# EDGAR Filing Document

**Accession Number:** 0000792858
**File Stem:** 0001145549-23-004245
**Filing Date:** 2023-1
**Character Count:** 111835
**Document Hash:** bab4915b9d2298b91030d7fd58cab9a4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-004245.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001145549-23-004245

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JOHN HANCOCK STRATEGIC SERIES
- **CENTRAL INDEX KEY:** 0000792858
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04651
- **FILM NUMBER:** 23562167

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HANCOCK JOHN STRATEGIC SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HANCOCK JOHN HIGH INCOME TRUST
- **DATE OF NAME CHANGE:** 19911118

## Series and Classes Contracts Data

### John Hancock Managed Account Shares Securitized Debt Portfolio (Series ID: S000065850)

| Class ID   | Class Name                                                     | Ticker Symbol   |
|:---|:---|:---|
| C000212732 | John Hancock Managed Account Shares Securitized Debt Portfolio | JMAEX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Strategic Series

- **b. Investment Company Act file number:** 811-04651

- **c. CIK number of Registrant:** 0000792858

- **d. LEI of Registrant:** 549300EHS8HZVU6EA108

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-312-0176

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

- **a. Name of Series:** John Hancock Managed Account Shares Securitized Debt Portfolio

- **b. EDGAR series identifier (if any):** S000065850

- **c. LEI of Series:** 549300MFZ8GMNFIW3214

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $75267964.77

**Total Liabilities:** $1459661.64

**Net Assets:** $73808303.13

**Cash Not Reported:** $1880563.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -203.537645000000 | **1-Year:** -5451.674458000000 | **5-Year:** -10005.933970000000 | **10-Year:** -3975.771818000000 | **30-Year:** -568.030151000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212732 | -1.91%               | -1.27%               | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-21097.51               | $-1303505.68                               |
| Month 2  | $-37376.46               | $-934498.12                                |
| Month 3  | $-26542.23               | $661329.69                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A     | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239141 | PA      | $198862.70    | 0.27%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A    | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239000 | PA      | $196365.51    | 0.27%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2017 1A A23 144A  | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715328 | PA      | $655934.57    | 0.89%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2019 1A A2 144A   | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356908 | PA      | $301745.31    | 0.41%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2021 1A A2I 144A  | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    758450 | PA      | $634399.43    | 0.86%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2021 1A A2 144A         | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182160 | PA      | $144365.26    | 0.20%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A A 144A     | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A A 144A     | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96371 | PA      | $85750.94     | 0.12%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 201 EHGVT 2019 A A 144A     | ELARA HGV TIMESHARE ISSUER 201 EHGVT 2019 A A 144A     | CUSIP: 28416TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216922 | PA      | $200994.38    | 0.27%             | 2034-01-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P4 A2         | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P4 A2         | CUSIP: 29429EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734602 | PA      | $689870.33    | 0.93%             | 2049-07-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 PRM A 144A    | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 PRM A 144A    | CUSIP: 29429JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $308992.89    | 0.42%             | 2036-05-10      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 SMRT A 144A   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 SMRT A 144A   | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $267432.03    | 0.36%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES EART 2021 1A C           | EXETER AUTOMOBILE RECEIVABLES EART 2021 1A C           | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173361 | PA      | $169094.74    | 0.23%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K048 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K048 X1            | CUSIP: 3137BLAD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10008135 | PA      | $48410.35     | 0.07%             | 2025-06-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2019 2 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2019 2 A1 144A     | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40315 | PA      | $37771.92     | 0.05%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 1 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 1 A1 144A     | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366497 | PA      | $288455.46    | 0.39%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR2 TRUST FKH 2020 SFR2 A 144A    | FIRSTKEY HOMES 2020-SFR2 TRUST FKH 2020 SFR2 A 144A    | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445748 | PA      | $392946.75    | 0.53%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2020-SFR1 TRUST FKH 2020 SFR1 A 144A    | FIRSTKEY HOMES 2020-SFR1 TRUST FKH 2020 SFR1 A 144A    | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125001 | PA      | $111532.10    | 0.15%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC                                  | TAL ADVANTAGE VII LLC TAL 2020 1A A 144A               | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166088 | PA      | $144557.30    | 0.20%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM SOFI 2019 B A2FX 144A   | SOFI PROFESSIONAL LOAN PROGRAM SOFI 2019 B A2FX 144A   | CUSIP: 83404WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122849 | PA      | $114847.66    | 0.16%             | 2048-08-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A      | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56720 | PA      | $52256.52     | 0.07%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2022 1 A1 144A      | STARWOOD MORTGAGE RESIDENTIAL STAR 2022 1 A1 144A      | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169951 | PA      | $141680.73    | 0.19%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO I LTD SSTAT 2021 1A A 144A         | SYMPHONY STATIC CLO I LTD SSTAT 2021 1A A 144A         | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    222187 | PA      | $218738.52    | 0.30%             | 2029-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT 2015 1 A5 144A          | TOWD POINT MORTGAGE TRUST 2015 TPMT 2015 1 A5 144A     | CUSIP: 89171DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95878.63     | 0.13%             | 2053-10-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015 TPMT 2015 6 M2 144A     | TOWD POINT MORTGAGE TRUST 2015 TPMT 2015 6 M2 144A     | CUSIP: 89172RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92488.26     | 0.13%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 2 A1 144A     | TOWD POINT MORTGAGE TRUST 2017 TPMT 2017 2 A1 144A     | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6885 | PA      | $6780.10      | 0.01%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A     | TOWD POINT MORTGAGE TRUST 06/58 3                      | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50573 | PA      | $45981.10     | 0.06%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 1 A1 144A     | TOWD POINT MORTGAGE TRUST 2015 TPMT 2018 1 A1 144A     | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21609 | PA      | $20770.93     | 0.03%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 6 A1A 144A    | TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 6 A1A 144A    | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45719 | PA      | $44221.97     | 0.06%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 6 A1 144A     | TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 6 A1 144A     | CUSIP: 89176LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222069 | PA      | $208785.89    | 0.28%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 1 A1 144A     | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 1 A1 144A     | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207028 | PA      | $191819.09    | 0.26%             | 2058-03-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 A1 144A     | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376808 | PA      | $346835.59    | 0.47%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 1 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 1 A1 144A     | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342871 | PA      | $313076.39    | 0.42%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 4 A1 144A     | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601619 | PA      | $529495.27    | 0.72%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-D TAOT 2022 D A3          | TOYOTA AUTO RECEIVABLES 2022-D TAOT 2022 D A3          | CUSIP: 89239HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $479182.61    | 0.65%             | 2027-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL M JPMCC 2022 OPO A 144A   | J.P. MORGAN CHASE COMMERCIAL M JPMCC 2022 OPO A 144A   | CUSIP: 46655AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $309319.16    | 0.42%             | 2039-01-05      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019 KNSQ C 144A    | KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019 KNSQ C 144A    | CUSIP: 482598AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485000 | PA      | $471814.98    | 0.64%             | 2036-05-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| LAUREL ROAD PRIME STUDENT LOAN LRK 2019 A A2FX 144A    | LAUREL ROAD PRIME STUDENT LOAN LRK 2019 A A2FX 144A    | CUSIP: 51889RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159048 | PA      | $154251.80    | 0.21%             | 2048-10-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST LIFE 2021 BMR A 144A      | LIFE 2021-BMR MORTGAGE TRUST LIFE 2021 BMR A 144A      | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707739 | PA      | $680222.49    | 0.92%             | 2038-03-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST LIFE 2021 BMR D 144A      | LIFE 2021-BMR MORTGAGE TRUST LIFE 2021 BMR D 144A      | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182832 | PA      | $171827.01    | 0.23%             | 2038-03-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LIFE MORTGAGE TRUST US LIFE 2022 BMR2 A1 144A          | LIFE MORTGAGE TRUST US LIFE 2022 BMR2 A1 144A          | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $848682.10    | 1.15%             | 2039-05-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A             | MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A             | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391846 | PA      | $338348.76    | 0.46%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MHP 2022-MHIL MHP 2022 MHIL A 144A                     | MERIT 2020 MHP 2022 MHIL A 144A                        | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267206 | PA      | $254645.36    | 0.35%             | 2027-01-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MVW 2022-2 LLC MVWOT 2022 2A A 144A                    | MVW 2022-2 LLC MVWOT 2022 2A A 144A                    | CUSIP: 55400VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $171827.31    | 0.23%             | 2041-10-21      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XI LTD MDPK 2013 11A AR2 144A     | MADISON PARK FUNDING XI LTD MDPK 2013 11A AR2 144A     | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    242246 | PA      | $238724.34    | 0.32%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO X LTD MCLO 2017 10A A1AR 144A             | MARATHON CLO X LTD MCLO 2017 10A A1AR 144A             | CUSIP: 56578JAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    209941 | PA      | $206345.02    | 0.28%             | 2029-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MONROE CAPITAL ABS FUNDING 202 MCAF 2021 1A A2 144A    | MONROE CAPITAL ABS FUNDING 202 MCAF 2021 1A A2 144A    | CUSIP: 610331AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    152000 | PA      | $135955.94    | 0.18%             | 2031-04-22      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MVW OWNER TRUST 2018-1 MVWOT 2018 1A A 144A            | MVW OWNER TRUST 2018-1 MVWOT 2018 1A A 144A            | CUSIP: 62848BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53594 | PA      | $51805.47     | 0.07%             | 2036-01-21      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A             | NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A             | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    619491 | PA      | $494081.44    | 0.67%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 HA A 144A    | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 HA A 144A    | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206783 | PA      | $185532.19    | 0.25%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER LLC NBLY 2021 1A A2 144A             | NEIGHBORLY ISSUER LLC NBLY 2021 1A A2 144A             | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291560 | PA      | $233476.87    | 0.32%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR4 TRUST AMSR 2020 SFR4 A 144A             | AMSR 2020-SFR4 TRUST AMSR 2020 SFR4 A 144A             | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $371005.95    | 0.50%             | 2037-11-17      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR4 TRUST AMSR 2021 SFR4 A 144A             | AMSR 2021-SFR4 TRUST AMSR 2021 SFR4 A 144A             | CUSIP: 66982FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $170879.70    | 0.23%             | 2038-12-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A1 144A    | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41833 | PA      | $33900.42     | 0.05%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 R1 A1 144A   | VERUS SECURITIZATION TRUST 10/63 1                     | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108678 | PA      | $94456.71     | 0.13%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2020 5 A1 144A    | VERUS SECURITIZATION TRUST 05/65 1                     | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107668 | PA      | $97813.07     | 0.13%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A   | VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A   | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186268 | PA      | $168783.19    | 0.23%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 4 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 4 A1 144A    | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774816 | PA      | $594517.83    | 0.81%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 5 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 5 A1 144A    | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464482 | PA      | $370609.90    | 0.50%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2020 4 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2020 4 A1 144A    | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299088 | PA      | $266959.78    | 0.36%             | 2065-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2022 4 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2022 4 A1 144A    | CUSIP: 92538NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266484 | PA      | $254915.85    | 0.35%             | 2067-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A1 144A    | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254957 | PA      | $205479.43    | 0.28%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| VISIO 2020-1R TRUST VISIO 2020 1R A1 144A              | VISIO 2020-1R TRUST VISIO 2020 1R A1 144A              | CUSIP: 92837MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77367 | PA      | $69091.90     | 0.09%             | 2055-11-25      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING 2020-1 OXFIN 2020 1A A2 144A    | OXFORD FINANCE FUNDING 2020-1 OXFIN 2020 1A A2 144A    | CUSIP: 69144AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32221 | PA      | $31833.74     | 0.04%             | 2028-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING 2019-1 OXFIN 2019 1A A2 144A    | OXFORD FINANCE FUNDING 2019-1 OXFIN 2019 1A A2 144A    | CUSIP: 69145AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57461 | PA      | $56907.83     | 0.08%             | 2027-02-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR2 PROG 2021 SFR2 A 144A   | PROGRESS RESIDENTIAL TRUST PROG 2021 SFR2 A 144A       | CUSIP: 74333DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508546 | PA      | $440184.84    | 0.60%             | 2038-04-19      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 A 144A   | PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 A 144A   | CUSIP: 74333FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198450 | PA      | $171167.53    | 0.23%             | 2038-07-17      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2021-1 L SCFET 2021 1A B 144A    | SCF EQUIPMENT LEASING 2021-1 L SCFET 2021 1A B 144A    | CUSIP: 783897AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $180027.80    | 0.24%             | 2029-08-20      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                      | SESAC FINANCE LLC SESAC 2019 1 A2 144A                 | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257355 | PA      | $237237.82    | 0.32%             | 2049-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2022-2 L SCFET 2022 2A A3 144A   | SCF EQUIPMENT LEASING 2022-2 L SCFET 2022 2A A3 144A   | CUSIP: 78397WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819000 | PA      | $826836.52    | 1.12%             | 2030-10-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2019-2 L SCFET 2019 2A B 144A    | SCF EQUIPMENT LEASING 2019-2 L SCFET 2019 2A B 144A    | CUSIP: 784034AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $288153.63    | 0.39%             | 2026-08-20      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2019-2 L SCFET 2019 2A C 144A    | SCF EQUIPMENT LEASING 2019-2 L SCFET 2019 2A C 144A    | CUSIP: 784034AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $122406.25    | 0.17%             | 2027-06-21      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT2 144A    | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT2 144A    | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210255 | PA      | $176527.65    | 0.24%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2016-A                | SMB PRIVATE EDUCATION LOAN TRU SMB 2016 A A2A 144A     | CUSIP: 78449FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238143 | PA      | $227587.01    | 0.31%             | 2031-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A     | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228519 | PA      | $202264.42    | 0.27%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA SLG 2021 OVA A 144A          | SLG OFFICE TRUST 2021-OVA SLG 2021 OVA A 144A          | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $375056.86    | 0.51%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA SLG 2021 OVA C 144A          | SLG OFFICE TRUST 2021-OVA SLG 2021 OVA C 144A          | CUSIP: 78449RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $525046.12    | 0.71%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A   | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270844 | PA      | $238581.33    | 0.32%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI SMRT 2022 MINI A 144A                   | SMRT 2022-MINI SMRT 2022 MINI A 144A                   | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764000 | PA      | $732874.56    | 0.99%             | 2039-01-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2020 1A A2I 144A               | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515438 | PA      | $455970.17    | 0.62%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2020 1A A2II 144A              | CUSIP: 83546DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    449896 | PA      | $386596.87    | 0.52%             | 2050-01-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A            | GCAT GCAT 2021 NQM3 A1 144A                            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106342 | PA      | $85392.03     | 0.12%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM1 TRUST GCAT 2021 NQM1 A1 144A            | GCAT 2021-NQM1 TRUST GCAT 2021 NQM1 A1 144A            | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237100 | PA      | $199584.08    | 0.27%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2 GSMS 2015 590M C 144A   | GS MORTGAGE SECURITIES TRUST 2 GSMS 2015 590M C 144A   | CUSIP: 36250WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $99499.90     | 0.13%             | 2035-10-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TR GSMS 2020 UPTN A 144A   | GS MORTGAGE SECURITIES CORP TR GSMS 2020 UPTN A 144A   | CUSIP: 36258PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $109818.47    | 0.15%             | 2037-02-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES GSMBS 2020 NQM1 A1 144A  | GS MORTGAGE BACKED SECURITIES 09/60 1                  | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235423 | PA      | $213673.91    | 0.29%             | 2060-09-27      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2 GSMS 2019 GC39 A2       | GS MORTGAGE SECURITIES TRUST 2 GSMS 2019 GC39 A2       | CUSIP: 36260JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $212345.72    | 0.29%             | 2052-05-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES GSMBS 2021 NQM1 A1 144A  | GS MORTGAGE-BACKED SECURITIES GSMBS 2021 NQM1 A1 144A  | CUSIP: 36262EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182009 | PA      | $150206.13    | 0.20%             | 2061-07-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2020 1A A2 144A   | GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2020 1A A2 144A   | CUSIP: 38177UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    450000 | PA      | $413558.55    | 0.56%             | 2029-01-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2021 1A A2 144A   | GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2021 1A A2 144A   | CUSIP: 38178HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    191000 | PA      | $172371.81    | 0.23%             | 2029-04-20      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 118 IO         | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731321 | PA      | $46946.02     | 0.06%             | 2062-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 137 IO         | CUSIP: 38380P4X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075070 | PA      | $238033.81    | 0.32%             | 2062-09-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATL MTG ASSN 09/62 1                       | CUSIP: 38380PT20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856016 | PA      | $53964.43     | 0.07%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 92 IO          | CUSIP: 38380PTT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813266 | PA      | $54161.48     | 0.07%             | 2062-02-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 120 IO         | CUSIP: 38380PV76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018403 | PA      | $61114.56     | 0.08%             | 2062-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 108 IO         | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2560612 | PA      | $156604.49    | 0.21%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 47 IO          | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4741013 | PA      | $350851.08    | 0.48%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE 12/62 1                   | CUSIP: 38380RBL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1131255 | PA      | $81281.80     | 0.11%             | 2062-12-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 170 IO         | CUSIP: 38380RGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521811 | PA      | $34007.18     | 0.05%             | 2062-11-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART 2022 C A3          | HYUNDAI AUTO RECEIVABLES TRUST HART 2022 C A3          | CUSIP: 44933DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $528830.19    | 0.72%             | 2027-06-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| IMT TRUST 2017-APTS IMTT 2017 APTS AFX 144A            | IMT TRUST 2017-APTS IMTT 2017 APTS AFX 144A            | CUSIP: 44974AAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $204357.95    | 0.28%             | 2034-06-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| COLT 2021-2 MORTGAGE LOAN TRUS COLT 2021 2 A1 144A     | COLT FUNDING LLC COLT 2021 2 A1 144A                   | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143696 | PA      | $116598.98    | 0.16%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT 2020-RPL1 TRUST COLT 2020 RPL1 A1 144A            | COLT 2020 RPL1 TR 01/65 1                              | CUSIP: 19687YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145323 | PA      | $125444.73    | 0.17%             | 2065-01-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1RMORTGAGE PASS-THRO COLT 2021 1R A1 144A    | COLT 2021-1RMORTGAGE PASS-THRO COLT 2021 1R A1 144A    | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26573 | PA      | $21614.04     | 0.03%             | 2065-05-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A     | COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A     | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241272 | PA      | $191991.78    | 0.26%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUS COLT 2020 2 A1 144A     | COLT FUNDING LLC 03/65 1.853                           | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5291 | PA      | $5167.20      | 0.01%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 A1 144A   | COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 A1 144A   | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152157 | PA      | $122564.77    | 0.17%             | 2066-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R03 1M1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R03 1M1 144A    | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    239263 | PA      | $236422.87    | 0.32%             | 2042-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CLO 2020-2 LTD                             | EATON VANCE CLO 2020-2 LTD EATON 2020 2A BR 144A       | CUSIP: 27829PAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236739.75    | 0.32%             | 2035-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                              | FANNIE MAE INTEREST STRIP FNS 427 C20                  | CUSIP: 31423XMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2066097 | PA      | $252562.97    | 0.34%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                              | FANNIE MAE INTEREST STRIP FNS 427 C77                  | CUSIP: 31423XQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982517 | PA      | $141470.43    | 0.19%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE 05/63 1                   | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447476 | PA      | $33461.39     | 0.05%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 11 IO          | CUSIP: 38380RRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649601 | PA      | $47457.53     | 0.06%             | 2062-12-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 203 IO         | CUSIP: 38381EEL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5836120 | PA      | $402211.96    | 0.54%             | 2063-07-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 57 IO          | CUSIP: 38381EW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969685 | PA      | $189112.78    | 0.26%             | 2063-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 150 IO         | CUSIP: 38381HPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5573951 | PA      | $383854.06    | 0.52%             | 2064-06-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 181 IO         | CUSIP: 38383Y3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2461920 | PA      | $186654.41    | 0.25%             | 2064-07-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| HIN TIMESHARE TRUST 2020-A HINTT 2020 A A 144A         | HIN TIMESHARE TRUST 2020-A HINTT 2020 A A 144A         | CUSIP: 40439HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232597 | PA      | $211643.79    | 0.29%             | 2039-10-09      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| HI-FI MUSIC IP ISSUER LP HIFI 2022 1A A2 144A          | HI-FI MUSIC IP ISSUER LP HIFI 2022 1A A2 144A          | CUSIP: 428357AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    243000 | PA      | $217972.00    | 0.30%             | 2062-02-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2018 - A                  | HILTON GRAND VACATIONS TRUST 2 HGVT 2018 AA A 144A     | CUSIP: 43284BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297275 | PA      | $287177.56    | 0.39%             | 2032-02-25      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2019- HPA 2019 1 A 144A       | HOME PARTNERS OF AMERICA 2019- HPA 2019 1 A 144A       | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79239 | PA      | $71570.28     | 0.10%             | 2039-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021- HPA 2021 2 A 144A       | HOME PARTNERS OF AMERICA 2021- HPA 2021 2 A 144A       | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121924 | PA      | $105087.17    | 0.14%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2020 NQM1 A1 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2020 NQM1 A1 144A | CUSIP: 452760AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119828 | PA      | $107526.36    | 0.15%             | 2055-10-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2021 NQM1 A1 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2021 NQM1 A1 144A | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168501 | PA      | $139848.72    | 0.19%             | 2056-06-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022 STAY TOWN 2022 STAY A                      | INTOWN 2022 STAY TOWN 2022 STAY A                      | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $856328.98    | 1.16%             | 2039-08-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| IRVINE CORE OFFICE TRUST 2013- ICOT 2013 IRV A2 144A   | IRVINE CORE OFFICE TRUST 2013- ICOT 2013 IRV A2 144A   | CUSIP: 46361TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $229336.40    | 0.31%             | 2048-05-15      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA - CACLN CACLN 2021 3 B 144A     | JPMORGAN CHASE BANK NA - CACLN CACLN 2021 3 B 144A     | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130912 | PA      | $122925.96    | 0.17%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                            | JACK IN THE BOX FUNDING LLC JACK 2019 1A A23 144A      | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112988 | PA      | $99965.46     | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                            | JACK IN THE BOX FUNDING LLC JACK 2022 1A A2I 144A      | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203895 | PA      | $177405.17    | 0.24%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A              | OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614753 | PA      | $461288.57    | 0.62%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2021-1 LTD OAKCL 2021 1A A1 144A           | OAKTREE CLO 2021-1 LTD OAKCL 2021 1A A1 144A           | CUSIP: 67402JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483807.00    | 0.66%             | 2034-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO X                                     | OCEAN TRAILS CLO X OCTR 2020 10A AR 144A               | CUSIP: 67516CAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241304.50    | 0.33%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 48 OCT48 2020 3A AR 144A   | OCTAGON INVESTMENT PARTNERS 48 OCT48 2020 3A AR 144A   | CUSIP: 67577UAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242201.50    | 0.33%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1M OMPT 2017 1MKT D 144A   | ONE MARKET PLAZA TRUST 2017-1M OMPT 2017 1MKT D 144A   | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $184203.04    | 0.25%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ABPCI DIRECT LENDING FUND ABS ABDLF 2020 1A A 144A     | ABPCI DIRECT LENDING FUND ABS ABDLF 2020 1A A 144A     | CUSIP: 00090TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586000 | PA      | $530808.76    | 0.72%             | 2030-12-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AMSR 2020-SFR2 TRUST AMSR 2020 SFR2 A 144A             | AMSR 2020-SFR2 TRUST AMSR 2020 SFR2 A 144A             | CUSIP: 00178UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $407430.63    | 0.55%             | 2037-07-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| AMSR 2019-SFR1 TRUST AMSR 2019 SFR1 A 144A             | AMSR 2019-SFR1 TRUST AMSR 2019 SFR1 A 144A             | CUSIP: 00178XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $224624.23    | 0.30%             | 2039-01-19      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1 TRUST AMSR 2021 SFR1 B 144A             | AMSR TRUST AMSR 2021 SFR1 B 144A                       | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $203961.45    | 0.28%             | 2038-06-17      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ISSUER LL ADC 2021 1A A2 144A     | ALIGNED DATA CENTERS ISSUER LL ADC 2021 1A A2 144A     | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $731898.99    | 0.99%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 20 ALLYA 2022 1 A3         | ALLY AUTO RECEIVABLES TRUST 20 ALLYA 2022 1 A3         | CUSIP: 02008JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360000 | PA      | $350439.73    | 0.47%             | 2026-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2020 1 C          | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2020 1 C          | CUSIP: 03067DAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $143994.09    | 0.20%             | 2025-10-20      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A1 144A     | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625400 | PA      | $488144.58    | 0.66%             | 2065-01-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 R1 A1 144A    | ANGEL OAK MORTGAGE TRUST 12/24 1                       | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206486 | PA      | $192009.02    | 0.26%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 2 A1 144A     | ANGEL OAK MORTGAGE TRUST 04/66 1                       | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381091 | PA      | $314482.55    | 0.43%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A     | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300974 | PA      | $235530.04    | 0.32%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO LLC 10/31 1                            | APEX CREDIT CLO LLC 10/31 1                            | CUSIP: 03756AAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    706000 | PA      | $690869.71    | 0.94%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| APPLEBEE'S FUNDING LLC / IHOP DIN 2019 1A A2I 144A     | APPLEBEE'S FUNDING LLC / IHOP DIN 2019 1A A2I 144A     | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632610 | PA      | $598709.70    | 0.81%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST 2021-A AQFIT 2021 A A 144A          | AQUA FINANCE TRUST 2017-A AQFIT 2021 A A 144A          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501406 | PA      | $457930.13    | 0.62%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC                                      | ARBYS FUNDING LLC ARBYS 2020 1A A2 144A                | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263925 | PA      | $225882.59    | 0.31%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R ARRW 2021 1R A1 144A     | ARROYO MORTGAGE TRUST 2021-1R ARRW 2021 1R A1 144A     | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74951 | PA      | $59147.89     | 0.08%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3 ARRW 2019 3 A1 144A       | ARROYO MORTGAGE TRUST 2019-3 ARRW 2019 3 A1 144A       | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86125 | PA      | $78762.40     | 0.11%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC             | AVIS BUDGET RENTAL CAR FUNDING AESOP 2019 3A A 144A    | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    663000 | PA      | $615441.35    | 0.83%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 04/24 1                                      | BPR TRUST 04/24 1                                      | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961000 | PA      | $935105.47    | 1.27%             | 2037-04-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-19 LTD OCP 2020 19A AR 144A               | OCP CLO 2020-19 LTD OCP 2020 19A AR 144A               | CUSIP: 670881AM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241844.25    | 0.33%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2021 1A A2I 144A               | CUSIP: 83546DAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895430 | PA      | $712589.46    | 0.97%             | 2051-08-20      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC             | AVIS BUDGET RENTAL CAR FUNDING AESOP 2020 1A A 144A    | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $320669.41    | 0.43%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2020-C6 BBCMS 2020 C6 A2          | BARCLAYS COMMERCIAL MORTGAGE 02/53 2.69                | CUSIP: 05492TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81000 | PA      | $76152.34     | 0.10%             | 2053-02-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2015-200P   | BAMLL COMMERCIAL MORTGAGE SECU BAMLL 2015 200P A 144A  | CUSIP: 05526QAA4<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $240354.82    | 0.33%             | 2033-04-14      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2015-SRCH BBCMS 2015 SRCH D 144A           | BBCMS TRUST 2015-SRCH BBCMS 2015 SRCH D 144A           | CUSIP: 05547HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85903.08     | 0.12%             | 2035-08-10      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| BRE GRAND ISLANDER TIMESHARE I HGVGI 2019 A A 144A     | BRE GRAND ISLANDER TIMESHARE I HGVGI 2019 A A 144A     | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438515 | PA      | $412255.12    | 0.56%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BOCA COMMERCIAL MORTGAGE TRUST BOCA 2022 BOCA A 144A   | BOCA COMMERCIAL MORTGAGE TRUST BOCA 2022 BOCA A 144A   | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453000 | PA      | $438544.27    | 0.59%             | 2039-05-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST 2021-FILM BXHPP 2021 FILM C 144A           | BXHPP TRUST 2021-FILM BXHPP 2021 FILM C 144A           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529000 | PA      | $482691.23    | 0.65%             | 2036-08-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 ACNT A 144A     | BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 ACNT A 144A     | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $527399.79    | 0.71%             | 2038-11-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 VOLT C 144A     | BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 VOLT C 144A     | CUSIP: 05609VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467000 | PA      | $432762.13    | 0.59%             | 2036-09-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-CLS BX 2022 CLS A 144A                   | BX TRUST 2022-CLS BX 2022 CLS A 144A                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $279988.17    | 0.38%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2022 AHP A 144A      | BX COMMERCIAL MORTGAGE TRUST 2 BX 2022 AHP A 144A      | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423000 | PA      | $404216.26    | 0.55%             | 2039-01-17      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BEACON CONTAINER FINANCE II LL BEACN 2021 1A A 144A    | BEACON CONTAINER FINANCE II LL BEACN 2021 1A A 144A    | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485067 | PA      | $409795.38    | 0.56%             | 2046-10-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MORTGAGE TR BMARK 2019 B12 A2       | BENCHMARK 2019-B12 MORTGAGE TR BMARK 2019 B12 A2       | CUSIP: 08162FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92933 | PA      | $88377.02     | 0.12%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XX BSP 2020 20A AR 144A    | BENEFIT STREET PARTNERS CLO XX BSP 2020 20A AR 144A    | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $290601.60    | 0.39%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIII Ltd.                 | BENEFIT STREET PARTNERS CLO XX BSP 2021 23A A1 144A    | CUSIP: 08186VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241348.50    | 0.33%             | 2034-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246816 | PA      | $204929.52    | 0.28%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING II LLC TIF 2020 1A A 144A                  | TIF FUNDING II LLC TIF 2020 1A A 144A                  | CUSIP: 872480AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655875 | PA      | $561157.93    | 0.76%             | 2045-08-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING II LLC TIF 2021 1A A 144A                  | TIF FUNDING II LLC TIF 2021 1A A 144A                  | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566225 | PA      | $457518.95    | 0.62%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | TACO BELL FUNDING LLC BELL 2016 1A A23 144A            | CUSIP: 87342RAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429975 | PA      | $412736.87    | 0.56%             | 2046-05-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | TACO BELL FUNDING LLC BELL 2021 1A A2I 144A            | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952380 | PA      | $803626.82    | 1.09%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT 2021 1A A1 144A           | CF HIPPOLYTA LLC SORT 2021 1A A1 144A                  | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628494 | PA      | $542076.38    | 0.73%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2020-II LTD CIFC 2020 2A AR 144A          | CIFC FUNDING 2020-II LTD CIFC 2020 2A AR 144A          | CUSIP: 12547LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242889.00    | 0.33%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE25 MORTGAGE TRUS COMM 2015 CR25 A4       | COMM 2015-CCRE25 MORTGAGE TRUS COMM 2015 CR25 A4       | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $295772.67    | 0.40%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET CSMC 2020 NET A 144A                     | CREDIT SUISSE MORTGAGE CAPITAL CSMC 2020 NET A 144A    | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519934 | PA      | $464517.40    | 0.63%             | 2037-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CSMC 2019 ICE4 B 144A   | CREDIT SUISSE MORTGAGE CAPITAL CSMC 2019 ICE4 B 144A   | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $220790.66    | 0.30%             | 2036-05-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CSMC 2019 ICE4 D 144A   | CREDIT SUISSE MORTGAGE CAPITAL CSMC 2019 ICE4 D 144A   | CUSIP: 12653VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $314343.77    | 0.43%             | 2036-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COMM 2020-CX MORTGAGE TRUST COMM 2020 CX D 144A        | COMM 2020-CX MORTGAGE TRUST COMM 2020 CX D 144A        | CUSIP: 12656KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $255687.95    | 0.35%             | 2046-11-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2TRUST CSMC 2021 RPL2 A1A 144A            | CSMC 2021-RPL2TRUST CSMC 2021 RPL2 A1A 144A            | CUSIP: 12656TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331761 | PA      | $263855.87    | 0.36%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                  | CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                  | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88768 | PA      | $74331.96     | 0.10%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM6 CSMC 2021 NQM6 A1 144A                  | CSMC 2021-NQM6 CSMC 2021 NQM6 A1 144A                  | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113881 | PA      | $90681.94     | 0.12%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2020-2 LTD CGMS 2020 2A A1R 144A        | CARLYLE US CLO 2020-2 LTD CGMS 2020 2A A1R 144A        | CUSIP: 14315GAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240946.50    | 0.33%             | 2035-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2019-2 LTD CGMS 2019 2A A1R 144A        | CARLYLE US CLO 2019-2 LTD CGMS 2019 2A A1R 144A        | CUSIP: 14316EAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243355.75    | 0.33%             | 2032-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-4 CARMX 2022 4 A3         | CARMAX AUTO OWNER TRUST 2022-4 CARMX 2022 4 A3         | CUSIP: 14318UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112000 | PA      | $112568.99    | 0.15%             | 2027-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 PRM2 A 144A   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 PRM2 A 144A   | CUSIP: 17291HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $205962.26    | 0.28%             | 2036-10-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2020 GC46 A2       | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2020 GC46 A2       | CUSIP: 17328RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $303659.27    | 0.41%             | 2053-02-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| COLT 2022-2 MORTGAGE LOAN TRUS COLT 2022 2 A1 144A     | COLT 2022-2 MORTGAGE LOAN TRUS COLT 2022 2 A1 144A     | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199182 | PA      | $175499.61    | 0.24%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| SANTANDER REVOLVING AUTO LOAN SREV 2019 A A 144A       | SANTANDER REVOLVING AUTO LOAN SREV 2019 A A 144A       | CUSIP: 80286JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475000 | PA      | $446027.23    | 0.60%             | 2032-01-26      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SERVPRO MASTER ISSUER LLC SPRO 2021 1A A2 144A         | SERVPRO MASTER ISSUER LLC SPRO 2021 1A A2 144A         | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279740 | PA      | $218496.24    | 0.30%             | 2051-04-25      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2021-1 Receivables Funding LLC        | SIERRA TIMESHARE 2021-1 RECEIV SRFC 2021 1A A 144A     | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92648 | PA      | $85579.99     | 0.12%             | 2037-11-20      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2019 B A2A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2019 B A2A 144A     | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173991 | PA      | $162612.31    | 0.22%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2019 FA A2 144A   | NAVIENT PRIVATE EDUCATION REFI NAVSL 2019 FA A2 144A   | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213940 | PA      | $197764.91    | 0.27%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 BA A2 144A   | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 BA A2 144A   | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504081 | PA      | $456979.64    | 0.62%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 GA A 144A    | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 GA A 144A    | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195608 | PA      | $172141.93    | 0.23%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 FA A 144A    | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 FA A 144A    | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61865 | PA      | $54832.70     | 0.07%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 A A 144A     | NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 A A 144A     | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    616891 | PA      | $526715.84    | 0.71%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 202 NAVSL 2020 2A A1A 144A  | NAVIENT STUDENT LOAN TRUST 202 NAVSL 2020 2A A1A 144A  | CUSIP: 63942HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74538 | PA      | $62803.88     | 0.09%             | 2069-08-26      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2020 VKNG A 144A     | BX COMMERCIAL MORTGAGE TRUST 2 BX 2020 VKNG A 144A     | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329150 | PA      | $318452.07    | 0.43%             | 2037-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258050 | PA      | $204389.02    | 0.28%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS NEUB 2019 34A BR 144A   | NEUBERGER BERMAN LOAN ADVISERS NEUB 2019 34A BR 144A   | CUSIP: 64132YAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236635.75    | 0.32%             | 2035-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS PHASE 1 SPO USRE 2021 1 A1 144A     | NEW ECONOMY ASSETS PHASE 1 SPO USRE 2021 1 A1 144A     | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    997000 | PA      | $842949.54    | 1.14%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS PHASE 1 SPO USRE 2021 1 B1 144A     | NEW ECONOMY ASSETS PHASE 1 SPO USRE 2021 1 B1 144A     | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $197625.72    | 0.27%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-1             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A    | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106257 | PA      | $97627.50     | 0.13%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NYACK PARK CLO LTD NYKPK 2021 1A A 144A                | NYACK PARK CLO LTD NYKPK 2021 1A A 144A                | CUSIP: 67080PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242354.25    | 0.33%             | 2034-10-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 CIP A 144A      | BX COMMERCIAL MORTGAGE TRUST 2 BX 2021 CIP A 144A      | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176000 | PA      | $1130320.63   | 1.53%             | 2038-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST CAMB 2019 LIFE D 144A   | CAMB COMMERCIAL MORTGAGE TRUST CAMB 2019 LIFE D 144A   | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $225571.82    | 0.31%             | 2037-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A A1 144A                      | CUSIP: 12510HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647817 | PA      | $604971.48    | 0.82%             | 2050-02-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A B1 144A                      | CUSIP: 12510HAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91143.45     | 0.12%             | 2050-02-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| CFK TRUST 2020-MF2 CFK 2020 MF2 A 144A                 | CFK TRUST 2020-MF2 CFK 2020 MF2 A 144A                 | CUSIP: 12529AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $112047.26    | 0.15%             | 2039-03-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE CF 2019 CF1 A2           | CANTOR COMMERCIAL REAL ESTATE CF 2019 CF1 A2           | CUSIP: 12529MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326000 | PA      | $315215.85    | 0.43%             | 2052-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT 2020 1 A1 144A            | CF HIPPOLYTA LLC SORT 2020 1 A1 144A                   | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960079 | PA      | $849785.74    | 1.15%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CLI Funding VI LLC                                     | CLI FUNDING VI LLC CLIF 2020 1A A 144A                 | CUSIP: 12563LAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553768 | PA      | $474208.40    | 0.64%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING VIII LLC CLIF 2021 1A A 144A               | CLI FUNDING VIII LLC CLIF 2021 1A A 144A               | CUSIP: 12565KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586755 | PA      | $494473.23    | 0.67%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING VIII LLC CLIF 2022 1A A 144A               | CLI FUNDING VIII LLC CLIF 2022 1A A1 144A              | CUSIP: 12565KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467024 | PA      | $392424.30    | 0.53%             | 2047-01-18      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR2 TRUST FKH 2021 SFR2 A 144A    | FIRSTKEY HOMES 2021-SFR2 TRUST FKH 2021 SFR2 A 144A    | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111820 | PA      | $94494.96     | 0.13%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 A 144A    | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 A 144A    | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459431 | PA      | $393367.79    | 0.53%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 C 144A    | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 C 144A    | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213000 | PA      | $176925.02    | 0.24%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Five Guys Funding LLC                                  | FIVE GUYS FUNDING LLC GUYS 2017 1A A2 144A             | CUSIP: 33830JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176762 | PA      | $166256.44    | 0.23%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-1 FSMT 2021 1 A2 144A     | FLAGSTAR MORTGAGE TRUST 2021-2 FSMT 2021 1 A2 144A     | CUSIP: 33852DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106473 | PA      | $86392.90     | 0.12%             | 2051-02-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 HQA3 M1B 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 HQA3 M1B 144A | CUSIP: 35564KE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $331637.57    | 0.45%             | 2042-08-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2021 DNA6 M1 144A  | FREDDIE MAC STACR REMIC TRUST STACR 2021 DNA6 M1 144A  | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $176794.20    | 0.24%             | 2041-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA7                | FREDDIE MAC STRUCTURED AGENCY STACR 2021 DNA7 M1 144A  | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    166672 | PA      | $162505.05    | 0.22%             | 2041-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA1 M1A 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA1 M1A 144A | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    431916 | PA      | $417528.98    | 0.57%             | 2042-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA2 M1A 144A | FREDDIE MAC STRUCTURED AGENCY STACR 2022 DNA2 M1A 144A | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76692 | PA      | $75258.12     | 0.10%             | 2042-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| STWD 2021-SIF2 LTD STWD 2021 SIF2A A1 144A             | STARWOOD PROPERTY MORTGAGE TRU STWD 2021 SIF2A A1 144A | CUSIP: 85237MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244889.25    | 0.33%             | 2033-01-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA3 M1A 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA3 M1A 144A | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476005 | PA      | $469848.44    | 0.64%             | 2042-04-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA3 M1B 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA3 M1B 144A | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $363385.34    | 0.49%             | 2042-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA4 M1A 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA4 M1A 144A | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    306696 | PA      | $304592.98    | 0.41%             | 2042-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA4 M1B 144A | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA4 M1B 144A | CUSIP: 35564KWT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    254000 | PA      | $248920.00    | 0.34%             | 2042-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA5 M1B 144A | FREDDIE MAC STRUCTURED AGENCY STACR 2022 DNA5 M1B 144A | CUSIP: 35564KYP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    570000 | PA      | $584560.08    | 0.79%             | 2042-06-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST GCAT 2020 NQM2 A1 144A            | GCAT 2020-NQM2 TRUST GCAT 2020 NQM2 A1 144A            | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182640 | PA      | $162838.02    | 0.22%             | 2065-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM2 TRUST GCAT 2021 NQM2 A1 144A            | GCAT 2021-NQM2 TRUST GCAT 2021 NQM2 A1 144A            | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193167 | PA      | $149807.08    | 0.20%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-3 LLC GCAT 2020 3 A1 144A                    | GCAT 2020-3 LLC GCAT 2020 3 A1 144A                    | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75410 | PA      | $72335.59     | 0.10%             | 2025-09-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Halseypoint Clo II Ltd.                                | HALSEYPOINT CLO 2 LTD HLSY 2020 2A B 144A              | CUSIP: 40638TAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    286000 | PA      | $277105.97    | 0.38%             | 2031-07-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2021 1 A2 144A               | CUSIP: 44148JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147000 | PA      | $127672.91    | 0.17%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A2        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A2        | CUSIP: 95002EAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $206759.34    | 0.28%             | 2053-02-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| ZAXBY'S FUNDING LLC ZAXBY 2021 1A A2 144A              | ZAXBY'S FUNDING LLC ZAXBY 2021 1A A2 144A              | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237000 | PA      | $192341.62    | 0.26%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R04 1M1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R04 1M1 144A    | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73415 | PA      | $72499.37     | 0.10%             | 2042-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R06 1M1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R06 1M1 144A    | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223449 | PA      | $223448.82    | 0.30%             | 2042-05-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R08 1M1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R08 1M1 144A    | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    159783 | PA      | $158724.62    | 0.22%             | 2042-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM5 TRUST CSMC 2021 NQM5 A1 144A            | CREDIT SUISSE MORTGAGE CAPITAL CSMC 2021 NQM5 A1 144A  | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75250 | PA      | $56888.81     | 0.08%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2017 1A A2II 144A           | CUSIP: 233046AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395288 | PA      | $357684.99    | 0.48%             | 2047-11-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2021 1A A2I 144A            | CUSIP: 233046AN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363330 | PA      | $311463.92    | 0.42%             | 2051-11-20      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DBJPM 20-C9 MORTGAGE TRUST DBJPM 2020 C9 A2            | DBJPM 20-C9 MORTGAGE TRUST DBJPM 2020 C9 A2            | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $236120.74    | 0.32%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER COLO 2021 1A A2 144A                   | DATABANK ISSUER COLO 2021 1A A2 144A                   | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $689968.32    | 0.93%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER COLO 2021 2A A2 144A                   | DATABANK ISSUER COLO 2021 2A A2 144A                   | CUSIP: 23802WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396000 | PA      | $346100.95    | 0.47%             | 2051-10-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2018 1A A2 144A         | CUSIP: 26208LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215830 | PA      | $199716.78    | 0.27%             | 2048-04-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2020 2A A2 144A         | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324225 | PA      | $267928.19    | 0.36%             | 2051-01-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2020-SFR TAH 2020 SFR2 A 144A    | TRICON AMERICAN HOMES 2020-SFR TAH 2020 SFR2 A 144A    | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    332722 | PA      | $276027.80    | 0.37%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER FINANCE VIII TCF 2020 1A A 144A       | TRITON CONTAINER FINANCE VIII TCF 2020 1A A 144A       | CUSIP: 89680HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023871 | PA      | $870067.51    | 1.18%             | 2045-09-20      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER FINANCE VIII TCF 2021 1A A 144A       | TRITON CONTAINER FINANCE VIII TCF 2021 1A A 144A       | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283250 | PA      | $236203.19    | 0.32%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| VSE 2017-A VOI Mortgage LLC                            | VSE 2017-A VOI MORTGAGE LLC VSTNA 2017 A A 144A        | CUSIP: 918288AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76766 | PA      | $73233.30     | 0.10%             | 2035-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| VR FUNDING LLC VINE 2020 1A A 144A                     | VR FUNDING LLC VINE 2020 1A A 144A                     | CUSIP: 91835CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118449 | PA      | $104364.15    | 0.14%             | 2050-11-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                        | VANTAGE DATA CENTERS ISSUER LL VDC 2019 1A A2 144A     | CUSIP: 92212KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592110 | PA      | $557550.24    | 0.76%             | 2044-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                        | VANTAGE DATA CENTERS LLC VDC 2020 1A A2 144A           | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $270364.86    | 0.37%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                               | VANTAGE DATA CENTERS LLC VDC 2020 2A A2 144A           | CUSIP: 92212KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $503316.43    | 0.68%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| VCP RRL ABS I LTD VCRRL 2021 1A A 144A                 | VCP RRL ABS I LTD VCRRL 2021 1A A 144A                 | CUSIP: 92243RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70973 | PA      | $64137.16     | 0.09%             | 2031-10-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding LLC                                    | WENDY'S FUNDING LLC WEN 2021 1A A2I 144A               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994412 | PA      | $798939.84    | 1.08%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2020 1A A2 144A             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452580 | PA      | $385197.17    | 0.52%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BOCA COMMERCIAL MORTGAGE 05/39 1                       | BOCA COMMERCIAL MORTGAGE 05/39 1                       | CUSIP: 05592LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95496.45     | 0.13%             | 2039-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1 BX 2021 MFM1 D 144A                       | BX 2021-MFM1 BX 2021 MFM1 D 144A                       | CUSIP: 05608VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $125760.25    | 0.17%             | 2034-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** John Hancock Strategic Series

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer