# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-25-009572
**Filing Date:** 2025-12
**Character Count:** 211482
**Document Hash:** 3904c91cfe4d218af3c5e88b42f15ca4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-009572.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0002071691-25-009572

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 251596407

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Securitized Income ETF (Series ID: S000082930)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000246278 | Janus Henderson Securitized Income ETF | JSI             |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Securitized Income ETF

- **b. EDGAR series identifier (if any):** S000082930

- **c. LEI of Series:** 213800ILCSKNDETKIU60

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1941777518.49

**Total Liabilities:** $655124066.39

**Net Assets:** $1286653452.10

**Delayed Delivery Securities:** $17859964.47

**Cash Not Reported:** $10338904.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2922.74367460 | **1-Year:** -66398.36415203 | **5-Year:** -154965.71641542 | **10-Year:** -91838.16038027 | **30-Year:** -23050.80549374

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

- **3-Month:** -2596.32523124 | **1-Year:** -42019.00656852 | **5-Year:** -54155.73471881 | **10-Year:** -54503.61255149 | **30-Year:** -7630.88783474

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246278 | 1.32%                | -0.57%               | 0.26%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2808383.45              | $4134185.83                                |
| Month 2  | $3058873.02              | $-13962705.82                              |
| Month 3  | $55360.76                | $-2300233.50                               |

**Designated Index Information**

- **Index Name:** 50% ICE BofA AA-BBB US ABS/50% ICE BofA AA-BBB US Fixed Rate CMBS

- **Index Identifier:** INTRNL-2732079061

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-4A, Class B                            | CUSIP: 57108UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $518958.48     | 0.04%             | 2033-12-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Hilton USA Trust                               | Hilton USA Trust, Series 2025-NVIL, Class A                                | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7400000 | PA      | $7422103.17    | 0.58%             | 2042-07-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class E                 | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1262337 | PA      | $1264223.05    | 0.10%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2021-1, Class C                                | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4398345.67    | 0.34%             | 2051-11-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2024-CES1, Class A1B                    | CUSIP: 46658CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4002961 | PA      | $4030538.38    | 0.31%             | 2054-06-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                       | Rain City Mortgage Trust, Series 2024-RTL1, Class A2                       | CUSIP: 75079KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560000 | PA      | $565204.42     | 0.04%             | 2029-09-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Alloya Auto Receivables Trust                  | Alloya Auto Receivables Trust, Series 2025-1A, Class B                     | CUSIP: 01986QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $913135.61     | 0.07%             | 2030-03-25      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BIO2, Class D                    | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4702000 | PA      | $4584685.53    | 0.36%             | 2041-08-13      | Variable      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                  | BLP Commercial Mortgage Trust, Series 2024-IND2, Class A                   | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6907463 | PA      | $6909226.45    | 0.54%             | 2041-03-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2            | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2677000 | PA      | $2696541.56    | 0.21%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF5, Class A3                                       | CUSIP: 69384AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1993422.40    | 0.15%             | 2055-10-25      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                    | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294274 | PA      | $288498.77     | 0.02%             | 2050-02-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2025-1A, Class C                                | CUSIP: 30227XAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2537180.54    | 0.20%             | 2054-07-25      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class D         | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     930361 | PA      | $935983.50     | 0.07%             | 2031-12-26      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1        | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4358471 | PA      | $4337511.17    | 0.34%             | 2029-04-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| CENT                                           | CENT, Series 2025-CITY, Class A                                            | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12635000 | PA      | $12786622.45   | 0.99%             | 2040-07-10      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |    2776673 | PA      | $2686767.78    | 0.21%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2               | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     735000 | PA      | $728078.29     | 0.06%             | 2049-03-22      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| SCG Trust                                      | SCG Trust, Series 2025-SNIP, Class D                                       | CUSIP: 78398JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3524545.52    | 0.27%             | 2042-09-15      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class C                     | CUSIP: 525935AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2531027.59    | 0.20%             | 2030-09-15      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5453193 | PA      | $5527822.97    | 0.43%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-1A, Class D                 | CUSIP: 36267FAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $425869.26     | 0.03%             | 2030-07-15      | Fixed         | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2025-1A, Class D                   | CUSIP: 97415CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3194000 | PA      | $3192842.62    | 0.25%             | 2033-09-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1A                           | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    2032818 | PA      | $2024804.99    | 0.16%             | 2055-09-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M4                          | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     734449 | PA      | $778610.95     | 0.06%             | 2057-10-25      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B1                | CUSIP: 20469AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4597891.68    | 0.36%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-WPT, Class D                     | CUSIP: 05612JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1580000 | PA      | $1583654.94    | 0.12%             | 2034-03-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D            | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     271282 | PA      | $275171.22     | 0.02%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136700000 | PA      | $118326426.40  | 9.20%             | 2055-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class D                  | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $702810.76     | 0.05%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class D                                        | CUSIP: 05610AAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1942500 | PA      | $1940597.42    | 0.15%             | 2039-04-15      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                           | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |    2885882 | PA      | $2900690.06    | 0.23%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1B                           | CUSIP: 749421AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1603138 | PA      | $1611142.06    | 0.13%             | 2044-11-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G                 | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     310828 | PA      | $319046.32     | 0.02%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| CPC Asset Securitization III LLC               | CPC Asset Securitization III LLC, Series 2024-1A, Class D                  | CUSIP: 126203AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $999873.60     | 0.08%             | 2030-08-15      | Fixed         | 13.45%                | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class D          | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4935460.01    | 0.38%             | 2027-08-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK86                         | CUSIP: 05494BBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892604 | PA      | $1439466.91    | 0.11%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class C                                      | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1010382 | PA      | $1038400.00    | 0.08%             | 2054-03-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF2, Class C                                      | CUSIP: 316918AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2365261 | PA      | $2345764.79    | 0.18%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class B                   | CUSIP: 62475WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2501727.86    | 0.19%             | 2039-03-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5981209 | PA      | $5828628.67    | 0.45%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Master Trust                            | Affirm Master Trust, Series 2025-2A, Class D                               | CUSIP: 00833BAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7505481.48    | 0.58%             | 2033-07-15      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-CES1, Class A1B                                          | CUSIP: 26846VAB0<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-O            | CORP              | US        |    2245249 | PA      | $2263805.96    | 0.18%             | 2060-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                    | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6881035 | PA      | $6889079.19    | 0.54%             | 2039-08-15      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class C           | CUSIP: 95003PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2521769.47    | 0.20%             | 2035-07-15      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $62268.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class C7                      | CUSIP: 44422PBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410000 | PA      | $405129.80     | 0.03%             | 2034-08-05      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class E                                        | CUSIP: 74939RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7900000 | PA      | $7941889.84    | 0.62%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2941750 | PA      | $2963592.20    | 0.23%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                           | Other Note or Other Instrument                                             | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | STIV             | CORP              | CA        |     204296 | PA      | $204295.50     | 0.02%             | 2025-11-03      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                      | Auxilior Term Funding LLC, Series 2023-1A, Class E                         | CUSIP: 05335JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $203969.38     | 0.02%             | 2032-12-15      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class D          | CUSIP: 82653BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     532389 | PA      | $533603.25     | 0.04%             | 2041-08-20      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                 | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class C                   | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2994464.23    | 0.23%             | 2042-10-10      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| VERTICAL BRIDGE CC LLC                         | VERTICAL BRIDGE CC LLC, Series 2025-1A, Class C                            | CUSIP: 92535VAU6<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    3144000 | PA      | $3137183.49    | 0.24%             | 2055-08-16      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class A                                       | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12053651 | PA      | $12106774.49   | 0.94%             | 2040-06-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                      | IRV Trust, Series 2025-200P, Class C                                       | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4173741.73    | 0.32%             | 2047-03-14      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                      | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1492426 | PA      | $1499227.34    | 0.12%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1A                           | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    1534167 | PA      | $1537097.35    | 0.12%             | 2055-08-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                          | Taco Bell Funding LLC, Series 2025-1A, Class A2I                           | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3425000 | PA      | $3403782.11    | 0.26%             | 2055-08-25      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-VOLT, Class E                    | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5166760 | PA      | $5156125.97    | 0.40%             | 2036-09-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM2, Class A1                             | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2701410 | PA      | $2723007.64    | 0.21%             | 2070-06-25      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M2                        | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |    5510949 | PA      | $5509731.92    | 0.43%             | 2045-05-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                      | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     211382 | PA      | $211707.97     | 0.02%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class C                                     | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $1791328.89    | 0.14%             | 2036-08-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CALI Mortgage Trust                            | CALI Mortgage Trust, Series 2019-101C, Class B                             | CUSIP: 129890AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1603749.40    | 0.12%             | 2039-03-10      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M2            | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     783000 | PA      | $826961.91     | 0.06%             | 2042-06-25      | Floating      | 8.83%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2025       | GS Mortgage Backed Securities Trust, Series 2025-CES2, Class A1            | CUSIP: 36273BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2059213 | PA      | $2062476.94    | 0.16%             | 2055-09-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1113000 | PA      | $1082328.74    | 0.08%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2021-2, Class G                             | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410302 | PA      | $410594.25     | 0.03%             | 2028-12-26      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund LLC       | Janus Henderson Cash Collateral Fund LLC                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |     817182 | PA      | $817182.00     | 0.06%             | 2025-11-03      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    6288000 | PA      | $6515749.29    | 0.51%             | 2041-09-25      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3721485 | PA      | $3739460.89    | 0.29%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class E736                         | CUSIP: 05494BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405067 | PA      | $2142115.97    | 0.17%             | 2052-09-27      | Variable      | 0.86%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2024-A, Class E                        | CUSIP: 78437PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1030102.17    | 0.08%             | 2032-04-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2025-1A, Class C            | CUSIP: 38411WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1502833.20    | 0.12%             | 2028-08-15      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class B                                      | CUSIP: 31684NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1281000 | PA      | $1277044.53    | 0.10%             | 2055-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2025-1A, Class B                               | CUSIP: 53161AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3109516.69    | 0.24%             | 2039-08-15      | Fixed         | 8.05%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class B          | CUSIP: 67118NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1011590.10    | 0.08%             | 2031-06-17      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class F                   | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1000663.30    | 0.08%             | 2039-03-15      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust     | Exeter Select Automobile Receivables Trust, Series 2025-2, Class D         | CUSIP: 30185EAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2183976.21    | 0.17%             | 2032-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |     133100 | PA      | $4832.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $109143.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class B7                      | CUSIP: 44422PBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $139070.75     | 0.01%             | 2034-08-05      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class E                                         | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3080000 | PA      | $2931860.87    | 0.23%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                    | Ally Auto Receivables Trust, Series 2024-1, Class D                        | CUSIP: 02008FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $509338.28     | 0.04%             | 2032-02-16      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                           | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3130000 | PA      | $3140723.07    | 0.24%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $181018.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                        | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    5274435 | PA      | $5318605.27    | 0.41%             | 2041-11-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1496252.55    | 0.12%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust     | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A         | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     212188 | PA      | $213670.02     | 0.02%             | 2048-04-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2            | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3108409 | PA      | $3252679.41    | 0.25%             | 2041-12-25      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                        | CarMax Auto Owner Trust, Series 2024-1, Class D                            | CUSIP: 14318WAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1620000 | PA      | $1653841.51    | 0.13%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2            | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537442 | PA      | $538962.71     | 0.04%             | 2041-10-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1738000 | PA      | $1648833.65    | 0.13%             | 2055-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust, Series 2025-1A, Class C                      | CUSIP: 43283CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3274648 | PA      | $3317831.32    | 0.26%             | 2042-05-27      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-ROIC, Class E                                        | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2771192 | PA      | $2753626.75    | 0.21%             | 2030-03-15      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $232581.25     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                    | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $2144542.73    | 0.17%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A2                | CUSIP: 20469AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1005809.59    | 0.08%             | 2049-02-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1               | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9295479 | PA      | $9301313.24    | 0.72%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                          | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4501071 | PA      | $4640499.00    | 0.36%             | 2057-10-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class B                              | CUSIP: 74690DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1442000 | PA      | $1456333.05    | 0.11%             | 2055-05-25      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF1, Class A                                      | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1013283 | PA      | $1029548.74    | 0.08%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust, Series 2024-PMDW, Class D                                       | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2870000 | PA      | $2824780.93    | 0.22%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                 | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class B                  | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2475596.27    | 0.19%             | 2034-09-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30930000 | PA      | $28484024.67   | 2.21%             | 2055-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-P1, Class D             | CUSIP: 96043LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2379000 | PA      | $2413983.81    | 0.19%             | 2032-07-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M2                        | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |     990000 | PA      | $990312.00     | 0.08%             | 2044-10-25      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -189990000 | PA      | $-161247362.85 | -12.53%           | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class B                                     | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $235456.22     | 0.02%             | 2036-08-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 5544, Class FC                                        | CUSIP: 3137HLNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11659739 | PA      | $11694024.06   | 0.91%             | 2055-06-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class E                   | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2867000 | PA      | $2867076.00    | 0.22%             | 2042-08-15      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D           | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     545011 | PA      | $556906.63     | 0.04%             | 2032-05-20      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D      | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $506199.24     | 0.04%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class C            | CUSIP: 90945DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1502167.78    | 0.12%             | 2029-10-10      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-FNX, Class A                                         | CUSIP: 05593TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9892917 | PA      | $9897382.32    | 0.77%             | 2041-11-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust      | Santander Consumer Auto Receivables Trust, Series 2021-CA, Class C         | CUSIP: 80281HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      82661 | PA      | $82597.77      | 0.01%             | 2028-06-15      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class D           | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1092007 | PA      | $1103251.83    | 0.09%             | 2032-10-20      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class C            | CUSIP: 38410KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500790.15     | 0.04%             | 2028-03-01      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class F            | CUSIP: 80290CCF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     406922 | PA      | $423111.63     | 0.03%             | 2033-12-15      | Fixed         | 12.24%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |      52836 | PA      | $52963.49      | 0.00%             | 2034-01-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                           | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     633784 | PA      | $638595.35     | 0.05%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                  | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                   | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6902000 | PA      | $6891669.84    | 0.54%             | 2042-03-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-2, Class A1                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3144495 | PA      | $3149366.78    | 0.24%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class B                           | CUSIP: 09531MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $203657.44     | 0.02%             | 2030-11-15      | Fixed         | 9.48%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A         | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3270576 | PA      | $3374534.40    | 0.26%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                       | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $297245.25     | 0.02%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class B                | CUSIP: 68237DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4527458.55    | 0.35%             | 2032-04-19      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class B                     | CUSIP: 525920AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2650000 | PA      | $2696715.44    | 0.21%             | 2029-07-16      | Fixed         | 6.52%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class C                             | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1252419.73    | 0.10%             | 2041-06-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A2       | CUSIP: 67181DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     420934 | PA      | $383063.61     | 0.03%             | 2050-11-20      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class D                                   | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1039701.17    | 0.08%             | 2031-07-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     137282 | PA      | $138007.36     | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-B, Class E                 | CUSIP: 02007G6S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4960000 | PA      | $4960198.40    | 0.39%             | 2033-09-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                        | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |    5436739 | PA      | $5440826.19    | 0.42%             | 2045-09-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust                            | DROP Mortgage Trust, Series 2021-FILE, Class A                             | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3650000 | PA      | $3550747.77    | 0.28%             | 2043-10-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A             | CUSIP: 55068XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     281681 | PA      | $281688.10     | 0.02%             | 2030-07-15      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                   | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4240000 | PA      | $4240620.05    | 0.33%             | 2039-03-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NetCredit Combined Receivables LLC             | NetCredit Combined Receivables LLC, Series 2024-A, Class A                 | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     141849 | PA      | $142175.48     | 0.01%             | 2030-10-21      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC              | Pawneee Equipment Receivables LLC, Series 2022-1, Class D                  | CUSIP: 70410DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $248302.05     | 0.02%             | 2028-07-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2022-1A, Class D                              | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59729 | PA      | $59310.31      | 0.00%             | 2036-08-20      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class E            | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3244745 | PA      | $3275391.15    | 0.25%             | 2032-06-15      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class B                           | CUSIP: 02157JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1767799 | PA      | $1769102.75    | 0.14%             | 2039-05-16      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class F            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2846892 | PA      | $2901528.52    | 0.23%             | 2032-06-15      | Fixed         | 10.17%                | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes           | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class C               | CUSIP: 897926CC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4602729 | PA      | $4603622.31    | 0.36%             | 2033-09-26      | Fixed         | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class B                     | CUSIP: 525935AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508279.48     | 0.04%             | 2029-09-15      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2025-EDU1, Class C         | CUSIP: 07337GAC7<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    3596791 | PA      | $3596775.44    | 0.28%             | 2048-07-27      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1539790 | PA      | $1533267.72    | 0.12%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class F                 | CUSIP: 02007GZ97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     518047 | PA      | $529761.82     | 0.04%             | 2032-05-17      | Fixed         | 9.89%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class E         | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     657964 | PA      | $664528.72     | 0.05%             | 2031-12-26      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES2, Class A1B                     | CUSIP: 89182JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     743697 | PA      | $749373.38     | 0.06%             | 2064-02-25      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class C                | CUSIP: 89616LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $344492.26     | 0.03%             | 2028-01-18      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2024-1A, Class D                        | CUSIP: 501689AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511580.13     | 0.04%             | 2031-06-16      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7650000 | PA      | $7684399.76    | 0.60%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                              | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1806258 | PA      | $1866078.43    | 0.15%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class C                                        | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1114180 | PA      | $1115049.88    | 0.09%             | 2041-04-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Carmax Select Receivables Trust                | Carmax Select Receivables Trust, Series 2025-B, Class D                    | CUSIP: 14320BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3003318.55    | 0.23%             | 2031-07-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class E                                             | CUSIP: 362414AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2017326.65    | 0.16%             | 2041-05-15      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                        | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |    4735500 | PA      | $4739678.90    | 0.37%             | 2045-02-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class A                      | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9990082.36    | 0.78%             | 2040-03-15      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                       | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2237820 | PA      | $2149189.99    | 0.17%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2025-1A, Class B1                | CUSIP: 20469CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5055538.41    | 0.39%             | 2050-05-25      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                           | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2880839 | PA      | $2894041.91    | 0.22%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M3                          | CUSIP: 46591HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375671 | PA      | $389955.63     | 0.03%             | 2057-10-25      | Floating      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class D                      | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3675000 | PA      | $3693065.66    | 0.29%             | 2042-10-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class F                                        | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3088000 | PA      | $3081579.29    | 0.24%             | 2036-10-15      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4477772 | PA      | $4520293.72    | 0.35%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                           | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-O            | CORP              | US        |     222850 | PA      | $224625.72     | 0.02%             | 2055-06-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279843 | PA      | $1203073.45    | 0.09%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Affirm Master Trust                            | Affirm Master Trust, Series 2025-3A, Class D                               | CUSIP: 00833BAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7274000 | PA      | $7150257.55    | 0.56%             | 2034-10-16      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2024-1A, Class D                          | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1225223 | PA      | $1290084.23    | 0.10%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class E                      | CUSIP: 30227TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3675000 | PA      | $3689330.08    | 0.29%             | 2042-10-15      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-X1, Class C                 | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      41225 | PA      | $41264.47      | 0.00%             | 2028-11-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B1            | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2286086.68    | 0.18%             | 2041-12-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                            | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400119 | PA      | $392326.64     | 0.03%             | 2048-11-27      | Variable      | 0.66%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES2, Class A1A              | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1297446 | PA      | $1306370.38    | 0.10%             | 2060-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class D                            | CUSIP: 91823ABE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1515410.40    | 0.12%             | 2054-05-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65610000 | PA      | $66290375.70   | 5.15%             | 2055-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321901 | PA      | $324351.18     | 0.03%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FinBe USA Trust                                | FinBe USA Trust, Series 2025-1A, Class B                                   | CUSIP: 317967AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3169743.53    | 0.25%             | 2030-12-16      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1            | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3705231 | PA      | $3712004.76    | 0.29%             | 2045-05-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                        | Carmax Auto Owner Trust, Series 2025-4, Class D                            | CUSIP: 14320HAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1746747.01    | 0.14%             | 2032-05-17      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                   | Olympic Tower Mortgage Trust, Series 2017-OT, Class A                      | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9025000 | PA      | $8587339.21    | 0.67%             | 2039-05-10      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1              | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3070000 | PA      | $3077700.48    | 0.24%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class F                            | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1150000 | PA      | $1184226.65    | 0.09%             | 2054-05-15      | Fixed         | 8.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                       | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4872517 | PA      | $4888136.95    | 0.38%             | 2055-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B1            | CUSIP: 20754KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141001 | PA      | $1166049.81    | 0.09%             | 2041-11-25      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                           | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $702333.66     | 0.05%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class D                      | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4737182 | PA      | $4741998.87    | 0.37%             | 2039-02-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class C                | CUSIP: 68237DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2511698.75    | 0.20%             | 2032-04-19      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class D            | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $602174.16     | 0.05%             | 2028-03-01      | Floating      | 11.51%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1            | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3057476.78    | 0.24%             | 2041-10-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class D                   | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1175000 | PA      | $1175645.99    | 0.09%             | 2039-03-15      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Pear LLC                                       | Pear LLC, Series 2024-1, Class A                                           | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     284954 | PA      | $287584.50     | 0.02%             | 2036-02-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| DC Trust                                       | DC Trust, Series 2024-HLTN, Class C                                        | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1500300.38    | 0.12%             | 2040-04-13      | Variable      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class D         | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     727309 | PA      | $743386.56     | 0.06%             | 2047-06-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $6582747.97    | 0.51%             | 2041-10-25      | Floating      | 11.68%                | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class E                     | CUSIP: 46591HCV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5018085 | PA      | $4982556.72    | 0.39%             | 2033-02-25      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                 | SWCH Commercial Mortgage Trust, Series 2025-DATA, Class E                  | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2928737.05    | 0.23%             | 2042-02-15      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class D                                        | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5942296 | PA      | $5952978.01    | 0.46%             | 2041-04-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10                    | CUSIP: 44422PBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859000 | PA      | $804255.38     | 0.06%             | 2034-08-05      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class C                    | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1389000 | PA      | $1339264.85    | 0.10%             | 2035-11-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                    | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1850000 | PA      | $1841328.33    | 0.14%             | 2041-10-15      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1B       | CUSIP: 79581XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4992207.58    | 0.39%             | 2055-10-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX1, Class A1                      | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |    4926995 | PA      | $4922621.86    | 0.38%             | 2065-09-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2025-1A, Class D                            | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5368000 | PA      | $5380113.75    | 0.42%             | 2035-07-16      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1640000 | PA      | $1656801.47    | 0.13%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839000 | PA      | $840977.52     | 0.07%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class C           | CUSIP: 446438SZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2618167 | PA      | $2634681.96    | 0.20%             | 2033-03-21      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2025-3, Class C                       | CUSIP: 91684FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2473000 | PA      | $2449205.42    | 0.19%             | 2035-09-20      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-CGS, Class B                    | CUSIP: 20267XAC7<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |      98238 | PA      | $94399.00      | 0.01%             | 2046-02-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P3, Class D                    | CUSIP: 14688AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2955342.27    | 0.23%             | 2033-09-12      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1945522 | PA      | $1901369.08    | 0.15%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1             | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1629421 | PA      | $1619204.97    | 0.13%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class D                                  | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2373000 | PA      | $2393150.37    | 0.19%             | 2031-09-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Zais CLO 11 Ltd.                               | Zais CLO 11 Ltd., Series 2018-11A, Class BR                                | CUSIP: 98887YAQ0<br>LEI: 549300FPW2E2MXLOFH93 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2504906.75    | 0.19%             | 2032-01-20      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2017-AGS, Class B                    | CUSIP: 20267VAC1<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |     172925 | PA      | $158462.40     | 0.01%             | 2041-05-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES4, Class A1A                           | CUSIP: 74937YAA6<br>LEI: 254900VY2F6O6C6XTD40 | Long             | ABS-O            | CORP              | US        |    5062127 | PA      | $5117594.37    | 0.40%             | 2055-04-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL5, Class D                     | CUSIP: 05612GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3593002 | PA      | $3593883.79    | 0.28%             | 2041-03-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2024-1A, Class A                               | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1996160.00    | 0.16%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class D                                        | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $3294249.27    | 0.26%             | 2036-10-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A           | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4333000 | PA      | $4362100.43    | 0.34%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                         | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1950478 | PA      | $1971734.75    | 0.15%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-1PL, Class D                                   | CUSIP: 00091XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     744760 | PA      | $752291.27     | 0.06%             | 2030-03-18      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class D                              | CUSIP: 90367VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2521058.25    | 0.20%             | 2032-12-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-1A, Class C                                  | CUSIP: 30340RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2854000 | PA      | $2770611.72    | 0.22%             | 2031-08-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class C                                      | CUSIP: 31684UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     757451 | PA      | $757924.51     | 0.06%             | 2054-09-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                      | Jersey Mike's Funding LLC, Series 2019-1A, Class A2                        | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1970000 | PA      | $1963578.98    | 0.15%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2246489 | PA      | $2193675.01    | 0.17%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP2, Class F                                     | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2334000 | PA      | $2329738.44    | 0.18%             | 2036-11-15      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A2              | CUSIP: 43789FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3391000 | PA      | $3397960.03    | 0.26%             | 2029-07-25      | Variable      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class C           | CUSIP: 44644NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1453363 | PA      | $1471686.74    | 0.11%             | 2032-05-20      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class D          | CUSIP: 82653HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900050 | PA      | $3897850.48    | 0.30%             | 2044-04-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class D                                        | CUSIP: 74939RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1725538.17    | 0.13%             | 2034-07-25      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class B                                            | CUSIP: 751313AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     420890 | PA      | $420970.26     | 0.03%             | 2039-02-15      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class E                              | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050000 | PA      | $1042085.83    | 0.08%             | 2038-03-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-HE1, Class A2                       | CUSIP: 89183LAD7<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4309606.05    | 0.33%             | 2065-07-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class B10                    | CUSIP: 44422PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2426270.64    | 0.19%             | 2034-08-05      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class D                    | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2489072 | PA      | $2491718.79    | 0.19%             | 2041-10-15      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                   | Drive Auto Receivables Trust, Series 2025-1, Class D                       | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4077000 | PA      | $4100045.36    | 0.32%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class D                | CUSIP: 89616LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $816201.86     | 0.06%             | 2028-04-17      | Fixed         | 8.61%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class C                    | CUSIP: 05613QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1918360 | PA      | $1921130.57    | 0.15%             | 2041-10-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class D                      | CUSIP: 92943PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $499659.15     | 0.04%             | 2040-03-15      | Variable      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2024-1A, Class C                               | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1565617.05    | 0.12%             | 2054-06-20      | Fixed         | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2025-2A, Class C                     | CUSIP: 52611JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2921000 | PA      | $2884765.88    | 0.22%             | 2031-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class E                                        | CUSIP: 05610AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546700 | PA      | $546163.60     | 0.04%             | 2039-04-15      | Floating      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                      | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1928006 | PA      | $1936745.18    | 0.15%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                        | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808470 | PA      | $1800665.35    | 0.14%             | 2026-10-15      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class A                        | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     166199 | PA      | $170031.73     | 0.01%             | 2035-04-17      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class C                              | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     662600 | PA      | $671428.91     | 0.05%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class C          | CUSIP: 67118NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1022503.50    | 0.08%             | 2031-06-17      | Fixed         | 8.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                      | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12816584 | PA      | $12836996.64   | 1.00%             | 2055-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-MGP, Class C11          | CUSIP: 95003TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3093658.18    | 0.24%             | 2041-08-15      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class C           | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1716877 | PA      | $1733130.59    | 0.13%             | 2032-10-20      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class C         | CUSIP: 07336PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     748701 | PA      | $748287.54     | 0.06%             | 2047-06-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1D                 | CUSIP: 00834BAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $502007.69     | 0.04%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| S&P 500 E-Mini Index                           | S&P 500 Emini Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -89 | NC      | $-121262.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-1A, Class D                            | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $717664.62     | 0.06%             | 2033-04-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| S&P 500 E-Mini Index                           | S&P 500 Emini Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -89 | NC      | $-151300.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Mello Warehouse Securitization Trust           | Mello Warehouse Securitization Trust, Series 2024-1, Class F               | CUSIP: 58553FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542000 | PA      | $540306.20     | 0.04%             | 2057-10-25      | Floating      | 9.24%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class F                     | CUSIP: 46591HCW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2216469 | PA      | $2244472.16    | 0.17%             | 2033-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| OPEN Trust                                     | OPEN Trust, Series 2023-AIR, Class B                                       | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2080000 | PA      | $2081058.39    | 0.16%             | 2040-11-15      | Floating      | 7.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                        | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1619543.22    | 0.13%             | 2041-12-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2023-K511, Class C                            | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3746616.00    | 0.29%             | 2028-11-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                        | MVW LLC, Series 2025-1A, Class C                                           | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1342243 | PA      | $1369535.93    | 0.11%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6178151 | PA      | $6039172.74    | 0.47%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF4, Class A2                                       | CUSIP: 69382WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4655905.92    | 0.36%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class C                                      | CUSIP: 31684GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2717131 | PA      | $2764078.94    | 0.21%             | 2054-07-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| TSC SPV Funding LLC                            | TSC SPV Funding LLC, Series 2024-1A, Class A2                              | CUSIP: 898912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1488750 | PA      | $1503766.97    | 0.12%             | 2054-08-20      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2                        | CUSIP: 35564KQZ5<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |    2350000 | PA      | $2487313.43    | 0.19%             | 2042-01-25      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class D            | CUSIP: 90945DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1003727.01    | 0.08%             | 2029-11-12      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class E                                        | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4147000 | PA      | $4138493.63    | 0.32%             | 2041-06-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B2                | CUSIP: 20469AAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3261322.97    | 0.25%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class C                                      | CUSIP: 31684NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1454000 | PA      | $1449551.92    | 0.11%             | 2055-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class F                    | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2660000 | PA      | $2659032.59    | 0.21%             | 2038-04-15      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                          | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6230876 | PA      | $6425355.59    | 0.50%             | 2057-10-25      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    3856000 | PA      | $4058250.13    | 0.32%             | 2042-03-25      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                       | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2447988 | PA      | $2462938.02    | 0.19%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     974079 | PA      | $955181.07     | 0.07%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                   | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4904000 | PA      | $4885225.34    | 0.38%             | 2035-03-15      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                      | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1807707 | PA      | $1822507.76    | 0.14%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2023-3, Class B                       | CUSIP: 91684MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $513469.79     | 0.04%             | 2033-10-20      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   54609806 | NS      | $54620728.27   | 4.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class E            | CUSIP: 80290CBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21958 | PA      | $22026.02      | 0.00%             | 2033-06-15      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class A2                             | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5517000 | PA      | $5588771.64    | 0.43%             | 2055-05-25      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2024-1A, Class C                                | CUSIP: 30227XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1541188.56    | 0.12%             | 2054-07-25      | Fixed         | 9.05%                 | Yes           |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                  | Radian Mortgage Capital Trust, Series 2025-J4, Class A25                   | CUSIP: 75024UBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8017000 | PA      | $8016227.16    | 0.62%             | 2056-03-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A2        | CUSIP: 79585UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1462874.99    | 0.11%             | 2030-07-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                          | Theorem Funding Trust, Series 2022-3A, Class B                             | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     822418 | PA      | $836410.15     | 0.07%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A2                           | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1175000 | PA      | $1189862.34    | 0.09%             | 2029-03-25      | Variable      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class C                      | CUSIP: 05612EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309909 | PA      | $310064.61     | 0.02%             | 2039-02-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A         | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4040281 | PA      | $4171019.73    | 0.32%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class G                    | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1020000 | PA      | $1020050.45    | 0.08%             | 2038-04-15      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1            | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3091021 | PA      | $3090565.40    | 0.24%             | 2044-07-25      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                   | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      29286 | PA      | $29526.94      | 0.00%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC             | MetroNet Infrastructure Issuer LLC, Series 2025-2A, Class A2               | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8289606.86    | 0.64%             | 2055-08-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class D                    | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2427094.94    | 0.19%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1   | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     887058 | PA      | $868500.25     | 0.07%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2025-1A, Class A                               | CUSIP: 53161AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10200000 | PA      | $10258409.28   | 0.80%             | 2039-08-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class A                                      | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10863417 | PA      | $10948853.66   | 0.85%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        455 | NC      | $-88714.99     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1   | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |    2771764 | PA      | $2695061.94    | 0.21%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-2A, Class D                            | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $923044.65     | 0.07%             | 2033-06-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust     | Exeter Select Automobile Receivables Trust, Series 2025-3, Class D         | CUSIP: 30185FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1794874.55    | 0.14%             | 2032-05-17      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class D          | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     471062 | PA      | $475749.77     | 0.04%             | 2041-06-20      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust, Series 2025-2A, Class C                      | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2730692 | PA      | $2737276.37    | 0.21%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX                                             | BX, Series 2021-MFM1, Class E                                              | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3733520 | PA      | $3731361.85    | 0.29%             | 2034-01-15      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                          | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4483275 | PA      | $4481224.96    | 0.35%             | 2028-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-BGS, Class C                    | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |      84418 | PA      | $73595.69      | 0.01%             | 2045-09-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class D                                        | CUSIP: 05612TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1096560.21    | 0.09%             | 2041-06-15      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                           | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    3766000 | PA      | $3784636.80    | 0.29%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                           | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2311000 | PA      | $2321726.28    | 0.18%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Atlas Warehouse Lending Co. LP                 | Atlas Warehouse Lending Co. LP                                             | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |    4854000 | PA      | $5083891.36    | 0.40%             | 2030-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P3, Class C                    | CUSIP: 14688AAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $987419.71     | 0.08%             | 2032-01-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1            | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7305719 | PA      | $7312498.61    | 0.57%             | 2045-01-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                   | JW Commercial Mortgage Trust, Series 2024-MRCO, Class C                    | CUSIP: 46657XAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1502724.23    | 0.12%             | 2039-06-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC         | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1            | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     615000 | PA      | $513132.81     | 0.04%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-CES3, Class M1                      | CUSIP: 891949AC3<br>LEI: 254900XDQGDYHMUKZJ77 | Long             | ABS-O            | CORP              | US        |    2060000 | PA      | $2049084.19    | 0.16%             | 2065-08-25      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2025-1A, Class E                   | CUSIP: 73747LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2031885.20    | 0.16%             | 2032-05-17      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Lennar Corp.                                   | Lennar Corp., Class A                                                      | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |      14999 | NS      | $1856426.23    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class B                 | CUSIP: 224092AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $254963.96     | 0.02%             | 2032-03-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class E                   | CUSIP: 737473AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $459693.72     | 0.04%             | 2031-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class C                                  | CUSIP: 31568AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1013218.15    | 0.08%             | 2031-05-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Dext ABS LLC                                   | Dext ABS LLC, Series 2023-2, Class D                                       | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $318536.46     | 0.02%             | 2034-05-15      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                        | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1025569.91    | 0.08%             | 2041-11-25      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1B                           | CUSIP: 74942JAB0<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    3897472 | PA      | $3892300.45    | 0.30%             | 2055-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25880000 | PA      | $25225805.36   | 1.96%             | 2055-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class A2                                 | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1114653 | PA      | $1120268.71    | 0.09%             | 2030-06-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        590 | NC      | $-56138.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class F            | CUSIP: 80280BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     865838 | PA      | $873492.12     | 0.07%             | 2033-01-18      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -61440000 | PA      | $-61131571.20  | -4.75%            | 2055-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding LLC                           | Coinstar Funding LLC, Series 2017-1A, Class A2                             | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2745000 | PA      | $2518648.77    | 0.20%             | 2047-04-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |     920527 | PA      | $33240.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-J3, Class AF                                        | CUSIP: 67449KAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7972000 | PA      | $7971805.48    | 0.62%             | 2055-10-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-FL1, Class A2                                     | CUSIP: 31684QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4238664 | PA      | $4242615.41    | 0.33%             | 2055-07-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES1, Class A1A              | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3861055 | PA      | $3892476.87    | 0.30%             | 2060-05-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-2A, Class C                                   | CUSIP: 75525QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2593000 | PA      | $2620793.55    | 0.20%             | 2032-08-18      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4408527 | PA      | $4425575.62    | 0.34%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   57605000 | PA      | $58902840.65   | 4.58%             | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4940434 | PA      | $4962184.99    | 0.39%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1585551 | PA      | $1352263.79    | 0.11%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1   | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |    2194116 | PA      | $2142434.77    | 0.17%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1682 | NC      | $-519570.83    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-3A, Class E               | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2809478.74    | 0.22%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                    | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3991885 | PA      | $4018456.18    | 0.31%             | 2041-10-15      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-3, Class D                   | CUSIP: 83390JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1801828.62    | 0.14%             | 2034-08-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E            | CUSIP: 80290CCE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1356408 | PA      | $1376578.84    | 0.11%             | 2033-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class D                   | CUSIP: 737473AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $409185.76     | 0.03%             | 2030-10-15      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A2             | CUSIP: 10637YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2560000 | PA      | $2459609.86    | 0.19%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                | FREED ABS Trust, Series 2022-1FP, Class D                                  | CUSIP: 35633KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      28758 | PA      | $28723.47      | 0.00%             | 2029-03-19      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-TAIL, Class D                                        | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5995269.92    | 0.47%             | 2035-06-15      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class A                 | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     103374 | PA      | $104152.62     | 0.01%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                      | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1807707 | PA      | $1819252.44    | 0.14%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-A, Class B                      | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     103500 | PA      | $100666.35     | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2025-SF1, Class D                      | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1766763.75    | 0.14%             | 2031-09-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust      | Bayview Opportunity Master Fund VII Trust, Series 2024-SN1, Class D        | CUSIP: 072926AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $510333.54     | 0.04%             | 2029-07-16      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class D                                       | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2333000 | PA      | $2347072.80    | 0.18%             | 2040-06-15      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class D                | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3240000 | PA      | $614872.83     | 0.05%             | 2031-04-15      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2475000 | PA      | $2408331.67    | 0.19%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2021-AGS, Class B                    | CUSIP: 20268WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     193056 | PA      | $150959.78     | 0.01%             | 2052-03-25      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class C                                | CUSIP: 39152MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1260000 | PA      | $1263326.39    | 0.10%             | 2039-03-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class D                             | CUSIP: 20047DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1254173.84    | 0.10%             | 2041-06-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-B, Class B                      | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     106143 | PA      | $101481.10     | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2016-667M, Class A                             | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2120000 | PA      | $1872460.09    | 0.15%             | 2036-10-10      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                        | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   16814815 | PA      | $16851572.32   | 1.31%             | 2045-02-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class B             | CUSIP: 55068XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $299633.31     | 0.02%             | 2030-07-15      | Fixed         | 10.49%                | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC    | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class E       | CUSIP: 03237CAF9<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |     375000 | PA      | $384901.95     | 0.03%             | 2032-04-20      | Fixed         | 9.66%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                           | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2578641 | PA      | $2577519.14    | 0.20%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3040000 | PA      | $3071241.47    | 0.24%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1M1            | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2395000 | PA      | $2396409.90    | 0.19%             | 2045-09-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class C                 | CUSIP: 224092AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $248509.80     | 0.02%             | 2032-03-15      | Fixed         | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class F                 | CUSIP: 02007G5J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     671696 | PA      | $675355.93     | 0.05%             | 2033-06-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-2A, Class D             | CUSIP: 96041KAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6450000 | PA      | $6460268.67    | 0.50%             | 2031-05-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-X1, Class C                 | CUSIP: 00834XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2506245.42    | 0.19%             | 2029-05-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class C                     | CUSIP: 525920AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4515788.90    | 0.35%             | 2031-05-15      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                            | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5160000 | PA      | $5162071.74    | 0.40%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                            | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $393123.24     | 0.03%             | 2048-11-27      | Variable      | 0.71%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                     | Garda World Security Corp.                                                 | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    1333000 | PA      | $1300317.51    | 0.10%             | 2029-06-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: —       |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B         | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1805329 | PA      | $1820171.73    | 0.14%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                           | CUSIP: 74943AAB8<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    1442969 | PA      | $1449110.73    | 0.11%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1584898 | PA      | $1591447.38    | 0.12%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Ares LXXI CLO Ltd.                             | Ares LXXI CLO Ltd., Series 2024-71A, Class A2                              | CUSIP: 04020MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5014501.00    | 0.39%             | 2037-04-20      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class E                 | CUSIP: 02007G5H2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1522510 | PA      | $1513215.60    | 0.12%             | 2033-06-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class C                              | CUSIP: 90367VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1515106.73    | 0.12%             | 2031-03-17      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF2, Class B                                      | CUSIP: 316918AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2463814 | PA      | $2443368.24    | 0.19%             | 2055-10-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK73                         | CUSIP: 05494BAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1784783 | PA      | $1344245.37    | 0.10%             | 2051-02-27      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278884 | PA      | $280160.00     | 0.02%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1B                           | CUSIP: 74939WAB6<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    1311246 | PA      | $1311707.63    | 0.10%             | 2055-08-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2022-BMR2, Class D                             | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2215000 | PA      | $1984897.11    | 0.15%             | 2039-05-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class B                      | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7517610.24    | 0.58%             | 2042-10-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                           | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1198607 | PA      | $1201273.22    | 0.09%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                     | PRM7 Trust, Series 2025-PRM7, Class E                                      | CUSIP: 74290HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2385000 | PA      | $2351722.72    | 0.18%             | 2042-11-10      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class C                          | CUSIP: 35042NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4941572.16    | 0.38%             | 2052-04-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class C          | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3002031.95    | 0.23%             | 2044-08-22      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| VERTICAL BRIDGE CC LLC                         | VERTICAL BRIDGE CC LLC, Series 2025-1A, Class D                            | CUSIP: 92535VAW2<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3075244.95    | 0.24%             | 2055-08-16      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                     | CONE Trust, Series 2024-DFW1, Class A                                      | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2165000 | PA      | $2163444.88    | 0.17%             | 2041-08-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B      | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1504328.65    | 0.12%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                            | TYSN Mortgage Trust, Series 2023-CRNR, Class A                             | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $525868.20     | 0.04%             | 2033-12-10      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7                      | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17720 | PA      | $17636.87      | 0.00%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-1A, Class C                                   | CUSIP: 75526PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2295000 | PA      | $2360751.16    | 0.18%             | 2031-02-18      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class D                                             | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $3751239.56    | 0.29%             | 2041-06-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class F                 | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1199220 | PA      | $1214034.61    | 0.09%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class G            | CUSIP: 80280BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     865838 | PA      | $873181.55     | 0.07%             | 2033-01-18      | Fixed         | 12.23%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                       | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369875 | PA      | $368268.37     | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class D                                         | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2310000 | PA      | $2225843.16    | 0.17%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIV LLC     | Amur Equipment Finance Receivables XIV LLC, Series 2024-2A, Class E        | CUSIP: 03238BAF0<br>LEI: 254900VBZK8DVZNJFJ70 | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $512086.85     | 0.04%             | 2032-10-20      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding                          | Jersey Mike's Funding, Series 2025-1A, Class A2                            | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4690694.75    | 0.36%             | 2055-08-16      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1899774.47    | 0.15%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class E                                      | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $294127.36     | 0.02%             | 2038-11-15      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class D                      | CUSIP: 83589CAE8<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1003150.30    | 0.08%             | 2031-12-22      | Fixed         | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XV LLC      | Amur Equipment Finance Receivables XV LLC, Series 2025-1A, Class D         | CUSIP: 03237FAE5<br>LEI: 254900UXD59DZRJ7U848 | Long             | ABS-O            | CORP              | US        |    3129000 | PA      | $3177129.96    | 0.25%             | 2032-08-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| AB BSL CLO 1 Ltd.                              | AB BSL CLO 1 Ltd., Series 2020-1A, Class A2R2                              | CUSIP: 00038KBL4<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |   11000000 | PA      | $11003014.00   | 0.86%             | 2038-10-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A2          | CUSIP: 05601DAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1504304.12    | 0.12%             | 2027-07-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class C                                  | CUSIP: 30336NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1202000 | PA      | $1174024.99    | 0.09%             | 2030-07-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class C                      | CUSIP: 92943PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2492736.17    | 0.19%             | 2040-03-15      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-6, Class A2                          | CUSIP: 034937AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1830709 | PA      | $1844140.95    | 0.14%             | 2070-04-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Churchill Downs, Inc.                          | Churchill Downs, Inc.                                                      | CUSIP: 171484108<br>LEI: 529900FODTBQC8MIS994 | Long             | EC               | CORP              | US        |       2695 | NS      | $267344.00     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class D           | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1131547 | PA      | $1131535.24    | 0.09%             | 2033-03-21      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF5, Class A2                                       | CUSIP: 69384AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $5481810.40    | 0.43%             | 2055-10-25      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class B                | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     218055 | PA      | $216526.29     | 0.02%             | 2048-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60613000 | PA      | $62755669.55   | 4.88%             | 2055-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES1, Class A1B                     | CUSIP: 89183CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     609418 | PA      | $612539.15     | 0.05%             | 2064-01-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class B           | CUSIP: 22689LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     772727 | PA      | $766107.68     | 0.06%             | 2031-01-20      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2            | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6219572 | PA      | $6252058.49    | 0.49%             | 2041-12-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class F                                            | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2025000 | PA      | $2005791.80    | 0.16%             | 2039-01-15      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class D                                | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4425000 | PA      | $4452324.78    | 0.35%             | 2039-03-15      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                           | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3361326 | PA      | $3380745.72    | 0.26%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A1                | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $302138.24     | 0.02%             | 2049-02-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                               | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3007586 | PA      | $3023664.78    | 0.24%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25640000 | PA      | $22712553.00   | 1.77%             | 2055-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                         | Chase Auto Owner Trust, Series 2025-1A, Class D                            | CUSIP: 16145NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3600000 | PA      | $3611723.11    | 0.28%             | 2032-11-26      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class B                                  | CUSIP: 31568AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1196850.37    | 0.09%             | 2030-03-15      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                          | HPEFS Equipment Trust, Series 2025-2A, Class D                             | CUSIP: 442927AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5984632.43    | 0.47%             | 2033-05-20      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2025-J3, Class A35                                  | CUSIP: 69392XBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8028000 | PA      | $8028504.96    | 0.62%             | 2056-11-27      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class C                           | CUSIP: 09531MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     546000 | PA      | $531105.28     | 0.04%             | 2030-11-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-1, Class D                   | CUSIP: 83406YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3032148.56    | 0.24%             | 2034-02-27      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class E                 | CUSIP: 02007GZ89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     406667 | PA      | $413231.48     | 0.03%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A2                           | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1422098.30    | 0.11%             | 2029-05-25      | Variable      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-VLT7, Class E                                        | CUSIP: 123913AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9966000 | PA      | $10028496.86   | 0.78%             | 2044-07-15      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                           | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-O            | CORP              | US        |    4287449 | PA      | $4320015.56    | 0.34%             | 2055-05-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class C                | CUSIP: 89617CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11502000 | PA      | $2617126.05    | 0.20%             | 2029-10-15      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class E            | CUSIP: 80280BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     240511 | PA      | $241242.26     | 0.02%             | 2033-01-18      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class C           | CUSIP: 22689LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     772727 | PA      | $753467.10     | 0.06%             | 2031-01-20      | Fixed         | 10.16%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2            | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1054000 | PA      | $1054457.27    | 0.08%             | 2045-01-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class D                              | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2031651.12    | 0.16%             | 2040-02-12      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M2            | CUSIP: 20755TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5168240 | PA      | $5172878.64    | 0.40%             | 2045-05-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                        | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2033183.52    | 0.16%             | 2041-09-25      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B            | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1724000 | PA      | $1726204.65    | 0.13%             | 2028-03-01      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class D               | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $505660.93     | 0.04%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -108 | NC      | $-499610.92    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class D            | CUSIP: 94990GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2776000 | PA      | $2776251.91    | 0.22%             | 2038-03-15      | Variable      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    7158664 | PA      | $7396279.61    | 0.57%             | 2042-02-25      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class D                                            | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $6222780.32    | 0.48%             | 2039-01-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -297 | NC      | $-402797.34    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class D                          | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     993561 | PA      | $1056573.52    | 0.08%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                     | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10613938 | PA      | $10623980.14   | 0.83%             | 2039-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2023-1A, Class D                              | CUSIP: 96033EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     128517 | PA      | $131141.40     | 0.01%             | 2037-12-20      | Fixed         | 10.14%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                        | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    3719000 | PA      | $3921352.63    | 0.30%             | 2041-12-25      | Floating      | 11.18%                | Yes           |                  2 | On Loan: No      |
| Affirm Master Trust                            | Affirm Master Trust, Series 2025-3A, Class B                               | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3485815.08    | 0.27%             | 2034-10-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                          | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11818440 | PA      | $11804305.83   | 0.92%             | 2030-07-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2024-1A, Class C                | CUSIP: 74363CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $757523.70     | 0.06%             | 2029-08-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class D                              | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     662600 | PA      | $673385.99     | 0.05%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                         | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3672000 | PA      | $3737038.46    | 0.29%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class C                                      | CUSIP: 12659VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3446000 | PA      | $3410791.92    | 0.27%             | 2038-11-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E            | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1735000 | PA      | $1742482.88    | 0.14%             | 2038-03-15      | Variable      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class A                                     | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820000 | PA      | $792871.13     | 0.06%             | 2036-08-15      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2            | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2647442 | PA      | $2649352.33    | 0.21%             | 2044-09-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                          | Kioxia Holdings Corp.                                                      | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    3000000 | PA      | $3129324.84    | 0.24%             | 2033-07-24      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class F                              | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1541000 | PA      | $1102742.66    | 0.09%             | 2040-02-12      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class E                                        | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1497450.69    | 0.12%             | 2036-10-15      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                             | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100903 | PA      | $99629.21      | 0.01%             | 2035-08-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-LUNR, Class D                                        | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3822340 | PA      | $3831592.79    | 0.30%             | 2040-06-15      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-GPA3, Class C                    | CUSIP: 123910AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2165574 | PA      | $2169499.52    | 0.17%             | 2039-12-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class B                       | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1556583 | PA      | $1600394.67    | 0.12%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class C                      | CUSIP: 83589CAD0<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |    4250000 | PA      | $4270592.53    | 0.33%             | 2031-12-22      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class E               | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $780769.58     | 0.06%             | 2031-08-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class C                                         | CUSIP: 90357PAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      64160 | PA      | $65234.68      | 0.01%             | 2032-08-25      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE5, Class B                                      | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5244786 | PA      | $5256853.38    | 0.41%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                  | NYC Commercial Mortgage Trust, Series 2025-1155, Class A                   | CUSIP: 67122BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7007000 | PA      | $7177445.65    | 0.56%             | 2042-06-10      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class D           | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     563788 | PA      | $564281.67     | 0.04%             | 2033-09-20      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2021-N3, Class E                    | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4057488 | PA      | $3957096.75    | 0.31%             | 2028-06-12      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| RCKTL                                          | RCKTL, Series 2025-2A, Class C                                             | CUSIP: 74939HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2494074.08    | 0.19%             | 2034-11-27      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES10, Class A1A                          | CUSIP: 74939LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1063000 | PA      | $1059275.16    | 0.08%             | 2055-11-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class B                        | CUSIP: 08862HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     390224 | PA      | $400462.40     | 0.03%             | 2035-04-17      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FS Commercial Mortgage Trust                   | FS Commercial Mortgage Trust, Series 2023-4SZN, Class D                    | CUSIP: 30334RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5750000 | PA      | $5902941.30    | 0.46%             | 2039-11-10      | Variable      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                          | Switch ABS Issuer LLC, Series 2025-2A, Class A22                           | CUSIP: 871044AU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3007621.28    | 0.23%             | 2055-10-25      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                        | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    4100848 | PA      | $4129847.18    | 0.32%             | 2041-09-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B2                        | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $5088438.23    | 0.40%             | 2041-11-25      | Floating      | 11.98%                | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-1A, Class C                                   | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2009337.35    | 0.16%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2024-1A, Class D                   | CUSIP: 97415AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2538807.03    | 0.20%             | 2032-09-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                 | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class B                  | CUSIP: 669985AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4500312.48    | 0.35%             | 2040-10-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                        | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    1417000 | PA      | $1445739.59    | 0.11%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                        | Sandstone Peak III Ltd., Series 2024-1A, Class C                           | CUSIP: 799928AJ5<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2514028.75    | 0.20%             | 2037-04-25      | Floating      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-BIO, Class C                                         | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3107000 | PA      | $3077765.01    | 0.24%             | 2041-02-15      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                            | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     931957 | PA      | $932076.76     | 0.07%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-01

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer