-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Sunrun Issuer                               | Sunrun Atlas Issuer 2019-2 LLC                                                   | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2108311 | PA      | $1998644.05   | 0.24%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                           | Prima Capital CRE Securitization 2019-VII Ltd                                    | CUSIP: 74166QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517838 | PA      | $506871.43    | 0.06%             | 2050-12-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONCORD                                     | CONCORD MIN. CAP 07/01/25                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7999035.20   | 0.96%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goddard Funding LLC                         | Goddard Funding LLC                                                              | CUSIP: 380241AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540560 | PA      | $1555994.25   | 0.19%             | 2052-10-30      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC5                    | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11712 | PA      | $11665.72     | 0.00%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -115 | NC      | $-291331.80   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782039 | PA      | $1574747.59   | 0.19%             | 2050-02-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust Series 2024-6                                  | CUSIP: 161931AZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4453902 | PA      | $4626050.96   | 0.56%             | 2055-05-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1844562 | PA      | $1702009.55   | 0.20%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75918 | PA      | $71234.67     | 0.01%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2750101.20   | 0.33%             | 2042-03-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio                  | MSILF Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   4490000 | NS      | $4490000.00   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                  | CUSIP: 06540JBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2122020.00   | 0.25%             | 2063-03-15      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-3                                                  | CUSIP: 46649TAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885753 | PA      | $804407.13    | 0.10%             | 2048-09-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                      | Taco Bell Funding LLC                                                            | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3930000 | PA      | $3374042.16   | 0.41%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2020-20 Ltd                                                              | CUSIP: 670859AS6<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3521574.00   | 0.42%             | 2037-04-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2692435 | PA      | $2606943.90   | 0.31%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314574 | PA      | $285318.86    | 0.03%             | 2050-02-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Figure Line of Credit Trust 20              | Figure Line of Credit Trust 2020-1                                               | CUSIP: 302452AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468926 | PA      | $454652.57    | 0.05%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK30                                                                  | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12011776 | PA      | $620702.52    | 0.07%             | 2053-12-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R02                                     | CUSIP: 20754GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $873037.04    | 0.10%             | 2044-02-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-LGCY                                                               | CUSIP: 12434DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997507.10    | 0.12%             | 2036-10-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136403 | PA      | $128579.22    | 0.02%             | 2036-01-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848365 | PA      | $804330.87    | 0.10%             | 2049-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & CO 07/08/2025                   | MCCORMICK & CO 07/08/2025                                                        | CUSIP: 57978CU82<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1997942.00   | 0.24%             | 2025-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Trust 2015-1                                                           | CUSIP: 46643UDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499287 | PA      | $486307.03    | 0.06%             | 2044-12-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP3 Trust                                                              | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216796 | PA      | $188800.20    | 0.02%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2017-2                                                    | CUSIP: 81746KCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067584 | PA      | $1003667.39   | 0.12%             | 2047-02-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360238 | PA      | $107622.80    | 0.01%             | 2037-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK8                                                                   | CUSIP: 06650AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14780716 | PA      | $405918.37    | 0.05%             | 2050-11-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR7                          | CUSIP: 92922FTB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204912 | PA      | $192345.70    | 0.02%             | 2034-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T              | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79216 | PA      | $69318.10     | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                   | Acrec 2025 Fl 3 LLC                                                              | CUSIP: 00112HAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3953191.00   | 0.47%             | 2042-08-18      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2014-A                                          | CUSIP: 784456AF2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   1833000 | PA      | $1655249.59   | 0.20%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-D                                                  | CUSIP: 00968FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096556 | PA      | $1972907.63   | 0.24%             | 2065-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2018-4                                                   | CUSIP: 33851LAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882919 | PA      | $809872.19    | 0.10%             | 2048-07-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-INV1                                                              | CUSIP: 12555DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29838 | PA      | $28599.86     | 0.00%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                  | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389BH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240242 | PA      | $1119533.26   | 0.13%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145811 | PA      | $864323.06    | 0.10%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9525351 | PA      | $8987053.41   | 1.08%             | 2049-11-08      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3947814 | PA      | $2985918.46   | 0.36%             | 2054-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R05                                     | CUSIP: 207942AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1619781.75   | 0.19%             | 2043-06-25      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1205.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust                    | CUSIP: 92922FPT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229585 | PA      | $225071.95    | 0.03%             | 2034-06-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2018-1                                                   | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493937 | PA      | $462830.64    | 0.06%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program                  | ELFI Graduate Loan Program 2019-A LLC                                            | CUSIP: 26857EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413902 | PA      | $339788.34    | 0.04%             | 2044-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-1603.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cherry Securitization Trust                 | Cherry Securitization Trust 2025-1                                               | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2325198.11   | 0.28%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV5                                                     | CUSIP: 90355DBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3166284 | PA      | $2630306.92   | 0.32%             | 2052-01-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-INV3                                               | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170792 | PA      | $2009704.92   | 0.24%             | 2050-05-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2711031.66   | 0.33%             | 2040-06-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1547364 | PA      | $1373368.34   | 0.16%             | 2050-12-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Merit                                       | MHP 2022-MHIL                                                                    | CUSIP: 55293DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1998003.41   | 0.24%             | 2039-01-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2788576.28   | 0.33%             | 2036-10-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                             | HGI CRE CLO 2021-FL2 Ltd                                                         | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    195124 | PA      | $194491.45    | 0.02%             | 2036-09-17      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust              | BXSC Commercial Mortgage Trust 2022-WSS                                          | CUSIP: 05610BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2008022.00   | 0.24%             | 2035-03-15      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1832068.50   | 0.22%             | 2054-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove Clo 9 Ltd                                                            | CUSIP: 09077WAG3<br>LEI: 254900VS6E4BD1HWHW18 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $903851.10    | 0.11%             | 2037-10-22      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2049680.80   | 0.25%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571138 | PA      | $231272.52    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merit                                       | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000165.60   | 0.24%             | 2038-07-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust              | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2003108.80   | 0.24%             | 2041-06-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                        | Wingstop Funding LLC                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3973266 | PA      | $3770511.02   | 0.45%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883510 | PA      | $826392.14    | 0.10%             | 2050-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust                      | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2082843.40   | 0.25%             | 2029-06-11      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                  | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5187577 | PA      | $4577529.62   | 0.55%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2022-INV3 Trust                                                             | CUSIP: 36830RCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111047 | PA      | $1036512.09   | 0.12%             | 2052-08-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2018-6                                                  | CUSIP: 46650JAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233220 | PA      | $211061.16    | 0.03%             | 2048-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate               | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948000 | PA      | $758511.86    | 0.09%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372447 | PA      | $333014.02    | 0.04%             | 2044-02-22      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-6                                                  | CUSIP: 46651BAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    847759 | PA      | $796172.65    | 0.10%             | 2049-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Verde CLO Ltd                               | VERDE CLO Ltd                                                                    | CUSIP: 92338BBA2<br>LEI: 254900DT3DF8KM5RRZ79 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1402746.80   | 0.17%             | 2032-04-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2005-4                                                  | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71511 | PA      | $68318.53     | 0.01%             | 2035-05-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2005-4                                        | CUSIP: 759950GA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268382 | PA      | $250888.11    | 0.03%             | 2036-02-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2005-9                                             | CUSIP: 17307GL89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233649 | PA      | $238287.52    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                      | CUSIP: 61766NBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1905451.80   | 0.23%             | 2049-09-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                       | DB Master Finance LLC                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3425750 | PA      | $2996533.67   | 0.36%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097643 | PA      | $883839.10    | 0.11%             | 2052-07-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2007-S1                                                 | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    917270 | PA      | $325780.16    | 0.04%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-R02                                     | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397704 | PA      | $1431086.20   | 0.17%             | 2040-01-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                       | INTOWN 2025-STAY Mortgage Trust                                                  | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2251119.60   | 0.27%             | 2042-03-15      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA7                                          | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   2096556 | PA      | $2166589.57   | 0.26%             | 2041-11-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 18 Ltd                          | Elmwood CLO 18 Ltd                                                               | CUSIP: 29003MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3014682.00   | 0.36%             | 2037-07-17      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303623 | PA      | $260206.95    | 0.03%             | 2037-02-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2017-CH1                                                  | CUSIP: 81746HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677704 | PA      | $655925.90    | 0.08%             | 2047-08-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14416585 | PA      | $718690.53    | 0.09%             | 2053-07-15      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                              | Octagon 75 Ltd                                                                   | CUSIP: 67579EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005514.00   | 0.24%             | 2038-01-22      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-HYB1                                               | CUSIP: 46651FAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1909935 | PA      | $1927837.15   | 0.23%             | 2049-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1506 | NC      | $1160581.72   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Sound Point CLO LTD                         | SOUND POINT CLO VII-R Ltd                                                        | CUSIP: 83610HAG5<br>LEI: 549300IYECLSB6ZQZB89 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600854.40    | 0.07%             | 2031-10-23      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84052 | PA      | $77417.02     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

**Name of Applicant:** Voya Separate Portfolios Trust

**Signature:** Dorothy Roman

**Name of Signer:** Dorothy Roman

**Title:** Vice President, Fund Administration