# EDGAR Filing Document

**Accession Number:** 0000792858
**File Stem:** 0001145549-25-049341
**Filing Date:** 2025-7
**Character Count:** 109742
**Document Hash:** 3341cee0fb1d439c9920927fd15d86a8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-049341.hdr.sgml**: 20250729

**ACCESSION NUMBER**: 0001145549-25-049341

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250729

**DATE AS OF CHANGE**: 20250729

**PERIOD START**: 20250531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JOHN HANCOCK STRATEGIC SERIES
- **CENTRAL INDEX KEY:** 0000792858

**ORGANIZATION NAME:**
- **EIN:** 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:** 251158735

**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:** 617-543-9634

**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:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $206530693.01

**Total Liabilities:** $801657.42

**Net Assets:** $205729035.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -662.312574000000 | **1-Year:** -14085.553291000000 | **5-Year:** -40765.727968000000 | **10-Year:** -17352.801277000000 | **30-Year:** -4135.359041000000

**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 | 0.04%                | 0.67%                | 0.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $190197.96               | $-836967.18                                |
| Month 2  | $86473.23                | $320187.28                                 |
| Month 3  | $-16900.78               | $-591227.57                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| VERUS SECURITIZATION TRUST 202 VERUS 2020 5 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2020 5 A1 144A    | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185143 | PA      | $178702.09    | 0.09%             | 2065-05-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-R2                     | VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A   | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117167 | PA      | $107982.84    | 0.05%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 4 A1 144A    | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537373 | PA      | $442515.31    | 0.22%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-5                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 5 A1 144A    | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340176 | PA      | $290306.72    | 0.14%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 193 IO         | CUSIP: 38381LG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16089881 | PA      | $1051288.70   | 0.51%             | 2066-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 194 IO         | CUSIP: 38381LK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14026564 | PA      | $1081445.27   | 0.53%             | 2067-08-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 135 IO         | CUSIP: 38381LSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14658144 | PA      | $950807.83    | 0.46%             | 2066-11-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 3 IO           | CUSIP: 38381LU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13345428 | PA      | $915289.48    | 0.44%             | 2067-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 179 XI         | CUSIP: 38381LYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13788049 | PA      | $1008970.80   | 0.49%             | 2066-12-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 73 IO          | CUSIP: 38381MJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15903860 | PA      | $988254.72    | 0.48%             | 2067-08-16      | Variable      | 0.68%                 | 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        |   2389225 | PA      | $146125.27    | 0.07%             | 2064-07-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 197 IO         | CUSIP: 38384GVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7318022 | PA      | $623991.67    | 0.30%             | 2065-09-16      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 A 144A             | AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 A 144A             | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $117286.76    | 0.06%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1 TRUST AMSR 2021 SFR1 B 144A             | AMSR 2021-SFR1 TRUST AMSR 2021 SFR1 B 144A             | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $526595.70    | 0.26%             | 2038-06-17      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 A 144A             | AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 A 144A             | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757000 | PA      | $710249.80    | 0.35%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 31 LTD AGL 2024 31A A 144A                | AGL CORE CLO 31 LTD AGL 2024 31A A 144A                | CUSIP: 00852MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1718000 | PA      | $1722288.13   | 0.84%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 10 LTD AIMCO 2019 10A ARR 144A               | AIMCO CLO 10 LTD AIMCO 2019 10A ARR 144A               | CUSIP: 00901AAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    315000 | PA      | $315023.94    | 0.15%             | 2037-07-22      | Floating      | 5.68%                 | 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        |    714000 | PA      | $686142.00    | 0.33%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ISSUER LL ADC 2023 2A A2 144A     | ALIGNED DATA CENTERS ISSUER LL ADC 2023 2A A2 144A     | CUSIP: 01627AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1647331.34   | 0.80%             | 2048-11-16      | Fixed         | 6.50%                 | 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        |   1127652 | PA      | $943530.38    | 0.46%             | 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 2020- AOMT 2020 R1 A1 144A    | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87783 | PA      | $83242.65     | 0.04%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 1 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 1 A1 144A     | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292982 | PA      | $248757.20    | 0.12%             | 2066-01-25      | Variable      | 0.91%                 | 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        |    200990 | PA      | $171698.62    | 0.08%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A     | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588260 | PA      | $492978.80    | 0.24%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 3 A1 144A     | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408714 | PA      | $383857.11    | 0.19%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 5 A1 144A     | CUSIP: 03465YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1234900 | PA      | $1221954.86   | 0.59%             | 2068-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A           | ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A           | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1777683 | PA      | $1751820.30   | 0.85%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST 2021-A AQFIT 2021 A A 144A          | AQUA FINANCE TRUST 2021-A AQFIT 2021 A A 144A          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212890 | PA      | $195069.29    | 0.09%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arby's Funding Llc                                     | ARBYS FUNDING LLC ARBYS 2020 1A A2 144A                | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2538412 | PA      | $2413168.50   | 1.17%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust 2021-1R                          | ARROYO MORTGAGE TRUST 2021-1R ARRW 2021 1R A1 144A     | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112579 | PA      | $100893.91    | 0.05%             | 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        |     53278 | PA      | $50531.96     | 0.02%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC             | AVIS BUDGET RENTAL CAR FUNDING AESOP 2024 1A A 144A    | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1619000 | PA      | $1651243.84   | 0.80%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2020-C6 BBCMS 2020 C6 A2          | BBCMS MORTGAGE TRUST 2020-C6 BBCMS 2020 C6 A2          | CUSIP: 05492TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190941 | PA      | $178266.93    | 0.09%             | 2053-02-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2496000 | PA      | $2555110.52   | 1.24%             | 2041-12-10      | Variable      | 5.97%                 | 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        |    252000 | PA      | $251448.76    | 0.12%             | 2034-01-15      | Floating      | 5.94%                 | 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        |   1933000 | PA      | $1948099.82   | 0.95%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A1 144A    | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768323 | PA      | $678152.71    | 0.33%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 6 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 6 A1 144A    | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128592 | PA      | $111441.69    | 0.05%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-3                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A1 144A    | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504686 | PA      | $429456.09    | 0.21%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-8                      | VERUS SECURITIZATION TRUST VERUS 2023 8 A2 144A        | CUSIP: 92540DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322476 | PA      | $325104.08    | 0.16%             | 2068-12-25      | Variable      | 6.66%                 | 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        |    445041 | PA      | $424975.14    | 0.21%             | 2055-11-25      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C4 A3        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C4 A3        | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364000 | PA      | $1409752.52   | 0.69%             | 2058-05-15      | Fixed         | 5.67%                 | 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        |   4933613 | PA      | $259546.03    | 0.13%             | 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        |   3869669 | PA      | $223702.86    | 0.11%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 114 IO         | CUSIP: 38380PT20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    807223 | PA      | $43601.28     | 0.02%             | 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        |    774294 | PA      | $44490.16     | 0.02%             | 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        |    946238 | PA      | $55958.69     | 0.03%             | 2062-05-16      | Variable      | 0.77%                 | 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        |   2421533 | PA      | $139772.32    | 0.07%             | 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        |   4492694 | PA      | $305739.96    | 0.15%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| MVW 2022-2 LLC                                         | MVW 2022-2 LLC MVWOT 2022 2A A 144A                    | CUSIP: 55400VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125463 | PA      | $127458.81    | 0.06%             | 2041-10-21      | Fixed         | 6.11%                 | 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        |   1145000 | PA      | $1065398.57   | 0.52%             | 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        |    487106 | PA      | $466692.45    | 0.23%             | 2031-10-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-1                       | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 1 A1 144A     | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672342 | PA      | $650929.59    | 0.32%             | 2058-03-25      | Variable      | 3.75%                 | 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        |   1315267 | PA      | $1212122.93   | 0.59%             | 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        |   1217396 | PA      | $1100188.39   | 0.53%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST SERIES 20 VZMT 2024 5 A 144A      | VERIZON MASTER TRUST SERIES 20 VZMT 2024 5 A 144A      | CUSIP: 92348KDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3433000 | PA      | $3496049.79   | 1.70%             | 2032-06-21      | Fixed         | 5.00%                 | 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        |    411628 | PA      | $393346.15    | 0.19%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 3 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 3 A1 144A     | CUSIP: 89178UAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157337 | PA      | $151580.14    | 0.07%             | 2063-02-25      | Variable      | 3.09%                 | 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        |    351327 | PA      | $335771.51    | 0.16%             | 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        |    906445 | PA      | $818106.78    | 0.40%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-1                       | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 1 A1 144A     | CUSIP: 89182NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158314 | PA      | $1169515.42   | 0.57%             | 2064-03-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 3 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 3 A1A 144A    | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780235 | PA      | $790621.01    | 0.38%             | 2065-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573531 | PA      | $571509.43    | 0.28%             | 2064-10-27      | Variable      | 4.45%                 | 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        |    435780 | PA      | $405016.73    | 0.20%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 A 144A    | TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 A 144A    | CUSIP: 89616YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1396979 | PA      | $1378286.29   | 0.67%             | 2041-08-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR1 PROG 2024 SFR1 A 144A   | PROGRESS RESIDENTIAL 2024-SFR1 PROG 2024 SFR1 A 144A   | CUSIP: 74331QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775564 | PA      | $736371.48    | 0.36%             | 2041-02-17      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 PROG 2021 SFR6 A 144A   | PROGRESS RESIDENTIAL 2025-SFR1 PROG 2021 SFR6 A 144A   | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429542 | PA      | $417290.34    | 0.20%             | 2038-07-17      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| RIN XII LLC RIN 2025 1A A1 144A                        | RIN XII LLC RIN 2025 1A A1 144A                        | CUSIP: 74983UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    960000 | PA      | $958790.40    | 0.47%             | 2038-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| RIN II Ltd.                                            | RIN II LTD RIN 2019 1A AR 144A                         | CUSIP: 76676CAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    857000 | PA      | $858567.45    | 0.42%             | 2038-01-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2225000 | PA      | $2264762.09   | 1.10%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT2 144A    | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371182 | PA      | $326912.96    | 0.16%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-D                | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A     | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119416 | PA      | $108421.53    | 0.05%             | 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        |   1140000 | PA      | $986686.42    | 0.48%             | 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        |   1678000 | PA      | $1444523.92   | 0.70%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 23 IO          | CUSIP: 38380JPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15296168 | PA      | $520548.49    | 0.25%             | 2059-11-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 69 IO          | CUSIP: 38380JQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57183 | PA      | $2569.57      | 0.00%             | 2060-04-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 114 IO         | CUSIP: 38380MFV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80562 | PA      | $3179.43      | 0.00%             | 2060-04-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 158 IO         | CUSIP: 38380MUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165111 | PA      | $9701.97      | 0.00%             | 2061-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 150 IO         | CUSIP: 38380RBL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1070127 | PA      | $74797.26     | 0.04%             | 2062-12-16      | Variable      | 0.97%                 | 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        |    496574 | PA      | $32011.99     | 0.02%             | 2062-11-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 3 IO           | CUSIP: 38380RQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1991598 | PA      | $127066.14    | 0.06%             | 2062-09-16      | 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        |   2829994 | PA      | $147662.87    | 0.07%             | 2063-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 30 IO          | CUSIP: 38381H2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2925413 | PA      | $199405.51    | 0.10%             | 2064-11-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 221 IO         | CUSIP: 38381HG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6768937 | PA      | $408061.28    | 0.20%             | 2064-06-16      | Variable      | 0.84%                 | 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      | $720724.43    | 0.35%             | 2049-07-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| EXTENET ISSUER LLC EXTNT 2024 1A A2 144A               | EXTENET ISSUER LLC EXTNT 2024 1A A2 144A               | CUSIP: 30227XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1883000 | PA      | $1881328.65   | 0.91%             | 2054-07-25      | Fixed         | 5.33%                 | 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        |    652678 | PA      | $7.05         | 0.00%             | 2025-06-25      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210117 | PA      | $998922.82    | 0.49%             | 2066-06-25      | Variable      | 0.93%                 | 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        |     19632 | PA      | $18557.40     | 0.01%             | 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        |    100273 | PA      | $84840.71     | 0.04%             | 2066-02-25      | Variable      | 0.80%                 | 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      | $204162.84    | 0.10%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 D 144A    | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 D 144A    | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $427299.50    | 0.21%             | 2038-08-17      | Fixed         | 2.19%                 | 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        |     27135 | PA      | $26450.17     | 0.01%             | 2053-02-15      | Fixed         | 2.77%                 | 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        |   1911400 | PA      | $1742158.20   | 0.85%             | 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        |   3404160 | PA      | $3212457.11   | 1.56%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2024 1A A2 144A             | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047000 | PA      | $1059063.12   | 0.51%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | ZAYO ISSUER LLC ZAYO 2025 1A A2 144A                   | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1678000 | PA      | $1686015.97   | 0.82%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ZAXBYS FUNDING LLC ZAXBY 2021 1A A2 144A               | ZAXBYS FUNDING LLC ZAXBY 2021 1A A2 144A               | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895125 | PA      | $819017.56    | 0.40%             | 2051-07-30      | Fixed         | 3.24%                 | 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        |   5397060 | PA      | $312401.27    | 0.15%             | 2064-06-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 144 IO         | CUSIP: 38381HPQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20300643 | PA      | $1017372.84   | 0.49%             | 2064-10-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 33 IO          | CUSIP: 38381JAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4606654 | PA      | $305227.23    | 0.15%             | 2063-05-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 36 IO          | CUSIP: 38381JDB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8033313 | PA      | $508703.93    | 0.25%             | 2064-10-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 62 IO          | CUSIP: 38381JED5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4889698 | PA      | $315294.60    | 0.15%             | 2065-02-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 177 IO         | CUSIP: 38381JG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7549150 | PA      | $463960.20    | 0.23%             | 2065-06-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 91 IO          | CUSIP: 38381JKL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4470690 | PA      | $315349.07    | 0.15%             | 2065-04-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 105 IO         | CUSIP: 38381JMK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5580530 | PA      | $347788.71    | 0.17%             | 2065-07-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 35 IO          | CUSIP: 38381L7W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16428135 | PA      | $953042.11    | 0.46%             | 2066-09-16      | Variable      | 0.77%                 | 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        |    374928 | PA      | $368238.85    | 0.18%             | 2030-12-29      | 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        |    425323 | PA      | $423419.74    | 0.21%             | 2037-07-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JH COLLATERAL                                          | JH COLLATERAL                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    207658 | NS      | $2077118.51   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 140 IO         | CUSIP: 38379R4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33904 | PA      | $924.81       | 0.00%             | 2059-02-16      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 109 IO         | CUSIP: 38379RG98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46203 | PA      | $593.77       | 0.00%             | 2057-04-16      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 174 IO         | CUSIP: 38379RJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36098 | PA      | $1509.07      | 0.00%             | 2056-11-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 23 IO          | CUSIP: 38379RMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5140944 | PA      | $174059.51    | 0.08%             | 2059-05-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 22 IO          | CUSIP: 38379RNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22431 | PA      | $826.45       | 0.00%             | 2057-12-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 54 IO          | CUSIP: 38379RSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16190490 | PA      | $556444.48    | 0.27%             | 2058-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 61 IO          | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234839 | PA      | $8460.29      | 0.00%             | 2059-05-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 124 IO         | CUSIP: 38379RW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38420 | PA      | $1334.95      | 0.00%             | 2059-01-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 10 IO          | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420706 | PA      | $30904.16     | 0.02%             | 2063-05-16      | Variable      | 0.99%                 | 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        |    613632 | PA      | $44686.92     | 0.02%             | 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        |   5562526 | PA      | $361552.50    | 0.18%             | 2063-07-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 220 IO         | CUSIP: 38381ELU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5110287 | PA      | $317515.90    | 0.15%             | 2063-12-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2023 1A A2 144A              | CUSIP: 44148HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1825000 | PA      | $1833828.99   | 0.89%             | 2053-05-20      | Fixed         | 5.69%                 | 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        |   1660000 | PA      | $1589979.87   | 0.77%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2024 1A A2 144A              | CUSIP: 44148JAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1061059.86   | 0.52%             | 2054-06-20      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2024 1A A2 144A    | CUSIP: 59170JAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1923000 | PA      | $1961557.69   | 0.95%             | 2054-04-20      | Fixed         | 6.23%                 | 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        |     82451 | PA      | $81383.78     | 0.04%             | 2031-04-22      | Fixed         | 2.81%                 | 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        |    999531 | PA      | $863759.72    | 0.42%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-CP1 NYMT 2022 CP1 A1 144A         | NYMT LOAN TRUST 2022-CP1 NYMT 2022 CP1 A1 144A         | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851104 | PA      | $790368.33    | 0.38%             | 2061-07-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F       | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 FA A 144A    | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31816 | PA      | $29511.78     | 0.01%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H       | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 IA A1A 144A  | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131460 | PA      | $120139.73    | 0.06%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 FA A 144A    | NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 FA A 144A    | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    584777 | PA      | $514603.03    | 0.25%             | 2070-02-18      | Fixed         | 1.11%                 | 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        |    133859 | PA      | $114486.09    | 0.06%             | 2069-08-26      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 A3      | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 A3      | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2500803.86   | 1.22%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11 BX 2019 OC11 A 144A                 | BX TRUST 2019-OC11 BX 2019 OC11 A 144A                 | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1172000 | PA      | $1084186.96   | 0.53%             | 2041-12-09      | Fixed         | 3.20%                 | 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        |   1409000 | PA      | $1282949.73   | 0.62%             | 2036-08-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7 BANK5 2024 5YR7 A3                     | BANK5 2024-5YR7 BANK5 2024 5YR7 A3                     | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $1047499.49   | 0.51%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C31 BBCMS 2024 5C31 A3      | BBCMS MORTGAGE TRUST 2024-5C31 BBCMS 2024 5C31 A3      | CUSIP: 07336YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983000 | PA      | $1011563.52   | 0.49%             | 2057-12-15      | Fixed         | 5.61%                 | 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        |   2197067 | PA      | $2006376.32   | 0.98%             | 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        |    262116 | PA      | $256654.48    | 0.12%             | 2052-08-15      | Fixed         | 3.00%                 | 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        |    530000 | PA      | $495999.33    | 0.24%             | 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        |    272976 | PA      | $259774.47    | 0.13%             | 2052-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF HIPPOLYTA ISSUER LLC SORT 2020 1 A1 144A            | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1876257 | PA      | $1862336.93   | 0.91%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF HIPPOLYTA ISSUER LLC SORT 2021 1A A1 144A           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2347637 | PA      | $2260372.39   | 1.10%             | 2061-03-15      | Fixed         | 1.53%                 | 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        |   1327047 | PA      | $1225013.46   | 0.60%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| CLI Funding VI LLC                                     | CLI FUNDING VI LLC CLIF 2020 3A A 144A                 | CUSIP: 12563LAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342692 | PA      | $316842.08    | 0.15%             | 2045-10-18      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2021 1A A 144A               | CUSIP: 12565KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    793593 | PA      | $722914.05    | 0.35%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2022 1A A 144A               | CUSIP: 12565KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887880 | PA      | $804375.63    | 0.39%             | 2047-01-18      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2023 1A A 144A               | CUSIP: 12565KAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253128 | PA      | $253260.25    | 0.12%             | 2048-06-18      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM1 CSMC 2021 NQM1 A1 144A                  | CSMC 2021-NQM1 CSMC 2021 NQM1 A1 144A                  | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457197 | PA      | $414125.99    | 0.20%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET CSMC 2020 NET A 144A                     | CSMC 2020-NET CSMC 2020 NET A 144A                     | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200892 | PA      | $198601.05    | 0.10%             | 2037-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2023 1A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2023 1A A2 144A   | CUSIP: 23284BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1893000 | PA      | $1837413.95   | 0.89%             | 2048-04-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 2A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 2A A2 144A   | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2671000 | PA      | $2573889.92   | 1.25%             | 2049-05-20      | Fixed         | 4.50%                 | 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        |    431738 | PA      | $424286.50    | 0.21%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2            | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335332 | PA      | $294738.03    | 0.14%             | 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        |   1229000 | PA      | $1163231.79   | 0.57%             | 2049-04-15      | Fixed         | 1.76%                 | 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        |   1330560 | PA      | $1257018.09   | 0.61%             | 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        |   1862338 | PA      | $1727884.37   | 0.84%             | 2051-04-25      | Fixed         | 2.66%                 | 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        |   1846123 | PA      | $1755947.12   | 0.85%             | 2051-01-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2021-A LLC                  | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A A 144A     | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38212 | PA      | $35971.66     | 0.02%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C8 MORTGAGE TRUST BMO 2024 5C8 A3            | BMO 2024-5C8 MORTGAGE TRUST BMO 2024 5C8 A3            | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1029785.60   | 0.50%             | 2057-12-15      | Variable      | 5.63%                 | 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        |    845000 | PA      | $680213.25    | 0.33%             | 2046-11-10      | Variable      | 2.68%                 | 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        |   1186159 | PA      | $993029.85    | 0.48%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-AFC1 TRUST CSMC 2021 AFC1 A1 144A            | CSMC 2021-AFC1 TRUST CSMC 2021 AFC1 A1 144A            | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1008161 | PA      | $809104.48    | 0.39%             | 2056-03-25      | Variable      | 0.83%                 | 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        |    332335 | PA      | $297006.72    | 0.14%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2023 SMRT A 144A   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2023 SMRT A 144A   | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1670000 | PA      | $1712954.91   | 0.83%             | 2040-10-12      | Variable      | 5.82%                 | 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        |    139672 | PA      | $136722.99    | 0.07%             | 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        |    455483 | PA      | $429247.05    | 0.21%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| COLT 2021-2 MORTGAGE LOAN TRUS COLT 2021 2 A1 144A     | COLT 2021-2 MORTGAGE LOAN TRUS COLT 2021 2 A1 144A     | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322206 | PA      | $268696.20    | 0.13%             | 2066-08-25      | Variable      | 0.92%                 | 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        |   1029525 | PA      | $1013687.92   | 0.49%             | 2047-11-20      | Fixed         | 4.03%                 | 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        |   3073000 | PA      | $2995132.33   | 1.46%             | 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        |   1356000 | PA      | $1298776.94   | 0.63%             | 2051-10-25      | Fixed         | 2.40%                 | 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        |   1773960 | PA      | $1643369.08   | 0.80%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2024 1A A2 144A         | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2826640 | PA      | $2902551.68   | 1.41%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MORTGAGE TR BMARK 2019 B10 A4       | BENCHMARK 2019-B10 MORTGAGE TR BMARK 2019 B10 A4       | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $470913.13    | 0.23%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V12 MORTGAGE TR BMARK 2024 V12 A3       | BENCHMARK 2024-V12 MORTGAGE TR BMARK 2024 V12 A3       | CUSIP: 081915AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726000 | PA      | $751069.07    | 0.37%             | 2057-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                | BOURZOU ISSUER LLC, JAMSHID IS CLDCD 2024 2A A2 144A   | CUSIP: 102104AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1529557.01   | 0.74%             | 2049-11-22      | Fixed         | 5.92%                 | 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        |    316291 | PA      | $294256.95    | 0.14%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CARS-DB7 LP CAUTO 2023 1A A1 144A                      | CARS-DB7 LP CAUTO 2023 1A A1 144A                      | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046444 | PA      | $2058630.35   | 1.00%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 2A A2 144A          | CUSIP: 12510HAX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883813 | PA      | $874626.08    | 0.43%             | 2054-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 3A A1 144A          | CUSIP: 12510HAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966520 | PA      | $921511.81    | 0.45%             | 2054-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Csmc 2021-Nqm6 Trust                                   | CSMC 2021-NQM6 TRUST CSMC 2021 NQM6 A1 144A            | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661279 | PA      | $549323.65    | 0.27%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 A 144A   | PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 A 144A   | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339404 | PA      | $332236.59    | 0.16%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 A 144A   | PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 A 144A   | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1517000 | PA      | $1416748.75   | 0.69%             | 2042-04-17      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 PROG 2025 SFR1 A 144A   | PROGRESS RESIDENTIAL 2025-SFR1 PROG 2025 SFR1 A 144A   | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1218000 | PA      | $1140757.24   | 0.55%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR A 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR A 144A             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1981000 | PA      | $2005999.43   | 0.98%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1926000 | PA      | $1989513.89   | 0.97%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC               | RETAINED VANTAGE DATA CENTERS VDCR 2023 1A A2A 144A    | CUSIP: 76134KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2279000 | PA      | $2252876.51   | 1.10%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT 2020-RPL1 TRUST COLT 2020 RPL1 A1 144A            | COLT 2020-RPL1 TRUST COLT 2020 RPL1 A1 144A            | CUSIP: 19687YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2285776 | PA      | $1947064.50   | 0.95%             | 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        |     18570 | PA      | $16652.12     | 0.01%             | 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        |    615879 | PA      | $509398.12    | 0.25%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING 2022-2 L SCFET 2022 2A C 144A    | SCF EQUIPMENT LEASING 2022-2 L SCFET 2022 2A C 144A    | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125725.78    | 0.06%             | 2032-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2022-1 LLC                       | SCF EQUIPMENT LEASING 2022-1 L SCFET 2022 1A A3 144A   | CUSIP: 784033AS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86059 | PA      | $85706.91     | 0.04%             | 2029-07-20      | Fixed         | 2.92%                 | 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        |    120142 | PA      | $102448.34    | 0.05%             | 2066-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER II CMPDC 2024 1A A1 144A    | COMPASS DATACENTERS ISSUER II CMPDC 2024 1A A1 144A    | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1406269.48   | 0.68%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA SLG 2021 OVA D 144A          | SLG OFFICE TRUST 2021-OVA SLG 2021 OVA D 144A          | CUSIP: 78449RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $202172.23    | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A     | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117195 | PA      | $117644.32    | 0.06%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A     | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1330324 | PA      | $1333583.49   | 0.65%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A    | COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A    | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579000 | PA      | $579551.56    | 0.28%             | 2050-02-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER II CMPDC 2025 1A A1 144A    | COMPASS DATACENTERS ISSUER II CMPDC 2025 1A A1 144A    | CUSIP: 20469CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1374000 | PA      | $1382497.60   | 0.67%             | 2050-05-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A    | CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A    | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1677832.05   | 0.82%             | 2055-05-20      | Fixed         | 6.00%                 | 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        |    107935 | PA      | $102615.77    | 0.05%             | 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        |   2143000 | PA      | $2080315.54   | 1.01%             | 2062-02-01      | Fixed         | 3.94%                 | 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        |     68011 | PA      | $64806.60     | 0.03%             | 2039-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL A 144A     | HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL A 144A     | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1463000 | PA      | $1492476.23   | 0.73%             | 2040-01-13      | Variable      | 5.47%                 | 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        |    335488 | PA      | $290219.46    | 0.14%             | 2056-06-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES 2024-SFR1 TRU IHSFR 2024 SFR1 A 144A  | INVITATION HOMES 2024-SFR1 TRU IHSFR 2024 SFR1 A 144A  | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302768 | PA      | $1260384.62   | 0.61%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341000 | PA      | $301781.59    | 0.15%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                              | JERSEY MIKE'S FUNDING LLC JMIKE 2024 1A A2 144A        | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1909215 | PA      | $1926004.64   | 0.94%             | 2055-02-15      | Fixed         | 5.64%                 | 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        |    553460 | PA      | $522196.71    | 0.25%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2023 1A A2 144A    | CUSIP: 59170DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1215000 | PA      | $1242234.35   | 0.60%             | 2053-04-20      | Fixed         | 6.56%                 | 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        |   2120694 | PA      | $1968728.87   | 0.96%             | 2051-04-30      | Fixed         | 3.58%                 | 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        |    904612 | PA      | $825768.46    | 0.40%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2023-1 NBLY 2023 1A A2 144A          | NEIGHBORLY ISSUER 2023-1 NBLY 2023 1A A2 144A          | CUSIP: 64016NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566950 | PA      | $573656.62    | 0.28%             | 2053-01-30      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | NEW ECONOMY ASSETS - PHASE 1 S USRE 2021 1 A1 144A     | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2857000 | PA      | $2681204.22   | 1.30%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | NEW ECONOMY ASSETS - PHASE 1 S USRE 2021 1 B1 144A     | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297000 | PA      | $1180610.85   | 0.57%             | 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        |     73156 | PA      | $68115.24     | 0.03%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM2 TRUST OBX 2021 NQM2 A1 144A              | OBX 2021-NQM2 TRUST OBX 2021 NQM2 A1 144A              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012600 | PA      | $819191.51    | 0.40%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                    | OBX 2021-NQM1 TRUST OBX 2021 NQM1 A1 144A              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475212 | PA      | $403639.72    | 0.20%             | 2066-02-25      | Variable      | 1.07%                 | 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        |   1087518 | PA      | $879420.46    | 0.43%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| NXPT COMMERCIAL MORTGAGE TRUST NXPT 2024 STOR A 144A   | NXPT COMMERCIAL MORTGAGE TRUST NXPT 2024 STOR A 144A   | CUSIP: 67119YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    741000 | PA      | $722999.92    | 0.35%             | 2041-11-05      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2024-2 LTD PLMRS 2024 2A A1 144A     | PALMER SQUARE CLO 2024-2 LTD PLMRS 2024 2A A1 144A     | CUSIP: 69703LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    578000 | PA      | $578439.28    | 0.28%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2019 1A A2 144A         | CUSIP: 817743AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212625 | PA      | $208378.84    | 0.10%             | 2049-10-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2021 1A A2 144A         | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224000 | PA      | $1131282.49   | 0.55%             | 2051-04-25      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2024 1A A2 144A         | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905538 | PA      | $921671.37    | 0.45%             | 2054-01-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A     | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1659236 | PA      | $1672258.99   | 0.81%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A     | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114634 | PA      | $116430.90    | 0.06%             | 2052-11-15      | Fixed         | 5.67%                 | 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        |   1344930 | PA      | $1311388.13   | 0.64%             | 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        |   1247775 | PA      | $1191786.35   | 0.58%             | 2050-01-20      | Fixed         | 4.34%                 | 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        |   1432477 | PA      | $1296792.92   | 0.63%             | 2051-08-20      | Fixed         | 2.19%                 | 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        |    536413 | PA      | $500362.77    | 0.24%             | 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        |   1197487 | PA      | $1076963.27   | 0.52%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A2I 144A             | SUBWAY FUNDING LLC SUBWAY 2024 1A A2I 144A             | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1217880 | PA      | $1230026.65   | 0.60%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A2II 144A            | SUBWAY FUNDING LLC SUBWAY 2024 1A A2II 144A            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128330 | PA      | $1150155.74   | 0.56%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 3A A23 144A             | SUBWAY FUNDING LLC SUBWAY 2024 3A A23 144A             | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2293475 | PA      | $2242217.21   | 1.09%             | 2054-07-30      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2024 2A A2 144A            | SWITCH ABS ISSUER LLC SWTCH 2024 2A A2 144A            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098000 | PA      | $1094790.22   | 0.53%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2025 1A A2 144A            | SWITCH ABS ISSUER LLC SWTCH 2025 1A A2 144A            | CUSIP: 871044AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873000 | PA      | $1826054.38   | 0.89%             | 2055-03-25      | Fixed         | 5.04%                 | 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        |   1200000 | PA      | $1120829.16   | 0.54%             | 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        |   1000308 | PA      | $892840.26    | 0.43%             | 2046-02-20      | Fixed         | 1.65%                 | 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        |    200000 | PA      | $196477.58    | 0.10%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A     | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615633 | PA      | $579434.36    | 0.28%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | UNITI FIBER ABS ISSUER LLC UNIT 2025 1A A2 144A        | CUSIP: 91326EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121000 | PA      | $1138358.12   | 0.55%             | 2055-04-20      | Fixed         | 5.88%                 | 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        |    449482 | PA      | $421438.67    | 0.20%             | 2050-11-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-1 FSMT 2021 1 A2 144A     | FLAGSTAR MORTGAGE TRUST 2021-1 FSMT 2021 1 A2 144A     | CUSIP: 33852DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991529 | PA      | $792409.53    | 0.39%             | 2051-02-01      | Variable      | 2.50%                 | 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        |    508680 | PA      | $485335.00    | 0.24%             | 2065-04-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A            | GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912886 | PA      | $783388.10    | 0.38%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM6 TRUST GCAT 2021 NQM6 A1 144A            | GCAT 2021-NQM6 TRUST GCAT 2021 NQM6 A1 144A            | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93406 | PA      | $84108.05     | 0.04%             | 2066-08-25      | Variable      | 1.85%                 | 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        |    451905 | PA      | $391216.10    | 0.19%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                    | GMF FLOORPLAN OWNER REVOLVING GFORT 2024 2A A 144A     | CUSIP: 361886DF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199000 | PA      | $1223138.99   | 0.59%             | 2031-03-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-NQM1          | GS MORTGAGE-BACKED SECURITIES GSMBS 2020 NQM1 A1 144A  | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229715 | PA      | $216175.99    | 0.11%             | 2060-09-27      | Variable      | 1.38%                 | 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        |   1043009 | PA      | $930524.77    | 0.45%             | 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        |    190610 | PA      | $189347.60    | 0.09%             | 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        |    302610 | PA      | $300206.03    | 0.15%             | 2029-04-20      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 89 IO          | CUSIP: 38379RZH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33026 | PA      | $868.79       | 0.00%             | 2059-07-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 20 IO          | CUSIP: 38379U6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75037 | PA      | $1700.21      | 0.00%             | 2058-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 46 IO          | CUSIP: 38379U7Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56003 | PA      | $2104.87      | 0.00%             | 2057-11-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 99 IO          | CUSIP: 38380J7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165657 | PA      | $5656.47      | 0.00%             | 2060-06-16      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 159 IO         | CUSIP: 38380JAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21100106 | PA      | $537504.10    | 0.26%             | 2059-06-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 131 IO         | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131361 | PA      | $7490.05      | 0.00%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

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

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer