# EDGAR Filing Document

**Accession Number:** 0000276463
**File Stem:** 0001752724-25-205174
**Filing Date:** 2025-8
**Character Count:** 2421533
**Document Hash:** 49eb20f127c6bc88a2fe54edc463333d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-205174.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-205174

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK BOND FUND, INC.
- **CENTRAL INDEX KEY:** 0000276463

**ORGANIZATION NAME:**
- **EIN:** 132949519
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02857
- **FILM NUMBER:** 251255681

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MERRILL LYNCH BOND FUND INC
- **DATE OF NAME CHANGE:** 20030804

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MERRILL LYNCH CORPORATE BOND FUND INC/NY
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MERRILL LYNCH HIGH INCOME FUND INC - CORRECTED NAME CHANGE
- **DATE OF NAME CHANGE:** 19600201

## Series and Classes Contracts Data

### BlackRock Total Return Fund (Series ID: S000004071)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000011387 | Investor A     |  |
| C000011390 | Institutional  |  |
| C000011391 | Class R        |  |
| C000037618 | Investor A1    |  |
| C000037620 | Investor C     |  |
| C000052630 | Service        |  |
| C000052631 | Class K Shares |  |

## Nport-Ex

Consolidated Schedule of Investments (unaudited)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; 1988 CLO 5 Ltd., Series 2024-5A, Class A1, <br> (3-mo. CME Term SOFR + 1.54%), 5.80%, <br> 07/15/37<sup>(a)(b)</sup><br>| USD  | 3675 | $3691180 |
| &nbsp;&nbsp;&nbsp; 522 Funding CLO Ltd., Series 2019-5A, <br> Class AR, (3-mo. CME Term SOFR + 1.33%), <br> 5.59%, 04/15/35<sup>(a)(b)</sup><br>|  | 510 | 511237 |
| &nbsp;&nbsp;&nbsp; 720 East CLO VII Ltd., Series 2025-7A, <br> Class A1, (3-mo. CME Term SOFR + 1.06%), <br> 5.34%, 04/20/37<sup>(a)(b)</sup><br>|  | 7410 | 7412349 |
| &nbsp;&nbsp;&nbsp; AB BSL CLO 3 Ltd., Series 2021-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.25%), 5.52%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 1190 | 1191691 |
| ACE Securities Corp. Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-OP1, Class A2, (1-mo. CME <br> Term SOFR + 0.83%), 5.15%, 12/25/33<sup>(b)</sup><br>|  | 481 | 460402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AG1, Class M2, (1-mo. CME <br> Term SOFR + 0.80%), 5.12%, 08/25/35<sup>(b)</sup><br>|  | 494 | 408128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CW1, Class A2C, (1-mo. CME <br> Term SOFR + 0.39%), 4.71%, 07/25/36<sup>(b)</sup><br>|  | 217 | 175825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE4, Class A2A, (1-mo. CME <br> Term SOFR + 0.37%), 4.69%, 05/25/37<sup>(b)</sup><br>|  | 2324 | 365220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE4, Class A2C, (1-mo. CME <br> Term SOFR + 0.71%), 5.03%, 05/25/37<sup>(b)</sup><br>|  | 205 | 32632 |
| Affirm Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.61%, 02/15/29<sup>(a)</sup> |  | 3805 | 3822306 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class C, 5.34%, 04/15/30<sup>(a)</sup> |  | 1280 | 1280969 |
| Affirm Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.99%, 02/15/33<sup>(a)</sup> |  | 14743 | 14856226 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 5.13%, 02/15/33<sup>(a)</sup> |  | 1155 | 1162487 |
| &nbsp;&nbsp;&nbsp; AGL CLO 11 Ltd., Series 2021-11A, Class E, <br> (3-mo. CME Term SOFR + 6.62%), 10.88%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 250 | 250020 |
| &nbsp;&nbsp;&nbsp; AGL CLO 12 Ltd., Series 2021-12A, Class A1, <br> (3-mo. CME Term SOFR + 1.42%), 5.69%, <br> 07/20/34<sup>(a)(b)</sup><br>|  | 7640 | 7654129 |
| &nbsp;&nbsp;&nbsp; AGL CLO 13 Ltd., Series 2021-13A, Class A1, <br> (3-mo. CME Term SOFR + 1.42%), 5.69%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 250 | 250500 |
| &nbsp;&nbsp;&nbsp; AGL CLO 20 Ltd., Series 2022-20A, Class BR, <br> (3-mo. CME Term SOFR + 1.75%), 6.02%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 3331 | 3334508 |
| &nbsp;&nbsp;&nbsp; AGL CLO 26 Ltd., Series 2023-26A, Class A, <br> (3-mo. CME Term SOFR + 1.70%), 5.97%, <br> 10/21/36<sup>(a)(b)</sup><br>|  | 5000 | 5018395 |
| &nbsp;&nbsp;&nbsp; AGL CLO 32 Ltd., Series 2024-32A, Class A1, <br> (3-mo. CME Term SOFR + 1.38%), 5.65%, <br> 07/21/37<sup>(a)(b)</sup><br>|  | 1900 | 1905928 |
| &nbsp;&nbsp;&nbsp; AGL CLO 37 Ltd., Series 2024-37A, Class A1, <br> (3-mo. CME Term SOFR + 1.24%), 5.54%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 290 | 290290 |
| AGL CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class AR, (3-mo. CME Term <br> SOFR + 1.46%), 5.72%, 07/15/34<sup>(a)(b)</sup><br>|  | 2400 | 2402861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class DR, (3-mo. CME Term <br> SOFR + 3.36%), 7.62%, 07/15/34<sup>(a)(b)</sup><br>|  | 500 | 502064 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 15 Ltd., Series 2021-15A, <br> Class A1, (3-mo. CME Term SOFR + 1.41%), <br> 5.68%, 01/20/35<sup>(a)(b)</sup><br>|  | 1344 | 1346873 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 2 Ltd., Series 2019-2A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.46%), 5.73%, 07/20/37<sup>(a)(b)</sup><br>|  | 14335 | 14387579 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 38 Ltd., Series 2025-38A, <br> Class A1, (3-mo. CME Term SOFR + 1.24%), <br> 5.56%, 01/22/38<sup>(a)(b)</sup><br>| USD  | 3370 | $3373370 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 4 Ltd., Series 2020-4A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.38%), 5.65%, 10/20/37<sup>(a)(b)</sup><br>|  | 3620 | 3634878 |
| &nbsp;&nbsp;&nbsp; AIMCO CLO 11 Ltd., Series 2020-11A, <br> Class BR2, (3-mo. CME Term SOFR + <br> 1.65%), 5.93%, 07/17/37<sup>(a)(b)</sup><br>|  | 3490 | 3493747 |
| &nbsp;&nbsp;&nbsp; AIMCO CLO 21 Ltd., Series 2024-21A, Class B, <br> (3-mo. CME Term SOFR + 1.92%), 6.19%, <br> 04/18/37<sup>(a)(b)</sup><br>|  | 750 | 752446 |
| &nbsp;&nbsp;&nbsp; AIMCO CLO 23 Ltd., Series 2025-23A, Class A, <br> (3-mo. CME Term SOFR + 1.13%), 5.39%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 1270 | 1268426 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 4.88%, 06/25/61<sup>(a)(b)</sup> |  | 28769 | 28666764 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 3.75%, 06/25/61<sup>(a)(b)</sup> |  | 8107 | 9044071 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 14332 | 14225299 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 12409 | 12176433 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class B, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 1749 | 1688711 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class C, 0.00%, 10/25/62<sup>(a)</sup> |  | 3935 | 2332931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class SA, 0.00%, <br> 10/25/62<sup>(a)(d)</sup><br>|  | 328 | 303485 |
| &nbsp;&nbsp;&nbsp; AMMC CLO 18 Ltd., Series 2016-18A, Class AR, <br> (3-mo. CME Term SOFR + 1.36%), 5.69%, <br> 05/26/31<sup>(a)(b)</sup><br>|  | 123 | 123388 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 17 Ltd., Series 2021-<br> 17A, Class A1R, (3-mo. CME Term SOFR + <br> 1.23%), 5.49%, 02/15/38<sup>(a)(b)</sup><br>|  | 11115 | 11126145 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 29 Ltd., Series 2024-<br> 29A, Class A1, (3-mo. CME Term SOFR + <br> 1.60%), 5.87%, 07/20/37<sup>(a)(b)</sup><br>|  | 3020 | 3033959 |
| Anchorage Capital CLO 6 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6A, Class AR3, (3-mo. CME <br> Term SOFR + 1.44%), 5.71%, <br> 04/22/34<sup>(a)(b)</sup><br>|  | 4570 | 4576101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6A, Class BR3, (3-mo. CME <br> Term SOFR + 2.10%), 6.37%, <br> 04/22/34<sup>(a)(b)</sup><br>|  | 5490 | 5523464 |
| Anchorage Capital CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class AR3, (3-mo. CME <br> Term SOFR + 1.56%), 5.84%, <br> 04/28/37<sup>(a)(b)</sup><br>|  | 5686 | 5707876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class BR3, (3-mo. CME <br> Term SOFR + 2.05%), 6.33%, <br> 04/28/37<sup>(a)(b)</sup><br>|  | 7620 | 7642862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class CR3, (3-mo. CME <br> Term SOFR + 2.45%), 6.73%, <br> 04/28/37<sup>(a)(b)</sup><br>|  | 4250 | 4276507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class DR3, (3-mo. CME <br> Term SOFR + 3.80%), 8.08%, <br> 04/28/37<sup>(a)(b)</sup><br>|  | 1140 | 1150161 |
| Anchorage Capital CLO 8 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class AR2A, (3-mo. CME <br> Term SOFR + 1.46%), 5.74%, <br> 10/27/34<sup>(a)(b)</sup><br>|  | 2395 | 2399082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class BR2, (3-mo. CME <br> Term SOFR + 2.06%), 6.34%, <br> 10/27/34<sup>(a)(b)</sup><br>|  | 2800 | 2816033 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Anchorage Capital Europe CLO 2 DAC, <br> Series 2A, Class DR, (3-mo. EURIBOR + <br> 3.55%), 5.83%, 04/15/34<sup>(a)(b)</sup><br>| EUR  | 1380 | $1625860 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital Europe CLO DAC, Series 4A, <br> Class D, (3-mo. EURIBOR + 3.20%), 5.36%, <br> 04/25/34<sup>(a)(b)</sup><br>|  | 542 | 639556 |
| &nbsp;&nbsp;&nbsp; Apidos CLO LII, Series 2025-52A, Class A1, <br> (3-mo. CME Term SOFR + 1.13%), 5.39%, <br> 04/20/38<sup>(a)(b)</sup><br>| USD  | 2680 | 2674640 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XV, Series 2013-15A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.27%), 5.54%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 294 | 293921 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XVIII-R, Series 2018-18A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.33%), 5.60%, 01/22/38<sup>(a)(b)</sup><br>|  | 880 | 882206 |
| Apidos CLO XX |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20A, Class A1RA, (3-mo. CME <br> Term SOFR + 1.36%), 5.62%, <br> 07/16/31<sup>(a)(b)</sup><br>|  | 377 | 377077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20A, Class A2RR, (3-mo. CME <br> Term SOFR + 1.81%), 6.07%, <br> 07/16/31<sup>(a)(b)</sup><br>|  | 250 | 250764 |
| Apidos CLO XXII |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-22A, Class A1R, (3-mo. CME <br> Term SOFR + 1.32%), 5.59%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 58 | 58009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-22A, Class A2R, (3-mo. CME <br> Term SOFR + 1.76%), 6.03%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 500 | 500879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-22A, Class BR, (3-mo. CME <br> Term SOFR + 2.21%), 6.48%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-22A, Class CR, (3-mo. CME <br> Term SOFR + 3.21%), 7.48%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 850 | 854902 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXIV, Series 2016-24A, <br> Class A2LX, (3-mo. CME Term SOFR + <br> 1.61%), 5.88%, 10/20/30<sup>(a)(b)</sup><br>|  | 660 | 659917 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXV, Series 2016-25A, Class BR3, <br> (3-mo. CME Term SOFR + 1.60%), 5.87%, <br> 01/20/37<sup>(a)(b)</sup><br>|  | 6850 | 6858717 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXI, Series 2019-31A, Class BR, <br> (3-mo. CME Term SOFR + 1.81%), 6.07%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 500 | 500910 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXII, Series 2019-32A, Class A1R, <br> (3-mo. CME Term SOFR + 1.10%), 5.37%, <br> 01/20/33<sup>(a)(b)</sup><br>|  | 826 | 825895 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXIV, Series 2020-34A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.41%), 5.68%, 01/20/35<sup>(a)(b)</sup><br>|  | 6244 | 6257574 |
| Apidos CLO XXXVI |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class B, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 07/20/34<sup>(a)(b)</sup><br>|  | 625 | 626276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class D, (3-mo. CME Term <br> SOFR + 3.16%), 7.43%, 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 249645 |
| Apidos CLO XXXVII |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-37A, Class A, (3-mo. CME Term <br> SOFR + 1.39%), 5.66%, 10/22/34<sup>(a)(b)</sup><br>|  | 450 | 450452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-37A, Class D, (3-mo. CME Term <br> SOFR + 3.31%), 7.58%, 10/22/34<sup>(a)(b)</sup><br>|  | 250 | 251360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-37A, Class E, (3-mo. CME Term <br> SOFR + 6.56%), 10.83%, 10/22/34<sup>(a)(b)</sup><br>|  | 455 | 455886 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust, Series 2021-A, Class A, <br> 1.54%, 07/17/46<sup>(a)</sup><br>| USD  | 224 | $205794 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd., <br> Series 2022-FL1, Class A, (SOFR (30-day) + <br> 1.45%), 5.75%, 01/15/37<sup>(a)(b)</sup><br>|  | 167 | 167097 |
| AREIT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (1-mo. CME <br> Term SOFR + 2.24%), 6.56%, <br> 06/17/39<sup>(a)(b)</sup><br>|  | 2113 | 2113696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CRE8, Class A, (1-mo. CME <br> Term SOFR + 2.11%), 6.43%, <br> 08/17/41<sup>(a)(b)</sup><br>|  | 2912 | 2921253 |
| AREIT Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CRE9, Class A, (1-mo. CME <br> Term SOFR + 1.69%), 6.00%, <br> 05/17/41<sup>(a)(b)</sup><br>|  | 12722 | 12759335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE10, Class A, (1-mo. CME <br> Term SOFR + 1.39%), 5.70%, <br> 12/17/29<sup>(a)(b)</sup><br>|  | 1830 | 1828489 |
| &nbsp;&nbsp;&nbsp; Ares European CLO XII DAC, Series 12A, <br> Class B1R, (3-mo. EURIBOR + 1.70%), <br> 3.94%, 04/20/32<sup>(a)(b)</sup><br>| EUR  | 889 | 1048900 |
| &nbsp;&nbsp;&nbsp; Ares LIX CLO Ltd., Series 2021-59A, Class A, <br> (3-mo. CME Term SOFR + 1.29%), 5.57%, <br> 04/25/34<sup>(a)(b)</sup><br>| USD  | 500 | 501585 |
| &nbsp;&nbsp;&nbsp; Ares Loan Funding IV Ltd., Series 2023-ALF4A, <br> Class A1, (3-mo. CME Term SOFR + 1.75%), <br> 6.01%, 10/15/36<sup>(a)(b)</sup><br>|  | 1270 | 1275242 |
| &nbsp;&nbsp;&nbsp; Ares LVI CLO Ltd., Series 2020-56A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.25%), 5.53%, 01/25/38<sup>(a)(b)</sup><br>|  | 2110 | 2113998 |
| &nbsp;&nbsp;&nbsp; Ares LVII CLO Ltd., Series 2020-57A, Class AR, <br> (3-mo. CME Term SOFR + 1.41%), 5.69%, <br> 01/25/35<sup>(a)(b)</sup><br>|  | 510 | 511358 |
| &nbsp;&nbsp;&nbsp; Ares XLVIII CLO Ltd., Series 2018-48A, Class B, <br> (3-mo. CME Term SOFR + 1.84%), 6.11%, <br> 07/20/30<sup>(a)(b)</sup><br>|  | 370 | 370709 |
| &nbsp;&nbsp;&nbsp; Argent Mortgage Loan Trust, Series 2005-W1, <br> Class A2, (1-mo. CME Term SOFR + 0.59%), <br> 4.91%, 05/25/35<sup>(b)</sup><br>|  | 2292 | 1863311 |
| Argent Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-M1, Class A2C, (1-mo. CME <br> Term SOFR + 0.41%), 4.73%, 07/25/36<sup>(b)</sup><br>|  | 3620 | 965963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class A2C, (1-mo. CME <br> Term SOFR + 0.69%), 5.01%, 03/25/36<sup>(b)</sup><br>|  | 673 | 368807 |
| Asimi Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, (1-day SONIA + <br> 1.35%), 5.57%, 09/16/31<sup>(b)(e)</sup><br>| GBP  | 600 | 823784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.95%), 6.17%, 09/16/31<sup>(b)(e)</sup><br>|  | 556 | 765431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, (1-day SONIA + <br> 1.75%), 5.97%, 05/16/32<sup>(b)(e)</sup><br>|  | 754 | 1035457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-day SONIA + <br> 2.40%), 6.62%, 05/16/32<sup>(b)(e)</sup><br>|  | 297 | 406645 |
| &nbsp;&nbsp;&nbsp; Asset-Backed European Securitisation <br> Transaction Twenty-Five Srl<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 25, Class D, (1-mo. EURIBOR + <br> 2.50%), 4.39%, 11/15/39<sup>(b)(e)</sup><br>| EUR  | 314 | 369943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 25, Class E, (1-mo. EURIBOR + <br> 4.00%), 5.89%, 11/15/39<sup>(b)(e)</sup><br>|  | 810 | 956238 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Asset-Backed European Securitisation <br> Transaction Twenty-Three Sarl<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 23, Class C, (1-mo. EURIBOR + <br> 1.60%), 3.48%, 03/21/34<sup>(b)(e)</sup><br>| EUR  | 500 | $593033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 23, Class D, (1-mo. EURIBOR + <br> 1.90%), 3.78%, 03/21/34<sup>(b)(e)</sup><br>|  | 300 | 356136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 23, Class E, (1-mo. EURIBOR + <br> 2.40%), 4.28%, 03/21/34<sup>(b)(e)</sup><br>|  | 300 | 356136 |
| &nbsp;&nbsp;&nbsp; Assurant CLO II Ltd., Series 2018-2A, Class A, <br> (3-mo. CME Term SOFR + 1.30%), 5.57%, <br> 04/20/31<sup>(a)(b)</sup><br>| USD  | 100 | 100213 |
| Auto ABS Italian Stella Loans SRL |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-mo. EURIBOR + <br> 1.70%), 3.63%, 12/29/36<sup>(b)(e)</sup><br>| EUR  | 404 | 479993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-mo. EURIBOR + <br> 2.30%), 4.23%, 12/29/36<sup>(b)(e)</sup><br>|  | 374 | 444960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, (1-mo. EURIBOR + <br> 1.25%), 3.29%, 12/28/40<sup>(b)(e)</sup><br>|  | 692 | 815450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-mo. EURIBOR + <br> 1.90%), 3.94%, 12/28/40<sup>(b)(e)</sup><br>|  | 229 | 269886 |
| Auto1 Car Funding S.a.r.l |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-mo. EURIBOR + <br> 1.50%), 3.39%, 12/15/33<sup>(b)(e)</sup><br>|  | 300 | 353846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-mo. EURIBOR + <br> 3.50%), 5.39%, 12/15/33<sup>(b)(e)</sup><br>|  | 300 | 364388 |
| AutoNoria Spain 2025 FT |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SP, Class D, (1-mo. EURIBOR + <br> 1.50%), 3.39%, 04/30/43<sup>(b)(e)</sup><br>|  | 400 | 471318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SP, Class E, (1-mo. EURIBOR + <br> 3.00%), 4.89%, 04/30/43<sup>(b)(e)</sup><br>|  | 500 | 589141 |
| &nbsp;&nbsp;&nbsp; Avoca CLO XVIII DAC, Series 18A, Class CR, <br> (3-mo. EURIBOR + 2.25%), 4.91%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 400 | 472001 |
| Avoca CLO XXII DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 22A, Class D, (3-mo. EURIBOR + <br> 2.90%), 5.18%, 04/15/35<sup>(a)(b)</sup><br>|  | 500 | 589834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 22X, Class B1, (3-mo. EURIBOR + <br> 1.30%), 3.58%, 04/15/35<sup>(b)(e)</sup><br>|  | 850 | 993763 |
| &nbsp;&nbsp;&nbsp; Avoca CLO XXIII DAC, Series 23A, Class D, <br> (3-mo. EURIBOR + 3.05%), 5.33%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 500 | 588982 |
| Bain Capital Credit CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.82%, 07/19/31<sup>(a)(b)</sup><br>| USD  | 500 | 499174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class ARR, (3-mo. CME <br> Term SOFR + 1.24%), 5.51%, <br> 07/19/34<sup>(a)(b)</sup><br>|  | 550 | 550687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, (3-mo. CME Term <br> SOFR + 3.36%), 7.64%, 07/24/34<sup>(a)(b)</sup><br>|  | 250 | 248233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME <br> Term SOFR + 1.20%), 5.47%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 560 | 560952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.52%), 5.78%, 07/15/37<sup>(a)(b)</sup><br>|  | 7880 | 7913091 |
| Ballyrock CLO 14 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-14A, Class A1AR, (3-mo. CME <br> Term SOFR + 1.38%), 5.65%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 2948 | 2957728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-14A, Class A2R, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 2500 | 2504756 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Ballyrock CLO 14 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-14A, Class DR, (3-mo. CME <br> Term SOFR + 5.85%), 10.12%, <br> 07/20/37<sup>(a)(b)</sup><br>| USD  | 250 | $250854 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 29 Ltd., Series 2025-29A, <br> Class A1A, (3-mo. CME Term SOFR + <br> 1.32%), 07/25/38<sup>(a)(b)(f)</sup><br>|  | 250 | 250062 |
| Ballyrock CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class DR, (3-mo. CME Term <br> SOFR + 6.41%), 10.68%, 10/20/31<sup>(a)(b)</sup><br>|  | 250 | 250250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.33%), 5.59%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 6935 | 6957915 |
| &nbsp;&nbsp;&nbsp; BankAmerica Manufactured Housing Contract <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1997-2, Class B1, 7.07%, 02/10/22<sup>(b)</sup> |  | 1680 | 172889 |
| &nbsp;&nbsp;&nbsp; Series 1998-2, Class B1, 7.19%, 12/10/25<sup>(b)</sup> |  | 2790 | 264657 |
| &nbsp;&nbsp;&nbsp; Bankers Healthcare Group Securitization Trust, <br> Series 2020-A, Class C, 5.17%, 09/17/31<sup>(a)</sup><br>|  | 410 | 409245 |
| &nbsp;&nbsp;&nbsp; Bardot CLO Ltd., Series 2019-2A, Class ARR, <br> (3-mo. CME Term SOFR + 0.98%), 5.25%, <br> 10/22/32<sup>(a)(b)</sup><br>|  | 1455 | 1454393 |
| &nbsp;&nbsp;&nbsp; Barings CLO Ltd., Series 2015-IA, Class BR, <br> (3-mo. CME Term SOFR + 1.66%), 5.93%, <br> 01/20/31<sup>(a)(b)</sup><br>|  | 980 | 982666 |
| &nbsp;&nbsp;&nbsp; Battalion CLO 18 Ltd., Series 2020-18A, <br> Class BR, (3-mo. CME Term SOFR + 2.01%), <br> 6.27%, 10/15/36<sup>(a)(b)</sup><br>|  | 1827 | 1832447 |
| &nbsp;&nbsp;&nbsp; Battalion CLO IX Ltd., Series 2015-9A, <br> Class DR, (3-mo. CME Term SOFR + 3.51%), <br> 7.77%, 07/15/31<sup>(a)(b)</sup><br>|  | 250 | 245101 |
| Battalion CLO VIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.33%), 5.60%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 1377 | 1377346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A2R2, (3-mo. CME <br> Term SOFR + 1.81%), 6.08%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 3250 | 3264537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class BR2, (3-mo. CME <br> Term SOFR + 2.26%), 6.53%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 2901 | 2907495 |
| &nbsp;&nbsp;&nbsp; Battalion CLO XI Ltd., Series 2017-11A, <br> Class BR, (3-mo. CME Term SOFR + 1.98%), <br> 6.26%, 04/24/34<sup>(a)(b)</sup><br>|  | 1000 | 1002939 |
| &nbsp;&nbsp;&nbsp; Bayswater Park CLO Ltd., Series 2023-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.73%), <br> 6.00%, 01/20/37<sup>(a)(b)</sup><br>|  | 970 | 974655 |
| Bayview Financial Revolving Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-B, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 5.44%, 05/28/39<sup>(a)(b)</sup><br>|  | 5252 | 4313887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-B, Class A2, (1-mo. CME Term <br> SOFR + 1.41%), 5.74%, 05/28/39<sup>(a)(b)</sup><br>|  | 148 | 68436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 5.44%, 02/28/40<sup>(a)(b)</sup><br>|  | 1100 | 988464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 5.44%, 12/28/40<sup>(a)(b)</sup><br>|  | 108 | 108327 |
| &nbsp;&nbsp;&nbsp; BBAM U.S. CLO I Ltd., Series 2022-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.20%), <br> 5.46%, 03/30/38<sup>(a)(b)</sup><br>|  | 2024 | 2023293 |
| BCMSC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2000-A, Class A2, 7.58%, 06/15/30<sup>(b)</sup> |  | 1674 | 117099 |
| &nbsp;&nbsp;&nbsp; Series 2000-A, Class A3, 7.83%, 06/15/30<sup>(b)</sup> |  | 1554 | 112217 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| BCMSC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2000-A, Class A4, 8.29%, 06/15/30<sup>(b)</sup> | USD  | 1121 | $85704 |
| BDS Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL11, Class ATS, (1-mo. CME <br> Term SOFR + 1.80%), 6.12%, <br> 03/19/39<sup>(a)(b)</sup><br>|  | 1439 | 1440300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL13, Class A, (1-mo. CME Term <br> SOFR + 1.58%), 5.89%, 09/19/39<sup>(a)(b)</sup><br>|  | 2735 | 2735459 |
| &nbsp;&nbsp;&nbsp; Bean Creek CLO Ltd., Series 2015-1A, <br> Class BR, (3-mo. CME Term SOFR + 1.71%), <br> 5.98%, 04/20/31<sup>(a)(b)</sup><br>|  | 428 | 428404 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HE7, Class M2, (1-mo. CME <br> Term SOFR + 1.84%), 6.16%, 08/25/34<sup>(b)</sup><br>|  | 5 | 4677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE1, Class 1M4, (1-mo. CME <br> Term SOFR + 1.13%), 5.41%, 12/25/35<sup>(b)</sup><br>|  | 2254 | 2196606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE7, Class 1A2, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 09/25/36<sup>(b)</sup><br>|  | 724 | 706990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 1A4, (1-mo. CME <br> Term SOFR + 0.43%), 4.75%, 03/25/37<sup>(b)</sup><br>|  | 928 | 850717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 22A, (1-mo. CME <br> Term SOFR + 0.39%), 4.71%, 03/25/37<sup>(b)</sup><br>|  | 361 | 337509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 23A, (1-mo. CME <br> Term SOFR + 0.39%), 4.71%, 03/25/37<sup>(b)</sup><br>|  | 414 | 391743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 1A3, (1-mo. CME <br> Term SOFR + 0.61%), 4.93%, 04/25/37<sup>(b)</sup><br>|  | 10 | 10116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 1A4, (1-mo. CME <br> Term SOFR + 0.81%), 5.13%, 04/25/37<sup>(b)</sup><br>|  | 7220 | 6883165 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO Ltd., Series 2021-<br> 23A, Class E, (3-mo. CME Term SOFR + <br> 7.07%), 11.35%, 04/25/34<sup>(a)(b)</sup><br>|  | 750 | 750000 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO V-B Ltd., <br> Series 2018-5BA, Class A1R, (3-mo. CME <br> Term SOFR + 1.53%), 5.80%, 07/20/37<sup>(a)(b)</sup><br>|  | 6170 | 6196764 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO VIII Ltd., <br> Series 2015-8A, Class A1AR, (3-mo. CME <br> Term SOFR + 1.36%), 5.63%, 01/20/31<sup>(a)(b)</sup><br>|  | 485 | 485508 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO X Ltd., Series 2016-<br> 10A, Class A2AR, (3-mo. CME Term SOFR + <br> 1.81%), 6.08%, 04/20/34<sup>(a)(b)</sup><br>|  | 710 | 711853 |
| Benefit Street Partners CLO XII-B Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-12BRA, Class A, (3-mo. CME <br> Term SOFR + 1.37%), 5.63%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 3811 | 3825711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-12BRA, Class B, (3-mo. CME <br> Term SOFR + 1.70%), 5.96%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 2000 | 2002688 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XIV Ltd., <br> Series 2018-14A, Class AR, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, 10/20/37<sup>(a)(b)</sup><br>|  | 750 | 752916 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XVI Ltd., <br> Series 2018-16A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.32%), 5.60%, 01/17/38<sup>(a)(b)</sup><br>|  | 920 | 922602 |
| Benefit Street Partners CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class AR, (3-mo. CME <br> Term SOFR + 1.43%), 5.69%, <br> 07/15/34<sup>(a)(b)</sup><br>|  | 3830 | 3836751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class ER, (3-mo. CME <br> Term SOFR + 7.01%), 11.27%, <br> 07/15/34<sup>(a)(b)</sup><br>|  | 250 | 250233 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXIII Ltd., <br> Series 2021-23A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.62%, 04/25/34<sup>(a)(b)</sup><br>| USD  | 800 | $801680 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXIX Ltd., <br> Series 2022-29A, Class AR, (3-mo. CME <br> Term SOFR + 1.18%), 5.46%, 01/25/38<sup>(a)(b)</sup><br>|  | 2150 | 2147850 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVI Ltd., <br> Series 2022-26A, Class AR, (3-mo. CME <br> Term SOFR + 1.38%), 5.65%, 07/20/37<sup>(a)(b)</sup><br>|  | 1310 | 1314154 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVII Ltd., <br> Series 2022-27A, Class AR, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, 10/20/37<sup>(a)(b)</sup><br>|  | 12020 | 12064880 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVII Ltd., <br> Series 2024-37A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.70%, 01/25/38<sup>(a)(b)</sup><br>|  | 4500 | 4516061 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVIII Ltd., <br> Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.31%), 5.62%, 01/25/38<sup>(a)(b)</sup><br>|  | 3920 | 3931797 |
| BHG Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.79%, 11/17/33<sup>(a)</sup> |  | 1007 | 972645 |
| &nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 5.93%, 10/17/35<sup>(a)</sup> |  | 1058 | 1061341 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 10 Ltd., Series 2024-10A, <br> Class A, (3-mo. CME Term SOFR + 1.39%), <br> 5.95%, 01/22/38<sup>(a)(b)</sup><br>|  | 2550 | 2559675 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 12 Ltd., Series 2025-12A, <br> Class A1, (3-mo. CME Term SOFR + 1.17%), <br> 5.51%, 04/22/38<sup>(a)(b)</sup><br>|  | 750 | 748903 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 2 Ltd., Series 2021-2A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.40%), 5.67%, 10/19/37<sup>(a)(b)</sup><br>|  | 870 | 872934 |
| Birch Grove CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.26%), 5.53%, <br> 01/19/38<sup>(a)(b)</sup><br>|  | 760 | 761216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.60%), 5.87%, 01/19/38<sup>(a)(b)</sup><br>|  | 520 | 519638 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO Ltd., Series 19A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.59%), 5.87%, <br> 07/17/37<sup>(a)(b)</sup><br>|  | 250 | 251101 |
| BlueMountain CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 10/22/30<sup>(a)(b)</sup><br>|  | 500 | 501043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.26%), 5.53%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 1125 | 1125817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.20%), 5.53%, <br> 11/15/30<sup>(a)(b)</sup><br>|  | 743 | 743535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 1.96%), 6.29%, 08/15/31<sup>(a)(b)</sup><br>|  | 1095 | 1100274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.19%), 5.47%, <br> 10/25/30<sup>(a)(b)</sup><br>|  | 1539 | 1540722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.85%), 6.13%, 10/25/30<sup>(a)(b)</sup><br>|  | 10020 | 10048016 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXII Ltd., Series 2018-22A, <br> Class B, (3-mo. CME Term SOFR + 1.76%), <br> 6.02%, 07/15/31<sup>(a)(b)</sup><br>|  | 3970 | 3982687 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXIX Ltd., Series 2020-29A, <br> Class BR, (3-mo. CME Term SOFR + 2.01%), <br> 6.29%, 07/25/34<sup>(a)(b)</sup><br>|  | 1080 | 1087057 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXVIII Ltd., Series 2021-<br> 28A, Class A, (3-mo. CME Term SOFR + <br> 1.52%), 5.78%, 04/15/34<sup>(a)(b)</sup><br>| USD  | 570 | $570000 |
| &nbsp;&nbsp;&nbsp; BlueMountain Euro CLO DAC, Series 2021-2A, <br> Class B1, (3-mo. EURIBOR + 1.75%), 4.03%, <br> 10/15/35<sup>(a)(b)</sup><br>| EUR  | 3280 | 3873130 |
| &nbsp;&nbsp;&nbsp; BlueMountain Fuji U.S. CLO II Ltd., Series 2017-<br> 2A, Class A1AR, (3-mo. CME Term SOFR + <br> 1.26%), 5.53%, 10/20/30<sup>(a)(b)</sup><br>| USD  | 1716 | 1718773 |
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, Series 2024-<br> CES2, Class A1A, 5.55%, 09/25/54<sup>(a)(c)</sup><br>|  | 1539 | 1544145 |
| &nbsp;&nbsp;&nbsp; Brex Commercial Charge Card Master Trust, <br> Series 2024-1, Class A1, 6.05%, 07/15/27<sup>(a)</sup><br>|  | 3325 | 3350457 |
| &nbsp;&nbsp;&nbsp; Bridge Street CLO II Ltd., Series 2021-1A, <br> Class A1A, (3-mo. CME Term SOFR + <br> 1.49%), 5.76%, 07/20/34<sup>(a)(b)</sup><br>|  | 500 | 500738 |
| Brignole Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024, Class C, (1-mo. EURIBOR + <br> 2.00%), 3.87%, 02/24/42<sup>(b)(e)</sup><br>| EUR  | 220 | 259826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024, Class D, (1-mo. EURIBOR + <br> 4.00%), 5.87%, 02/24/42<sup>(b)(e)</sup><br>|  | 317 | 377779 |
| Bryant Park Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-19A, Class A1R, (3-mo. CME <br> Term SOFR + 1.20%), 5.49%, <br> 04/15/38<sup>(a)(b)</sup><br>| USD  | 710 | 709355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-24A, Class A1, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 10/15/37<sup>(a)(b)</sup><br>|  | 1500 | 1505163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.66%, 01/18/38<sup>(a)(b)</sup><br>|  | 2250 | 2257200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 6.02%, 01/18/38<sup>(a)(b)</sup><br>|  | 4000 | 4003419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class D1, (3-mo. CME Term <br> SOFR + 2.95%), 7.27%, 01/18/38<sup>(a)(b)</sup><br>|  | 500 | 499049 |
| &nbsp;&nbsp;&nbsp; Buckhorn Park CLO Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + <br> 1.07%), 5.34%, 07/18/34<sup>(a)(b)</sup><br>|  | 2400 | 2400185 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Mortgage-Backed Securities, <br> Series 2025-FL5, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 10/18/42<sup>(a)(b)</sup><br>|  | 1804 | 1790648 |
| &nbsp;&nbsp;&nbsp; Canyon Capital CLO Ltd., Series 2016-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.33%), <br> 5.59%, 07/15/31<sup>(a)(b)</sup><br>|  | 245 | 245358 |
| Canyon CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.59%, 07/15/31<sup>(a)(b)</sup><br>|  | 639 | 639439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.40%), 5.66%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 2945 | 2956229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.95%), 6.21%, 10/15/37<sup>(a)(b)</sup><br>|  | 1610 | 1616428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, (3-mo. CME Term <br> SOFR + 2.05%), 6.31%, 05/15/37<sup>(a)(b)</sup><br>|  | 6800 | 6825862 |
| Cardiff Auto Receivables Securitisation PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.90%), 6.12%, 08/20/31<sup>(b)(e)</sup><br>| GBP  | 1743 | 2392718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.60%), 6.82%, 08/20/31<sup>(b)(e)</sup><br>|  | 1320 | 1815018 |
| &nbsp;&nbsp;&nbsp; Carlyle C17 CLO Ltd., Series C17A, <br> Class A1AR, (3-mo. CME Term SOFR + <br> 1.29%), 5.57%, 04/30/31<sup>(a)(b)</sup><br>| USD  | 1761 | 1763176 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Carlyle Global Market Strategies CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class A1AR, (3-mo. CME <br> Term SOFR + 1.36%), 5.62%, <br> 10/15/30<sup>(a)(b)</sup><br>| USD  | 8 | $8111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.23%), 5.51%, <br> 04/17/31<sup>(a)(b)</sup><br>|  | 857 | 857342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class A1, (3-mo. CME <br> Term SOFR + 1.31%), 5.64%, <br> 05/15/31<sup>(a)(b)</sup><br>|  | 557 | 557030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3RA, Class A1A, (3-mo. CME <br> Term SOFR + 1.31%), 5.59%, <br> 07/27/31<sup>(a)(b)</sup><br>|  | 86 | 85634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.40%), 5.66%, <br> 07/15/31<sup>(a)(b)</sup><br>|  | 489 | 490034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A2RR, (3-mo. CME <br> Term SOFR + 1.71%), 5.97%, <br> 07/15/31<sup>(a)(b)</sup><br>|  | 830 | 830640 |
| Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.40%), 5.67%, <br> 10/21/37<sup>(a)(b)</sup><br>|  | 6810 | 6837240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class BR2, (3-mo. CME <br> Term SOFR + 1.78%), 6.05%, <br> 10/21/37<sup>(a)(b)</sup><br>|  | 5170 | 5185262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1AR, (3-mo. CME <br> Term SOFR + 1.34%), 5.61%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 1094 | 1095545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, (3-mo. CME Term <br> SOFR + 2.60%), 6.87%, 07/20/35<sup>(a)(b)</sup><br>|  | 750 | 751015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 6.16%, 10/25/37<sup>(a)(b)</sup><br>|  | 510 | 510663 |
| Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC1, Class M2, (1-mo. CME <br> Term SOFR + 0.74%), 5.06%, 01/25/36<sup>(b)</sup><br>|  | 610 | 535015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC4, Class A3, (1-mo. CME <br> Term SOFR + 0.27%), 4.59%, 10/25/36<sup>(b)</sup><br>|  | 188 | 183254 |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3-mo. CME Term <br> SOFR + 3.51%), 7.77%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 249032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3-mo. CME Term <br> SOFR + 7.01%), 11.27%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 242166 |
| &nbsp;&nbsp;&nbsp; CarVal CLO VIII-C Ltd., Series 2022-2A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.42%), 5.69%, 10/22/37<sup>(a)(b)</sup><br>|  | 730 | 733004 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust, Series 2019-MH1, <br> Class A, 4.00%, 11/25/44<sup>(a)(b)</sup><br>|  | 6419 | 6119541 |
| &nbsp;&nbsp;&nbsp; Cayuga Park CLO Ltd., Series 2020-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.66%, 07/17/34<sup>(a)(b)</sup><br>|  | 3270 | 3275378 |
| CBAM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class B1, (3-mo. CME Term <br> SOFR + 1.66%), 5.94%, 04/17/31<sup>(a)(b)</sup><br>|  | 710 | 712316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-7A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 07/20/31<sup>(a)(b)</sup><br>|  | 124 | 123737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-7A, Class B1, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 07/20/31<sup>(a)(b)</sup><br>|  | 250 | 250547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-10A, Class A1R, (3-mo. CME <br> Term SOFR + 1.38%), 5.65%, <br> 04/20/32<sup>(a)(b)</sup><br>|  | 2950 | 2954491 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CBAM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12A, Class AR, (3-mo. CME <br> Term SOFR + 1.44%), 5.71%, <br> 07/20/34<sup>(a)(b)</sup><br>| USD  | 436 | $436433 |
| C-BASS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB7, Class A4, (1-mo. CME <br> Term SOFR + 0.43%), 4.75%, 10/25/36<sup>(b)</sup><br>|  | 348 | 238048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB9, Class A4, (1-mo. CME <br> Term SOFR + 0.57%), 4.89%, 11/25/36<sup>(b)</sup><br>|  | 327 | 147462 |
| Cedar Funding II CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class ARR, (3-mo. CME <br> Term SOFR + 1.34%), 5.61%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 3255 | 3262536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class BRR, (3-mo. CME <br> Term SOFR + 1.61%), 5.88%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 3110 | 3108118 |
| &nbsp;&nbsp;&nbsp; Cedar Funding V CLO Ltd., Series 2016-5A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.36%), 5.64%, 07/17/31<sup>(a)(b)</sup><br>|  | 1208 | 1209316 |
| &nbsp;&nbsp;&nbsp; Cedar Funding VII CLO Ltd., Series 2018-7A, <br> Class AR, (3-mo. CME Term SOFR + 1.08%), <br> 5.35%, 01/20/31<sup>(a)(b)</sup><br>|  | 119 | 119437 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XI CLO Ltd., Series 2019-11A, <br> Class A2R2, (3-mo. CME Term SOFR + <br> 1.30%), 5.63%, 05/29/32<sup>(a)(b)</sup><br>|  | 1220 | 1218728 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XIV CLO Ltd., Series 2021-14A, <br> Class B1R, (3-mo. CME Term SOFR + <br> 1.70%), 5.96%, 10/15/37<sup>(a)(b)</sup><br>|  | 770 | 771627 |
| &nbsp;&nbsp;&nbsp; CIFC European Funding CLO II DAC, Series 2X, <br> Class B1, (3-mo. EURIBOR + 1.60%), 3.88%, <br> 04/15/33<sup>(b)(e)</sup><br>| EUR  | 900 | 1063606 |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A2R, (3-mo. CME <br> Term SOFR + 2.01%), 6.27%, <br> 07/16/30<sup>(a)(b)</sup><br>| USD  | 1250 | 1254177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class CR, (3-mo. CME Term <br> SOFR + 3.81%), 8.07%, 07/16/30<sup>(a)(b)</sup><br>|  | 250 | 253230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1L2, (3-mo. CME <br> Term SOFR + 1.26%), 5.53%, <br> 10/18/30<sup>(a)(b)</sup><br>|  | 106 | 106346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A2L2, (3-mo. CME <br> Term SOFR + 1.76%), 6.03%, <br> 10/18/30<sup>(a)(b)</sup><br>|  | 250 | 250293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class BR2, (3-mo. CME <br> Term SOFR + 1.66%), 5.93%, <br> 01/18/31<sup>(a)(b)</sup><br>|  | 3320 | 3318690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.18%), 5.46%, <br> 03/31/38<sup>(a)(b)</sup><br>|  | 1000 | 1000274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class ARR, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, <br> 01/22/31<sup>(a)(b)</sup><br>|  | 98 | 97877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class BRR, (3-mo. CME <br> Term SOFR + 1.71%), 5.98%, <br> 01/22/31<sup>(a)(b)</sup><br>|  | 250 | 250277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-4A, Class A1A2, (3-mo. CME <br> Term SOFR + 1.33%), 5.60%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 510 | 511087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class ARR, (3-mo. CME <br> Term SOFR + 1.55%), 5.82%, <br> 04/21/37<sup>(a)(b)</sup><br>|  | 6190 | 6213549 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BRR, (3-mo. CME <br> Term SOFR + 2.05%), 6.32%, <br> 04/21/37<sup>(a)(b)</sup><br>| USD  | 3710 | $3731332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class CRR, (3-mo. CME <br> Term SOFR + 2.45%), 6.72%, <br> 04/21/37<sup>(a)(b)</sup><br>|  | 250 | 251564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.41%), 5.69%, 07/17/37<sup>(a)(b)</sup><br>|  | 1770 | 1775574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.32%), 5.59%, <br> 01/18/38<sup>(a)(b)</sup><br>|  | 3140 | 3147850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 01/18/38<sup>(a)(b)</sup><br>|  | 1510 | 1512194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1R, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 251001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.02%, 10/20/37<sup>(a)(b)</sup><br>|  | 1000 | 1002582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 07/18/31<sup>(a)(b)</sup><br>|  | 425 | 425810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.36%), 5.63%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 6729 | 6753435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class A1R1, (3-mo. CME <br> Term SOFR + 1.40%), 5.66%, <br> 01/15/35<sup>(a)(b)</sup><br>|  | 400 | 400976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-6A, Class A1R, (3-mo. CME <br> Term SOFR + 1.45%), 5.71%, <br> 07/16/37<sup>(a)(b)</sup><br>|  | 6170 | 6191845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.41%), 5.67%, <br> 07/15/36<sup>(a)(b)</sup><br>|  | 1200 | 1203148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 07/15/36<sup>(a)(b)</sup><br>|  | 3260 | 3261630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.39%), 5.66%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 12140 | 12152140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 10/20/34<sup>(a)(b)</sup><br>|  | 780 | 781530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class A1R, (3-mo. CME <br> Term SOFR + 1.30%), 5.56%, <br> 01/15/40<sup>(a)(b)</sup><br>|  | 9120 | 9148405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.03%, 07/25/37<sup>(a)(b)</sup><br>|  | 5280 | 5295160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class B, (3-mo. CME Term <br> SOFR + 1.96%), 6.22%, 07/15/36<sup>(a)(b)</sup><br>|  | 490 | 490245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.64%, 07/23/37<sup>(a)(b)</sup><br>|  | 8210 | 8236797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.93%, 07/23/37<sup>(a)(b)</sup><br>|  | 500 | 500786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class CR, (3-mo. CME Term <br> SOFR + 1.90%), 6.18%, 07/23/37<sup>(a)(b)</sup><br>|  | 250 | 250681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class A, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 10/15/34<sup>(a)(b)</sup><br>|  | 840 | 841009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>|  | 700 | 700584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, (3-mo. CME Term <br> SOFR + 1.60%), 5.87%, 01/20/37<sup>(a)(b)</sup><br>|  | 2410 | 2421515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.48%), 5.75%, 07/21/37<sup>(a)(b)</sup><br>|  | 690 | 692732 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, (3-mo. CME Term <br> SOFR + 1.15%), 5.40%, 04/23/38<sup>(a)(b)</sup><br>| USD  | 250 | $249793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, (3-mo. CME Term <br> SOFR + 1.13%), 5.41%, 04/15/38<sup>(a)(b)</sup><br>|  | 3640 | 3634671 |
| CIT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1M2, (1-mo. CME Term <br> SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(b)</sup><br>|  | 1821 | 1761074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2M2, (1-mo. CME Term <br> SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(b)</sup><br>|  | 397 | 370492 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3B, (1-mo. CME <br> Term SOFR + 0.31%), 4.63%, 05/25/37<sup>(b)</sup><br>|  | 4215 | 2753700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3C, (1-mo. CME <br> Term SOFR + 0.38%), 4.70%, 05/25/37<sup>(b)</sup><br>|  | 1915 | 1250632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL3, Class A3B, (1-mo. CME <br> Term SOFR + 0.28%), 4.60%, 07/25/45<sup>(b)</sup><br>|  | 3032 | 2096235 |
| Clover CLO LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.53%), 5.80%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 4120 | 4134493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B1RR, (3-mo. CME <br> Term SOFR + 1.95%), 6.22%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 750 | 752724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.07%), 5.35%, 01/25/35<sup>(a)(b)</sup><br>|  | 270 | 270156 |
| &nbsp;&nbsp;&nbsp; Coinstar Funding LLC, Series 2017-1A, <br> Class A2, 5.22%, 04/25/47<sup>(a)</sup><br>|  | 598 | 553156 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 2.42%, 06/25/52<sup>(a)</sup> |  | 681 | 616196 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class C, 2.72%, 06/25/52<sup>(a)</sup> |  | 307 | 283302 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class D, 3.78%, 06/25/52<sup>(a)</sup> |  | 75 | 70518 |
| &nbsp;&nbsp;&nbsp; College Ave Student Loans Trust, Series 2024-A, <br> Class A1B, (SOFR (30-day) + 1.75%), 6.06%, <br> 06/25/54<sup>(a)(b)</sup><br>|  | 8055 | 8191170 |
| &nbsp;&nbsp;&nbsp; Concord Music Royalties LLC, Series 2024-1A, <br> Class A, 5.64%, 10/20/74<sup>(a)</sup><br>|  | 2794 | 2801358 |
| Conseco Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1997-3, Class M1, 7.53%, 03/15/28<sup>(b)</sup> |  | 335 | 340995 |
| &nbsp;&nbsp;&nbsp; Series 1997-6, Class M1, 7.21%, 01/15/29<sup>(b)</sup> |  | 58 | 58504 |
| &nbsp;&nbsp;&nbsp; Series 1998-4, Class M1, 6.83%, 04/01/30<sup>(b)</sup> |  | 133 | 135442 |
| &nbsp;&nbsp;&nbsp; Series 1999-5, Class A5, 7.86%, 03/01/30<sup>(b)</sup> |  | 770 | 225826 |
| &nbsp;&nbsp;&nbsp; Series 1999-5, Class A6, 7.50%, 03/01/30<sup>(b)</sup> |  | 826 | 231753 |
| Conseco Finance Securitizations Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2000-1, Class A5, 8.06%, 09/01/29<sup>(b)</sup> |  | 1445 | 197245 |
| &nbsp;&nbsp;&nbsp; Series 2000-4, Class A6, 8.31%, 05/01/32<sup>(b)</sup> |  | 1224 | 171211 |
| &nbsp;&nbsp;&nbsp; Series 2000-5, Class A6, 7.96%, 05/01/31 |  | 2105 | 416316 |
| &nbsp;&nbsp;&nbsp; Series 2000-5, Class A7, 8.20%, 05/01/31 |  | 3840 | 782366 |
| &nbsp;&nbsp;&nbsp; Cook Park CLO Ltd., Series 2018-1A, Class B, <br> (3-mo. CME Term SOFR + 1.66%), 5.94%, <br> 04/17/30<sup>(a)(b)</sup><br>|  | 250 | 250402 |
| Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class A, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 10/25/34<sup>(b)</sup><br>|  | 286 | 282199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class 1AF, 4.53%, <br> 04/25/36<sup>(b)</sup><br>|  | 1852 | 1641385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class M1, (1-mo. CME Term <br> SOFR + 0.55%), 4.87%, 02/25/37<sup>(b)</sup><br>|  | 1120 | 960158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-18, Class M1, (1-mo. CME Term <br> SOFR + 0.56%), 4.88%, 03/25/37<sup>(b)</sup><br>|  | 6545 | 6538717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class M1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 05/25/47<sup>(b)</sup><br>|  | 824 | 698876 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SPS1, Class A, (1-mo. CME <br> Term SOFR + 0.33%), 4.65%, 12/25/25<sup>(b)</sup><br>| USD  | 5 | $27447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-12, Class 1A2, (1-mo. CME Term <br> SOFR + 0.95%), 5.27%, 08/25/47<sup>(b)</sup><br>|  | 2528 | 2468429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA2, Class 2A1, (1-mo. CME <br> Term SOFR + 1.61%), 5.93%, <br> 06/25/47<sup>(a)(b)</sup><br>|  | 1319 | 1052196 |
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates <br> Revolving Home Equity Loan Trust, <br> Series 2004-U, Class 2A, (1-mo. CME Term <br> SOFR + 0.38%), 4.70%, 03/15/34<sup>(b)</sup><br>|  | 144 | 143433 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities <br> Corp.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-MH29, Class B1, 8.10%, <br> 09/25/31<sup>(b)</sup><br>|  | 478 | 483496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-CF2, Class 1B, 6.00%, <br> 01/25/43<sup>(a)(c)</sup><br>|  | 304 | 228386 |
| &nbsp;&nbsp;&nbsp; Credit-Based Asset Servicing & Securitization <br> LLC<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB2, Class AF4, 2.99%, <br> 12/25/36<sup>(c)</sup><br>|  | 304 | 247027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B1, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 286 | 284159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B2, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 2962 | 2410135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A2, 6.06%, <br> 09/25/36<sup>(a)(c)</sup><br>|  | 2709 | 87861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CB6, Class A4, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 382 | 250368 |
| CreekSource Dunes Creek CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class A1, (3-mo. CME Term <br> SOFR + 1.41%), 5.74%, 01/15/38<sup>(b)(e)</sup><br>|  | 250 | 250750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class B, (3-mo. CME Term <br> SOFR + 1.75%), 6.08%, 01/15/38<sup>(b)(e)</sup><br>|  | 1040 | 1039935 |
| &nbsp;&nbsp;&nbsp; Crown City CLO III, Series 2021-1A, Class A1A, <br> (3-mo. CME Term SOFR + 1.43%), 5.70%, <br> 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 250387 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO 10 Ltd., Series 2021-10A, <br> Class B, (3-mo. CME Term SOFR + 1.96%), <br> 6.23%, 07/20/34<sup>(a)(b)</sup><br>|  | 490 | 490662 |
| &nbsp;&nbsp;&nbsp; CVC Cordatus Loan Fund IV DAC, Series 4X, <br> Class BR1, (3-mo. EURIBOR + 1.30%), <br> 3.36%, 02/22/34<sup>(b)(e)</sup><br>| EUR  | 990 | 1159036 |
| &nbsp;&nbsp;&nbsp; CVC Cordatus Loan Fund V DAC, Series 5X, <br> Class B1R, (3-mo. EURIBOR + 1.50%), <br> 3.74%, 07/21/30<sup>(b)(e)</sup><br>|  | 250 | 294032 |
| CWHEQ Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-S3, Class A4, 5.35%, 01/25/29<sup>(c)</sup> | USD  | 32 | 76845 |
| &nbsp;&nbsp;&nbsp; Series 2006-S5, Class A5, 6.16%, 06/25/35 |  | 39 | 60416 |
| CWHEQ Revolving Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class 2A, (1-mo. CME Term <br> SOFR + 0.29%), 4.61%, 05/15/35<sup>(b)</sup><br>|  | 38 | 37544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-C, Class 2A, (1-mo. CME Term <br> SOFR + 0.29%), 4.61%, 05/15/36<sup>(b)</sup><br>|  | 322 | 318539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-H, Class 1A, (1-mo. CME Term <br> SOFR + 0.26%), 4.58%, 11/15/36<sup>(b)</sup><br>|  | 190 | 186344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-I, Class 1A, (1-mo. CME Term <br> SOFR + 0.25%), 4.57%, 01/15/37<sup>(b)</sup><br>|  | 191 | 182488 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 1 Ltd., Series 2021-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.39%), 5.65%, 10/15/37<sup>(a)(b)</sup><br>| USD  | 1180 | $1185571 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 10 Ltd., Series 2025-10A, <br> Class A, (3-mo. CME Term SOFR + 1.31%), <br> 5.60%, 04/20/38<sup>(a)(b)</sup><br>|  | 2400 | 2402138 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 2 Ltd., Series 2021-2A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.39%), 5.65%, 10/15/37<sup>(a)(b)</sup><br>|  | 250 | 251180 |
| Diameter Capital CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.33%), 5.59%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 372 | 373612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2R, (3-mo. CME <br> Term SOFR + 1.70%), 5.96%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 1500 | 1502315 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 8 Ltd., Series 2024-8A, <br> Class A1A, (3-mo. CME Term SOFR + <br> 1.40%), 5.67%, 10/20/37<sup>(a)(b)</sup><br>|  | 22190 | 22275409 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 9 Ltd., Series 2025-9A, <br> Class A, (3-mo. CME Term SOFR + 1.17%), <br> 5.49%, 04/20/38<sup>(a)(b)</sup><br>|  | 593 | 592407 |
| Dowson PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.35%), 6.57%, 08/20/31<sup>(b)(e)</sup><br>| GBP  | 344 | 468941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class E, (1-day SONIA + <br> 3.95%), 8.17%, 08/20/31<sup>(b)(e)</sup><br>|  | 408 | 556876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class F, (1-day SONIA + <br> 6.95%), 11.17%, 08/20/31<sup>(b)(e)</sup><br>|  | 496 | 677087 |
| &nbsp;&nbsp;&nbsp; Dryden 104 CLO Ltd., Series 2022-104A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.29%), 5.61%, 08/20/34<sup>(a)(b)</sup><br>| USD  | 3180 | 3187843 |
| &nbsp;&nbsp;&nbsp; Dryden 41 Senior Loan Fund, Series 2015-41A, <br> Class AR, (3-mo. CME Term SOFR + 1.23%), <br> 5.49%, 04/15/31<sup>(a)(b)</sup><br>|  | 1529 | 1529198 |
| Dryden 49 Senior Loan Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-49A, Class AR, (3-mo. CME <br> Term SOFR + 1.21%), 5.48%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 373 | 373585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-49A, Class BR, (3-mo. CME <br> Term SOFR + 1.86%), 6.13%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 500 | 500974 |
| &nbsp;&nbsp;&nbsp; Dryden 50 Senior Loan Fund, Series 2017-50A, <br> Class B, (3-mo. CME Term SOFR + 1.91%), <br> 6.17%, 07/15/30<sup>(a)(b)</sup><br>|  | 450 | 451200 |
| &nbsp;&nbsp;&nbsp; Dryden 53 CLO Ltd., Series 2017-53A, Class A, <br> (3-mo. CME Term SOFR + 1.38%), 5.64%, <br> 01/15/31<sup>(a)(b)</sup><br>|  | 11556 | 11561332 |
| &nbsp;&nbsp;&nbsp; Dryden 54 Senior Loan Fund, Series 2017-54A, <br> Class AR, (3-mo. CME Term SOFR + 1.15%), <br> 5.42%, 10/19/29<sup>(a)(b)</sup><br>|  | 1467 | 1467563 |
| &nbsp;&nbsp;&nbsp; Dryden 55 CLO Ltd., Series 2018-55A, Class A1, <br> (3-mo. CME Term SOFR + 1.28%), 5.54%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 1249 | 1251228 |
| &nbsp;&nbsp;&nbsp; Dryden 64 CLO Ltd., Series 2018-64A, Class A, <br> (3-mo. CME Term SOFR + 1.23%), 5.50%, <br> 04/18/31<sup>(a)(b)</sup><br>|  | 270 | 270400 |
| &nbsp;&nbsp;&nbsp; Dryden 65 CLO Ltd., Series 2018-65A, Class B, <br> (3-mo. CME Term SOFR + 1.86%), 6.13%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 300 | 300621 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Dryden 76 CLO Ltd., Series 2019-76A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.37%), 5.63%, 10/15/37<sup>(a)(b)</sup><br>| USD  | 1000 | $1003969 |
| Dryden 77 CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class AR, (3-mo. CME <br> Term SOFR + 1.38%), 5.70%, <br> 05/20/34<sup>(a)(b)</sup><br>|  | 3580 | 3585709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class XR, (3-mo. CME <br> Term SOFR + 1.26%), 5.58%, <br> 05/20/34<sup>(a)(b)</sup><br>|  | 125 | 124994 |
| &nbsp;&nbsp;&nbsp; Dryden Senior Loan Fund, Series 2021-87A, <br> Class A1, (3-mo. CME Term SOFR + 1.36%), <br> 5.68%, 05/20/34<sup>(a)(b)</sup><br>|  | 2330 | 2336455 |
| Eaton Vance CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A23R, (3-mo. CME <br> Term SOFR + 1.81%), 6.07%, <br> 01/15/34<sup>(a)(b)</sup><br>|  | 1190 | 1192572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1RA, Class A2, (3-mo. CME <br> Term SOFR + 1.75%), 6.01%, <br> 07/15/30<sup>(a)(b)</sup><br>|  | 250 | 250168 |
| Edenbrook Mortgage Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.95%), 6.19%, 03/22/57<sup>(b)(e)</sup><br>| GBP  | 1611 | 2212293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.55%), 6.79%, 03/22/57<sup>(b)(e)</sup><br>|  | 931 | 1283306 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. <br> 4 LLC, Series 2022-A, Class A, 5.25%, <br> 11/25/40<sup>(a)</sup><br>| USD  | 2192 | 2174378 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 27 Ltd., Series 2024-3A, Class B, <br> (3-mo. CME Term SOFR + 1.95%), 6.22%, <br> 04/18/37<sup>(a)(b)</sup><br>|  | 1040 | 1043548 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 29 Ltd., Series 2024-5A, <br> Class AR1, (3-mo. CME Term SOFR + <br> 1.52%), 5.79%, 04/20/37<sup>(a)(b)</sup><br>|  | 4760 | 4776826 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 30 Ltd., Series 2024-6A, Class A, <br> (3-mo. CME Term SOFR + 1.43%), 5.71%, <br> 07/17/37<sup>(a)(b)</sup><br>|  | 2410 | 2418087 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 36 Ltd., Series 2024-12RA, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 10/20/37<sup>(a)(b)</sup><br>|  | 1517 | 1522172 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 38 Ltd., Series 2025-1A, Class A, <br> (3-mo. CME Term SOFR + 1.15%), 5.43%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 4490 | 4485849 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 39 Ltd., Series 2025-2A, <br> Class A1, (3-mo. CME Term SOFR + 1.14%), <br> 5.42%, 04/17/38<sup>(a)(b)</sup><br>|  | 1250 | 1248685 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO I Ltd., Series 2019-1A, <br> Class A1RR, (3-mo. CME Term SOFR + <br> 1.52%), 5.79%, 04/20/37<sup>(a)(b)</sup><br>|  | 250 | 250884 |
| Elmwood CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.35%), 5.62%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 6690 | 6711742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BRR, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 1600 | 1603124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D1RR, (3-mo. CME <br> Term SOFR + 3.05%), 7.32%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 249799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class ERR, (3-mo. CME <br> Term SOFR + 5.75%), 10.02%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 750 | 758805 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Elmwood CLO III Ltd., Series 2019-3A, <br> Class BRR, (3-mo. CME Term SOFR + <br> 1.70%), 5.97%, 07/18/37<sup>(a)(b)</sup><br>| USD  | 670 | $671730 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO IV Ltd., Series 2020-1A, <br> Class DR, (3-mo. CME Term SOFR + 3.35%), <br> 7.62%, 04/18/37<sup>(a)(b)</sup><br>|  | 1000 | 998043 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VI Ltd., Series 2020-3A, <br> Class ARR, (3-mo. CME Term SOFR + <br> 1.38%), 5.65%, 07/18/37<sup>(a)(b)</sup><br>|  | 3381 | 3391502 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VII Ltd., Series 2020-4A, <br> Class A1RR, (3-mo. CME Term SOFR + <br> 1.36%), 5.64%, 10/17/37<sup>(a)(b)</sup><br>|  | 790 | 792871 |
| Elmwood CLO X Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.27%), 5.54%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 3000 | 3008465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.02%, 04/20/34<sup>(a)(b)</sup><br>|  | 1250 | 1251302 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO XII Ltd., Series 2021-5A, <br> Class AR, (3-mo. CME Term SOFR + 1.36%), <br> 5.62%, 10/15/37<sup>(a)(b)</sup><br>|  | 1310 | 1314738 |
| &nbsp;&nbsp;&nbsp; Enterprise Fleet Financing LLC, Series 2024-4, <br> Class A4, 4.70%, 06/20/31<sup>(a)</sup><br>|  | 1537 | 1554609 |
| Euro-Galaxy III CLO BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class CRRR, (3-mo. <br> EURIBOR + 2.35%), 4.54%, 04/24/34<sup>(a)(b)</sup><br>| EUR  | 700 | 830062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class DRRR, (3-mo. <br> EURIBOR + 3.25%), 5.44%, 04/24/34<sup>(a)(b)</sup><br>|  | 1585 | 1869723 |
| &nbsp;&nbsp;&nbsp; Fairstone Financial Issuance Trust I, <br> Series 2020-1A, Class B, 3.74%, 10/20/39<sup>(a)</sup><br>| CAD  | 1731 | 1264744 |
| &nbsp;&nbsp;&nbsp; FBR Securitization Trust, Series 2005-5, <br> Class M2, (1-mo. CME Term SOFR + 0.82%), <br> 5.14%, 11/25/35<sup>(b)</sup><br>| USD  | 3419 | 3392118 |
| &nbsp;&nbsp;&nbsp; FIGRE Trust, Series 2024-SL1, Class A1, 5.75%, <br> 07/25/53<sup>(a)(b)</sup><br>|  | 4380 | 4429500 |
| First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-FFH3, Class M3, (1-mo. CME <br> Term SOFR + 1.16%), 5.48%, 10/25/34<sup>(b)</sup><br>|  | 1000 | 904989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF13, Class A1, (1-mo. CME <br> Term SOFR + 0.35%), 4.67%, 10/25/36<sup>(b)</sup><br>|  | 1817 | 1170540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF13, Class A2C, (1-mo. CME <br> Term SOFR + 0.43%), 4.75%, 10/25/36<sup>(b)</sup><br>|  | 1065 | 693931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF16, Class 2A3, (1-mo. CME <br> Term SOFR + 0.39%), 4.71%, 12/25/36<sup>(b)</sup><br>|  | 8955 | 3601959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF17, Class A5, (1-mo. CME <br> Term SOFR + 0.26%), 4.58%, 12/25/36<sup>(b)</sup><br>|  | 8015 | 6879628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FFH1, Class M2, (1-mo. CME <br> Term SOFR + 0.71%), 5.03%, 01/25/36<sup>(b)</sup><br>|  | 2861 | 2548904 |
| &nbsp;&nbsp;&nbsp; First NLC Trust, Series 2007-1, Class A3, (1-mo. <br> CME Term SOFR + 0.29%), 4.61%, <br> 08/25/37<sup>(a)(b)</sup><br>|  | 693 | 344123 |
| FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class F1, 3.64%, <br> 08/17/37<sup>(a)</sup><br>|  | 2690 | 2673838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 3.50%, <br> 07/17/38<sup>(a)</sup><br>|  | 5641 | 5474139 |
| &nbsp;&nbsp;&nbsp; Flatiron CLO 20 Ltd., Series 2020-1A, Class BR, <br> (3-mo. CME Term SOFR + 1.92%), 6.24%, <br> 05/20/36<sup>(a)(b)</sup><br>|  | 1160 | 1163486 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Flatiron CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.36%), 5.63%, <br> 10/19/37<sup>(a)(b)</sup><br>| USD  | 13960 | $14010577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME <br> Term SOFR + 1.58%), 5.85%, <br> 10/19/37<sup>(a)(b)</sup><br>|  | 1980 | 1983116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/19/37<sup>(a)(b)</sup><br>|  | 1200 | 1201648 |
| Flatiron CLO 25 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.63%, 10/17/37<sup>(a)(b)</sup><br>|  | 1140 | 1144012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.88%, 10/17/37<sup>(a)(b)</sup><br>|  | 600 | 601094 |
| &nbsp;&nbsp;&nbsp; FNA 8 LLC, Series 2025-1, Class A, 5.62%, <br> 03/15/45<sup>(a)(b)</sup><br>|  | 8433 | 8472388 |
| Fortuna Consumer Loan Abs DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, (1-mo. EURIBOR + <br> 1.65%), 3.56%, 10/18/34<sup>(b)</sup><br>| EUR  | 800 | 946619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class E, (1-mo. EURIBOR + <br> 4.10%), 6.01%, 10/18/34<sup>(b)</sup><br>|  | 2300 | 2741702 |
| Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.19%, 01/15/42<sup>(a)</sup> | USD  | 2133 | 2026553 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.95%, 12/15/49<sup>(a)</sup> |  | 856 | 873821 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.93%, 03/15/50<sup>(a)</sup> |  | 1530 | 1526517 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 04/15/52<sup>(a)(f)</sup> |  | 1004 | 1003925 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class E, 04/15/52<sup>(a)(f)</sup> |  | 1082 | 1081889 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust, Series 2006-3, <br> Class 1A1, (1-mo. CME Term SOFR + <br> 0.39%), 4.71%, 02/25/37<sup>(b)</sup><br>|  | 1711 | 1252315 |
| FS Rialto Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL4, Class A, (SOFR (30-day) + <br> 1.90%), 6.20%, 01/19/39<sup>(a)(b)</sup><br>|  | 5298 | 5298465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL9, Class A, (1-mo. CME Term <br> SOFR + 1.63%), 5.95%, 10/19/39<sup>(a)(b)</sup><br>|  | 4627 | 4644371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL10, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 08/19/42<sup>(a)(b)</sup><br>|  | 1610 | 1606466 |
| FTA Consumo Santander |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 7, Class B, (3-mo. EURIBOR + 1.30%), <br> 3.56%, 07/20/38<sup>(b)(e)</sup><br>| EUR  | 1122 | 1325281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 7, Class C, (3-mo. EURIBOR + <br> 1.65%), 3.91%, 07/20/38<sup>(b)(e)</sup><br>|  | 949 | 1121374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 8, Class C, (3-mo. EURIBOR + <br> 1.50%), 3.59%, 01/21/40<sup>(b)(e)</sup><br>|  | 900 | 1061910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 8, Class D, (3-mo. EURIBOR + <br> 2.75%), 4.84%, 01/21/40<sup>(b)(e)</sup><br>|  | 300 | 353945 |
| &nbsp;&nbsp;&nbsp; Galaxy XX CLO Ltd., Series 2015-20A, <br> Class AR, (3-mo. CME Term SOFR + 1.26%), <br> 5.53%, 04/20/31<sup>(a)(b)</sup><br>| USD  | 481 | 480806 |
| &nbsp;&nbsp;&nbsp; Galaxy XXVI CLO Ltd., Series 2018-26A, <br> Class AR, (3-mo. CME Term SOFR + 1.17%), <br> 5.50%, 11/22/31<sup>(a)(b)</sup><br>|  | 386 | 386630 |
| Generate CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.41%), 5.69%, 10/22/37<sup>(a)(b)</sup><br>|  | 3015 | 3027060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class BR2, (3-mo. CME Term <br> SOFR + 1.80%), 6.08%, 10/22/37<sup>(a)(b)</sup><br>|  | 2970 | 2975472 |
| &nbsp;&nbsp;&nbsp; Generate CLO 20 Ltd., Series 2024-20A, <br> Class B, (3-mo. CME Term SOFR + 1.70%), <br> 5.99%, 01/25/38<sup>(a)(b)</sup><br>|  | 260 | 260533 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Generate CLO 4 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4A, Class ARR, (3-mo. CME Term <br> SOFR + 1.43%), 5.70%, 07/20/37<sup>(a)(b)</sup><br>| USD  | 8250 | $8282782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4A, Class BRR, (3-mo. CME Term <br> SOFR + 1.75%), 6.02%, 07/20/37<sup>(a)(b)</sup><br>|  | 3000 | 3004478 |
| &nbsp;&nbsp;&nbsp; Generate CLO 7 Ltd., Series 7A, Class A1R, <br> (3-mo. CME Term SOFR + 1.62%), 5.89%, <br> 04/22/37<sup>(a)(b)</sup><br>|  | 5673 | 5694700 |
| &nbsp;&nbsp;&nbsp; Generate CLO 9 Ltd., Series 9A, Class AR, (3-<br> mo. CME Term SOFR + 1.35%), 5.62%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1658 | 1662588 |
| Golden Bar Securitisation Srl |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, (3-mo. EURIBOR + <br> 1.50%), 3.54%, 09/22/43<sup>(b)(e)</sup><br>| EUR  | 1516 | 1802161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (3-mo. EURIBOR + <br> 1.90%), 3.90%, 12/22/44<sup>(b)(e)</sup><br>|  | 509 | 599578 |
| &nbsp;&nbsp;&nbsp; Golden Ray SA - Compartment 1, Series 1, <br> Class C, (1-mo. EURIBOR + 2.00%), 4.09%, <br> 12/27/57<sup>(b)(e)</sup><br>|  | 300 | 350017 |
| GoldenTree Loan Management U.S. CLO 11 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.08%), 5.35%, 10/20/34<sup>(a)(b)</sup><br>| USD  | 18440 | 18453216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class ER, (3-mo. CME Term <br> SOFR + 4.90%), 9.17%, 10/20/34<sup>(a)(b)</sup><br>|  | 250 | 248883 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO <br> 23 Ltd.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class A, (3-mo. CME Term <br> SOFR + 1.27%), 5.55%, 01/20/39<sup>(a)(b)</sup><br>|  | 1890 | 1893170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.88%, 01/20/39<sup>(a)(b)</sup><br>|  | 3020 | 3024664 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 7 Ltd., <br> Series 2020-7A, Class ARR, (3-mo. CME <br> Term SOFR + 1.10%), 5.37%, 04/20/34<sup>(a)(b)</sup><br>|  | 270 | 270013 |
| &nbsp;&nbsp;&nbsp; Goldman Home Improvement Trust, <br> Series 2022-GRN2, Class A, 6.80%, <br> 10/25/52<sup>(a)</sup><br>|  | 1163 | 1196386 |
| Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-41A, Class AR, (3-mo. CME <br> Term SOFR + 1.58%), 5.85%, <br> 01/20/34<sup>(a)(b)</sup><br>|  | 4840 | 4856210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-43A, Class A1R, (3-mo. CME <br> Term SOFR + 1.34%), 5.61%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 2413 | 2420959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-52A, Class BR, (3-mo. CME <br> Term SOFR + 2.00%), 6.27%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 940 | 945424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-55A, Class A, (3-mo. CME Term <br> SOFR + 1.46%), 5.73%, 07/20/34<sup>(a)(b)</sup><br>|  | 430 | 430406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class A1, (3-mo. CME Term <br> SOFR + 1.37%), 5.65%, 10/25/37<sup>(a)(b)</sup><br>|  | 860 | 863366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class B, (3-mo. CME Term <br> SOFR + 1.67%), 5.95%, 10/25/37<sup>(a)(b)</sup><br>|  | 390 | 390781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class D1, (3-mo. CME Term <br> SOFR + 2.90%), 7.18%, 10/25/37<sup>(a)(b)</sup><br>|  | 260 | 260913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-77A, Class A1, (3-mo. CME Term <br> SOFR + 1.25%), 5.55%, 01/25/38<sup>(a)(b)</sup><br>|  | 2252 | 2255407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-81A, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 07/20/38<sup>(a)(b)(f)</sup><br>|  | 1080 | 1077956 |
| GoodLeap Home Improvement Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.35%, 10/20/46<sup>(a)</sup> |  | 14375 | 14538117 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.38%, 02/20/49<sup>(a)</sup> |  | 12930 | 13091016 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 6.27%, 02/20/49<sup>(a)</sup> |  | 497 | 507826 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| GoodLeap Home Improvement Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 5.32%, 06/20/49<sup>(a)</sup> | USD  | 10818 | $10914490 |
| &nbsp;&nbsp;&nbsp; GoodLeap Sustainable Home Solutions Trust, <br> Series 2022-3CS, Class A, 4.95%, <br> 07/20/49<sup>(a)</sup><br>|  | 459 | 414180 |
| Gracie Point International Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, (SOFR (90-day) + <br> 1.95%), 6.30%, 09/01/26<sup>(a)(b)</sup><br>|  | 2384 | 2387519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (SOFR (90-day) + <br> 1.70%), 6.12%, 03/01/28<sup>(a)(b)</sup><br>|  | 7816 | 7830508 |
| &nbsp;&nbsp;&nbsp; Green Lakes Park CLO LLC, Series 2025-1A, <br> Class ARR, (3-mo. CME Term SOFR + <br> 1.18%), 5.46%, 01/25/38<sup>(a)(b)</sup><br>|  | 4060 | 4061015 |
| &nbsp;&nbsp;&nbsp; GreenPoint Manufactured Housing, <br> Series 1999-5, Class M2, 9.23%, 12/15/29<sup>(b)</sup><br>|  | 559 | 557867 |
| GreenSky Home Improvement Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A4, 5.67%, 06/25/59<sup>(a)</sup> |  | 7203 | 7345023 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.87%, 06/25/59<sup>(a)</sup> |  | 1072 | 1091186 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/59<sup>(a)</sup> |  | 1698 | 1711817 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.26%, 10/27/59<sup>(a)</sup> |  | 1474 | 1482355 |
| &nbsp;&nbsp;&nbsp; Greenwood Park CLO Ltd., Series 2018-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.29%), <br> 5.55%, 04/15/31<sup>(a)(b)</sup><br>|  | 213 | 213658 |
| GSAA Home Equity Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class 1A2, (1-mo. CME Term <br> SOFR + 0.81%), 5.13%, 12/25/35<sup>(b)</sup><br>|  | 836 | 376210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-18, Class AF2A, 5.63%, <br> 11/25/36<sup>(b)</sup><br>|  | 110 | 30242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-18, Class AF3A, 5.77%, <br> 11/25/36<sup>(b)</sup><br>|  | 1088 | 297959 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 4.24%, 03/25/36<sup>(b)</sup> |  | 1488 | 1002886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A1, (1-mo. CME Term <br> SOFR + 0.25%), 4.57%, 03/25/36<sup>(b)</sup><br>|  | 10 | 3338 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class AF3, 5.92%, 03/25/37<sup>(b)</sup> |  | 441 | 78567 |
| GSAMP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class A1B, (1-mo. CME <br> Term SOFR + 0.51%), 4.83%, 01/25/47<sup>(b)</sup><br>|  | 653 | 322819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M6, (1-mo. CME <br> Term SOFR + 3.49%), 7.81%, 02/25/47<sup>(b)</sup><br>|  | 1300 | 1280425 |
| &nbsp;&nbsp;&nbsp; GT Loan Financing I Ltd., Series 2013-1A, <br> Class CR, (3-mo. CME Term SOFR + 2.36%), <br> 6.64%, 07/28/31<sup>(a)(b)</sup><br>|  | 250 | 250556 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 4 Ltd., Series 2021-4A, <br> Class A, (3-mo. CME Term SOFR + 1.48%), <br> 5.75%, 04/20/34<sup>(a)(b)</sup><br>|  | 1330 | 1331729 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 7 Ltd., Series 2023-7A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.45%), 5.80%, 07/20/38<sup>(a)(b)</sup><br>|  | 1080 | 1080000 |
| &nbsp;&nbsp;&nbsp; Hamlin Park CLO Ltd., Series 2024-1A, Class A, <br> (3-mo. CME Term SOFR + 1.34%), 5.61%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 1460 | 1464987 |
| &nbsp;&nbsp;&nbsp; Harriman Park CLO Ltd., Series 2020-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.38%), 5.65%, 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 500746 |
| Henley CLO IV DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4A, Class D, (3-mo. EURIBOR + <br> 3.00%), 5.16%, 04/25/34<sup>(a)(b)</sup><br>| EUR  | 750 | 890214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4X, Class B1, (3-mo. EURIBOR + <br> 1.35%), 3.51%, 04/25/34<sup>(b)(e)</sup><br>|  | 540 | 634720 |
| Hermitage 2025 PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-day SONIA + <br> 1.70%), 5.92%, 04/21/33<sup>(b)(e)</sup><br>| GBP  | 648 | 889711 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Hermitage 2025 PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class E, (1-day SONIA + <br> 3.20%), 7.42%, 04/21/33<sup>(b)(e)</sup><br>| GBP  | 468 | $642564 |
| Hermitage PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.60%), 5.82%, 04/21/33<sup>(b)(e)</sup><br>|  | 526 | 723719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.35%), 6.57%, 04/21/33<sup>(b)(e)</sup><br>|  | 327 | 452615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class E, (1-day SONIA + <br> 3.90%), 8.12%, 04/21/33<sup>(b)(e)</sup><br>|  | 531 | 735412 |
| &nbsp;&nbsp;&nbsp; Hill FL BV, Series 2024-2FL, Class D, (1-mo. <br> EURIBOR + 1.95%), 3.86%, 10/18/32<sup>(b)(e)</sup><br>| EUR  | 500 | 579998 |
| &nbsp;&nbsp;&nbsp; Home Efficiency Trust, Series 2024, Class A, <br> 0.00%, 12/31/54<sup>(a)(g)</sup><br>| USD  | 17095 | 17409485 |
| Home Equity Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3, Class M2, (1-mo. CME Term <br> SOFR + 0.71%), 5.03%, 07/25/36<sup>(b)</sup><br>|  | 2440 | 2309772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2A3, (1-mo. CME Term <br> SOFR + 0.41%), 4.73%, 05/25/37<sup>(b)</sup><br>|  | 1662 | 1385341 |
| &nbsp;&nbsp;&nbsp; Home Equity Mortgage Loan Asset-Backed <br> Trust, Series 2004-A, Class M2, (1-mo. CME <br> Term SOFR + 2.14%), 3.78%, 07/25/34<sup>(b)</sup><br>|  | 222 | 212658 |
| &nbsp;&nbsp;&nbsp; Home Equity Mortgage Trust, Series 2006-2, <br> Class 1A1, 5.87%, 07/25/36<sup>(c)</sup><br>|  | 1634 | 153812 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust, Series 2021-2, <br> Class F, 3.80%, 12/17/26<sup>(a)</sup><br>|  | 8720 | 8398121 |
| &nbsp;&nbsp;&nbsp; Household Capital RMBS, Series 2025-1, <br> Class A, (3-mo. BBSW + 1.90%), 5.69%, <br> 07/21/87<sup>(b)(e)</sup><br>| AUD  | 3530 | 2315765 |
| Huntington Bank Auto Credit-Linked Notes |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B2, (SOFR (30-day) + <br> 1.40%), 5.70%, 05/20/32<sup>(a)(b)</sup><br>| USD  | 4320 | 4344570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B2, (SOFR (30-day) + <br> 1.35%), 5.65%, 10/20/32<sup>(a)(b)</sup><br>|  | 6985 | 7020207 |
| &nbsp;&nbsp;&nbsp; Invesco CLO Ltd., Series 2022-1A, Class B, <br> (3-mo. CME Term SOFR + 1.80%), 6.07%, <br> 04/20/35<sup>(a)(b)</sup><br>|  | 947 | 948894 |
| &nbsp;&nbsp;&nbsp; Invesco Euro CLO V DAC, Series 5X, Class D, <br> (3-mo. EURIBOR + 3.80%), 6.08%, <br> 01/15/34<sup>(b)(e)</sup><br>| EUR  | 350 | 410587 |
| &nbsp;&nbsp;&nbsp; Italian Stella Loans Srl, Series 2024-2, Class D, <br> (1-mo. EURIBOR + 2.15%), 4.13%, <br> 05/27/39<sup>(b)(e)</sup><br>|  | 244 | 289645 |
| JPMorgan Mortgage Acquisition Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CW1, Class M1, (1-mo. CME <br> Term SOFR + 0.52%), 4.84%, 05/25/36<sup>(b)</sup><br>| USD  | 490 | 487813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CH1, Class MF1, 4.47%, <br> 11/25/36<sup>(c)</sup><br>|  | 120 | 122909 |
| &nbsp;&nbsp;&nbsp; Juniper Valley Park CLO Ltd., Series 2023-1R, <br> Class BR, (3-mo. CME Term SOFR + 1.55%), <br> 5.82%, 07/20/36<sup>(a)(b)</sup><br>|  | 2680 | 2683276 |
| &nbsp;&nbsp;&nbsp; Kings Park CLO Ltd., Series 2021-1A, Class A, <br> (3-mo. CME Term SOFR + 1.39%), 5.66%, <br> 01/21/35<sup>(a)(b)</sup><br>|  | 810 | 811834 |
| &nbsp;&nbsp;&nbsp; KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. <br> CME Term SOFR + 1.96%), 6.28%, <br> 09/15/29<sup>(a)(b)</sup><br>|  | 131 | 131319 |
| &nbsp;&nbsp;&nbsp; KKR CLO 33 Ltd., Series 33A, Class A, (3-mo. <br> CME Term SOFR + 1.43%), 5.70%, <br> 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 250436 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Lake George Park CLO Ltd., Series 2025-1A, <br> Class B, (3-mo. CME Term SOFR + 1.50%), <br> 5.77%, 04/15/38<sup>(a)(b)</sup><br>| USD  | 1350 | $1349582 |
| &nbsp;&nbsp;&nbsp; LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME <br> Term SOFR + 1.33%), 5.60%, 01/20/31<sup>(a)(b)</sup><br>|  | 838 | 838652 |
| &nbsp;&nbsp;&nbsp; LCM 29 Ltd., Series 29A, Class AR, (3-mo. CME <br> Term SOFR + 1.33%), 5.59%, 04/15/31<sup>(a)(b)</sup><br>|  | 663 | 663599 |
| &nbsp;&nbsp;&nbsp; LCM 36 Ltd., Series 36A, Class A1R, (3-mo. <br> CME Term SOFR + 1.07%), 5.33%, <br> 01/15/34<sup>(a)(b)</sup><br>|  | 5600 | 5603130 |
| &nbsp;&nbsp;&nbsp; LCM XIV LP, Series 14A, Class AR, (3-mo. CME <br> Term SOFR + 1.30%), 5.57%, 07/20/31<sup>(a)(b)</sup><br>|  | 89 | 88585 |
| &nbsp;&nbsp;&nbsp; LCM XVII LP, Series 17A, Class A1AR, (3-mo. <br> CME Term SOFR + 1.39%), 5.65%, <br> 10/15/31<sup>(a)(b)</sup><br>|  | 102 | 102028 |
| Legacy Mortgage Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SL2, Class A, 3.38%, <br> 02/25/59<sup>(a)(b)</sup><br>|  | 2272 | 2185602 |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class B, 0.00%, 02/25/59<sup>(a)</sup> |  | 2061 | 396820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SL2, Class M, 4.25%, <br> 02/25/59<sup>(a)(b)</sup><br>|  | 2365 | 2212741 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Manufactured Housing Contract <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2001-B, Class M1, 6.63%, 04/15/40<sup>(b)</sup> |  | 718 | 724080 |
| &nbsp;&nbsp;&nbsp; Series 2002-A, Class C, 0.00%, 06/15/33 |  | 148 | 146482 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Mortgage Loan Trust, <br> Series 2007-1, Class 2A1, (1-mo. CME Term <br> SOFR + 0.20%), 4.52%, 06/25/37<sup>(a)(b)</sup><br>|  | 288 | 190744 |
| LendingClub Rated Notes Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class A, 5.54%, 06/16/31<sup>(a)</sup> |  | 11617 | 11671534 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class B, 5.92%, 06/16/31<sup>(a)</sup> |  | 871 | 875089 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class C, 6.56%, 06/16/31<sup>(a)</sup> |  | 1740 | 1748168 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class D, 6.79%, 06/16/31<sup>(a)</sup> |  | 707 | 710319 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class E, 9.28%, 06/16/31<sup>(a)</sup> |  | 1378 | 1384469 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class F, 13.31%, 06/16/38<sup>(a)</sup> |  | 458 | 460150 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class R, 0.00%, 07/16/40<sup>(a)</sup> |  | 182 | 445575 |
| Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, 4.46%, 04/20/32<sup>(a)</sup> |  | 730 | 659191 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.88%, 06/21/32<sup>(a)</sup> |  | 2136 | 2173059 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.40%, 06/21/32<sup>(a)</sup> |  | 818 | 832344 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 7.21%, 06/21/32<sup>(a)</sup> |  | 953 | 975511 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.86%, 02/21/34<sup>(a)</sup> |  | 1304 | 1299170 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.25%, 02/21/34<sup>(a)</sup> |  | 399 | 399435 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.69%, 02/21/34<sup>(a)</sup> |  | 1277 | 1287290 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.94%, 09/20/34<sup>(a)</sup> |  | 6997 | 7051670 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.68%, 09/20/34<sup>(a)</sup> |  | 454 | 460789 |
| &nbsp;&nbsp;&nbsp; Lewey Park CLO Ltd., Series 2024-1A, <br> Class B1, (3-mo. CME Term SOFR + 1.70%), <br> 5.97%, 10/21/37<sup>(a)(b)</sup><br>|  | 470 | 470627 |
| LoanCore Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (SOFR (30-day) <br> + 1.55%), 5.85%, 01/17/37<sup>(a)(b)</sup><br>|  | 656 | 656465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE8, Class A, (1-mo. CME <br> Term SOFR + 1.39%), 5.70%, <br> 08/17/42<sup>(a)(b)</sup><br>|  | 1750 | 1744476 |
| Loanpal Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2GF, Class A, 2.75%, 07/20/47<sup>(a)</sup> |  | 4236 | 3575301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1GS, Class A, 2.29%, <br> 01/20/48<sup>(a)</sup><br>|  | 4076 | 3397036 |
| Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A3, (1-mo. CME Term <br> SOFR + 0.41%), 4.73%, 06/25/36<sup>(b)</sup><br>|  | 2889 | 1347396 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 08/25/36<sup>(b)</sup><br>| USD  | 7721 | $3083679 |
| &nbsp;&nbsp;&nbsp; Long Point Park CLO Ltd., Series 2017-1A, <br> Class A2, (3-mo. CME Term SOFR + 1.64%), <br> 5.92%, 01/17/30<sup>(a)(b)</sup><br>|  | 430 | 429886 |
| &nbsp;&nbsp;&nbsp; Lyra Music Assets Delaware LP, Series 2024-2A, <br> Class A2, 5.76%, 12/22/64<sup>(a)</sup><br>|  | 8360 | 8388711 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LI Ltd., Series 2021-51A, <br> Class B, (3-mo. CME Term SOFR + 1.96%), <br> 6.23%, 07/19/34<sup>(a)(b)</sup><br>|  | 2740 | 2742364 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LVII Ltd., Series 2022-<br> 57A, Class A1R, (3-mo. CME Term SOFR + <br> 1.28%), 5.56%, 07/27/34<sup>(a)(b)</sup><br>|  | 250 | 250467 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXII Ltd., Series 2022-<br> 62A, Class AR, (3-mo. CME Term SOFR + <br> 1.85%), 6.13%, 07/17/36<sup>(a)(b)</sup><br>|  | 3020 | 3020000 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXVII Ltd., Series 2024-<br> 67A, Class B, (3-mo. CME Term SOFR + <br> 2.05%), 6.33%, 04/25/37<sup>(a)(b)</sup><br>|  | 6610 | 6648090 |
| Madison Park Funding LXXI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-71A, Class A1, (3-mo. CME Term <br> SOFR + 1.14%), 5.41%, 04/23/38<sup>(a)(b)</sup><br>|  | 1900 | 1897199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-71A, Class B, (3-mo. CME Term <br> SOFR + 1.50%), 5.77%, 04/23/38<sup>(a)(b)</sup><br>|  | 250 | 249443 |
| Madison Park Funding XIX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-19A, Class AR3, (3-mo. CME <br> Term SOFR + 1.60%), 5.87%, <br> 01/22/37<sup>(a)(b)</sup><br>|  | 7000 | 7033586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-19A, Class BR3, (3-mo. CME <br> Term SOFR + 2.25%), 6.52%, <br> 01/22/37<sup>(a)(b)</sup><br>|  | 1000 | 1006779 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XL Ltd., Series 9A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.25%), 5.58%, 05/28/30<sup>(a)(b)</sup><br>|  | 2152 | 2153270 |
| Madison Park Funding XLII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class AR, (3-mo. CME Term <br> SOFR + 1.15%), 5.43%, 11/21/30<sup>(a)(b)</sup><br>|  | 267 | 267245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class B, (3-mo. CME Term SOFR <br> + 1.76%), 6.04%, 11/21/30<sup>(a)(b)</sup><br>|  | 1500 | 1501501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class C, (3-mo. CME Term SOFR <br> + 2.06%), 6.34%, 11/21/30<sup>(a)(b)</sup><br>|  | 390 | 390855 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XVIII Ltd., Series 2015-<br> 18A, Class BR, (3-mo. CME Term SOFR + <br> 1.86%), 6.13%, 10/21/30<sup>(a)(b)</sup><br>|  | 610 | 611274 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXI Ltd., Series 2016-<br> 21A, Class AARR, (3-mo. CME Term SOFR + <br> 1.34%), 5.60%, 10/15/32<sup>(a)(b)</sup><br>|  | 1697 | 1700270 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXII Ltd., Series 2016-<br> 22A, Class AR2, (3-mo. CME Term SOFR + <br> 1.31%), 5.57%, 01/15/38<sup>(a)(b)</sup><br>|  | 3000 | 3009184 |
| Madison Park Funding XXIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-23A, Class BR, (3-mo. CME <br> Term SOFR + 1.81%), 6.09%, <br> 07/27/31<sup>(a)(b)</sup><br>|  | 500 | 500819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-23A, Class CR, (3-mo. CME <br> Term SOFR + 2.26%), 6.54%, <br> 07/27/31<sup>(a)(b)</sup><br>|  | 900 | 901995 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXIV Ltd., Series 2016-<br> 24A, Class BR2, (3-mo. CME Term SOFR + <br> 1.55%), 5.82%, 10/20/29<sup>(a)(b)</sup><br>|  | 760 | 759859 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXIX Ltd., Series 2018-<br> 29A, Class A1R2, (3-mo. CME Term SOFR + <br> 1.18%), 5.50%, 03/25/38<sup>(a)(b)</sup><br>| USD  | 7000 | $6993000 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXVII Ltd., Series 2018-<br> 27A, Class A1R, (3-mo. CME Term SOFR + <br> 1.20%), 5.52%, 04/20/38<sup>(a)(b)</sup><br>|  | 500 | 499815 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXI Ltd., Series 2018-<br> 31A, Class B1R, (3-mo. CME Term SOFR + <br> 1.80%), 6.08%, 07/23/37<sup>(a)(b)</sup><br>|  | 4110 | 4123034 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXIII Ltd., Series 2019-<br> 33A, Class AR, (3-mo. CME Term SOFR + <br> 1.29%), 5.55%, 10/15/32<sup>(a)(b)</sup><br>|  | 1559 | 1560147 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXV Ltd., Series 2019-<br> 35A, Class BR, (3-mo. CME Term SOFR + <br> 1.66%), 5.93%, 04/20/32<sup>(a)(b)</sup><br>|  | 1030 | 1030189 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXVII Ltd., Series 2019-<br> 37A, Class AR2, (3-mo. CME Term SOFR + <br> 1.53%), 5.79%, 04/15/37<sup>(a)(b)</sup><br>|  | 670 | 672345 |
| &nbsp;&nbsp;&nbsp; Marble Point CLO XXII Ltd., Series 2021-2A, <br> Class B, (3-mo. CME Term SOFR + 2.11%), <br> 6.39%, 07/25/34<sup>(a)(b)</sup><br>|  | 250 | 251124 |
| &nbsp;&nbsp;&nbsp; Marble Point CLO XXIII Ltd., Series 2021-4A, <br> Class D1, (3-mo. CME Term SOFR + 3.91%), <br> 8.18%, 01/22/35<sup>(a)(b)</sup><br>|  | 250 | 249159 |
| &nbsp;&nbsp;&nbsp; Mariner CLO LLC, Series 2016-3A, Class AR3, <br> (3-mo. CME Term SOFR + 1.59%), 5.87%, <br> 01/23/37<sup>(a)(b)</sup><br>|  | 1350 | 1354142 |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class E, 4.68%, 11/20/36<sup>(a)</sup> |  | 1265 | 1163083 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 09/22/36<sup>(a)</sup> |  | 5718 | 5791009 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class D, 6.77%, 09/22/36<sup>(a)</sup> |  | 304 | 313641 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class E, 9.02%, 09/22/36<sup>(a)</sup> |  | 1277 | 1328809 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class A, 4.91%, 11/20/38<sup>(a)</sup> |  | 7474 | 7555131 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class D, 6.36%, 11/20/38<sup>(a)</sup> |  | 1400 | 1427050 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class A, 4.98%, 05/20/38<sup>(a)</sup> |  | 10592 | 10735719 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class B, 5.33%, 05/20/38<sup>(a)</sup> |  | 1425 | 1451001 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class C, 5.69%, 05/20/38<sup>(a)</sup> |  | 1462 | 1486846 |
| MASTR Asset-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AM2, Class A4, (1-mo. CME <br> Term SOFR + 0.63%), 4.95%, <br> 06/25/36<sup>(a)(b)</sup><br>|  | 888 | 825701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A4, (1-mo. CME <br> Term SOFR + 0.67%), 4.99%, 05/25/37<sup>(b)</sup><br>|  | 1318 | 1114679 |
| &nbsp;&nbsp;&nbsp; MASTR Specialized Loan Trust, Series 2006-3, <br> Class A, (1-mo. CME Term SOFR + 0.63%), <br> 4.95%, 06/25/46<sup>(a)(b)</sup><br>|  | 179 | 175269 |
| &nbsp;&nbsp;&nbsp; Meacham Park CLO Ltd., Series 2024-1A, <br> Class B, (3-mo. CME Term SOFR + 1.60%), <br> 5.87%, 10/20/37<sup>(a)(b)</sup><br>|  | 3440 | 3444723 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch First Franklin Mortgage Loan Trust, <br> Series 2007-2, Class A2C, (1-mo. CME Term <br> SOFR + 0.59%), 4.91%, 05/25/37<sup>(b)</sup><br>|  | 756 | 547302 |
| Merrill Lynch Mortgage Investors Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OPT1, Class M1, (1-mo. CME <br> Term SOFR + 0.50%), 4.82%, 08/25/37<sup>(b)</sup><br>|  | 394 | 352215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RM3, Class A2B, (1-mo. CME <br> Term SOFR + 0.29%), 4.61%, 06/25/37<sup>(b)</sup><br>|  | 819 | 171954 |
| Metro Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, (1-mo. BBSW + <br> 1.90%), 5.71%, 10/15/31<sup>(b)</sup><br>| AUD  | 500 | 329569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-mo. BBSW + <br> 2.20%), 6.01%, 10/15/31<sup>(b)</sup><br>|  | 650 | 429338 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10, Class A, (1-mo. CME Term <br> SOFR + 2.64%), 6.95%, 09/17/37<sup>(a)(b)</sup><br>| USD  | 1799 | $1803611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL9, Class A, (1-mo. CME Term <br> SOFR + 2.15%), 6.47%, 06/19/37<sup>(a)(b)</sup><br>|  | 4391 | 4392330 |
| &nbsp;&nbsp;&nbsp; MFA Trust, Series 2024-NPL1, Class A1, 6.33%, <br> 09/25/54<sup>(a)(c)</sup><br>|  | 4901 | 4914178 |
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO XI Ltd., Series 2022-11A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.21%), 5.48%, 01/18/36<sup>(a)(b)</sup><br>|  | 1530 | 1529858 |
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO XII Ltd., Series 2023-12A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.34%), 5.61%, 04/18/36<sup>(a)(b)</sup><br>|  | 3170 | 3173566 |
| Mila BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-mo. EURIBOR + <br> 1.45%), 3.54%, 09/16/41<sup>(b)(e)</sup><br>| EUR  | 238 | 280348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-mo. EURIBOR + <br> 2.00%), 4.09%, 09/16/41<sup>(b)(e)</sup><br>|  | 188 | 222094 |
| &nbsp;&nbsp;&nbsp; Milford Park CLO Ltd., Series 2022-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.16%), <br> 5.43%, 01/20/38<sup>(a)(b)</sup><br>| USD  | 2370 | 2368815 |
| &nbsp;&nbsp;&nbsp; Mill City Solar Loan Ltd., Series 2019-2GS, <br> Class A, 3.69%, 07/20/43<sup>(a)</sup><br>|  | 3560 | 3130044 |
| &nbsp;&nbsp;&nbsp; Milos CLO Ltd., Series 2017-1A, Class AR, (3-<br> mo. CME Term SOFR + 1.33%), 5.60%, <br> 10/20/30<sup>(a)(b)</sup><br>|  | 381 | 381154 |
| Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE1, Class A2MZ, (1-mo. CME <br> Term SOFR + 0.71%), 5.03%, 12/25/34<sup>(b)</sup><br>|  | 820 | 771619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE5, Class M4, (1-mo. CME <br> Term SOFR + 0.98%), 5.30%, 09/25/35<sup>(b)</sup><br>|  | 2846 | 2356893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE8, Class A2FP, (1-mo. CME <br> Term SOFR + 0.18%), 4.50%, 10/25/36<sup>(b)</sup><br>|  | 1667 | 721782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA1, Class 2A1, (1-mo. CME <br> Term SOFR + 3.91%), 8.23%, <br> 02/25/47<sup>(a)(b)</sup><br>|  | 359 | 337329 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Home Equity Loan Trust, <br> Series 2006-3, Class A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 04/25/36<sup>(b)</sup><br>|  | 1294 | 898855 |
| Morgan Stanley Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A4, 6.51%, <br> 10/25/36<sup>(c)</sup><br>|  | 1873 | 409192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A6A, 6.23%, <br> 10/25/36<sup>(c)</sup><br>|  | 719 | 194167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16AX, Class 1A, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 11/25/36<sup>(b)</sup><br>|  | 3477 | 541702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16AX, Class 2A3, (1-mo. CME <br> Term SOFR + 0.61%), 4.93%, 11/25/36<sup>(b)</sup><br>|  | 1010 | 275410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3XS, Class 2A3S, 6.36%, <br> 01/25/47<sup>(c)</sup><br>|  | 1392 | 492669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3XS, Class 2A4S, 6.46%, <br> 01/25/47<sup>(c)</sup><br>|  | 6060 | 2105808 |
| Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2GS, Class A, 4.20%, <br> 02/22/44<sup>(a)</sup><br>|  | 1224 | 1139637 |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup> |  | 435 | 382641 |
| &nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.10%, 04/20/46<sup>(a)</sup> |  | 590 | 523963 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.32%, 06/20/53<sup>(a)</sup> |  | 381 | 360894 |
| &nbsp;&nbsp;&nbsp; MP CLO III Ltd., Series 2013-1A, Class AR, (3-<br> mo. CME Term SOFR + 1.51%), 5.78%, <br> 10/20/30<sup>(a)(b)</sup><br>|  | 50 | 50316 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; MP CLO VII Ltd., Series 2015-1A, Class BRR, <br> (3-mo. CME Term SOFR + 1.86%), 6.13%, <br> 10/18/28<sup>(a)(b)</sup><br>| USD  | 489 | $488780 |
| Myers Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.66%), 5.93%, 10/20/30<sup>(a)(b)</sup><br>|  | 890 | 890581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 10/20/30<sup>(a)(b)</sup><br>|  | 1300 | 1302870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class C, (3-mo. CME Term <br> SOFR + 2.31%), 6.58%, 10/20/30<sup>(a)(b)</sup><br>|  | 250 | 250555 |
| &nbsp;&nbsp;&nbsp; Nationstar Home Equity Loan Trust, <br> Series 2007-B, Class M1, (1-mo. CME Term <br> SOFR + 0.73%), 5.05%, 04/25/37<sup>(b)</sup><br>|  | 3320 | 3178928 |
| &nbsp;&nbsp;&nbsp; Navient Education Loan Trust, Series 2025-A, <br> Class D, 6.03%, 07/15/55<sup>(a)</sup><br>|  | 404 | 406856 |
| Navient Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-AA, Class B, 3.50%, 08/15/44<sup>(a)</sup> |  | 6000 | 5892974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class A2B, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 11/15/68<sup>(a)(b)</sup><br>|  | 928 | 925608 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-CA, Class A2, 3.13%, <br> 02/15/68<sup>(a)</sup><br>|  | 71 | 69971 |
| &nbsp;&nbsp;&nbsp; Series 2020-FA, Class B, 2.69%, 07/15/69<sup>(a)</sup> |  | 2590 | 2194063 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.61%, 04/15/60<sup>(a)</sup> |  | 860 | 770791 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.48%, 04/15/60<sup>(a)</sup> |  | 2315 | 2160870 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.66%, 10/15/72<sup>(a)</sup> |  | 13264 | 13435422 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B1, 2.85%, 04/20/62<sup>(a)</sup> |  | 3470 | 3068900 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B2, 2.85%, 04/20/62<sup>(a)</sup> |  | 22590 | 19978802 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 3.75%, 04/20/62<sup>(a)</sup> |  | 1706 | 1473324 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 4.93%, 04/20/62<sup>(a)</sup> |  | 2323 | 2069470 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class B, 2.68%, 04/20/62<sup>(a)</sup> |  | 13069 | 11501986 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 3.57%, 04/20/62<sup>(a)</sup> |  | 836 | 717761 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 4.75%, 04/20/62<sup>(a)</sup> |  | 1499 | 1314422 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class B, 2.53%, 04/20/62<sup>(a)</sup> |  | 12397 | 10808207 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class C, 3.36%, 04/20/62<sup>(a)</sup> |  | 650 | 560984 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class D, 4.44%, 04/20/62<sup>(a)</sup> |  | 990 | 871007 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.90%, 04/20/62<sup>(a)</sup> |  | 7353 | 6557165 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class D, 4.38%, 04/20/62<sup>(a)</sup> |  | 331 | 283372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-PL1A, Class A1A, (SOFR (30-<br> day) + 2.25%), 6.56%, 11/25/53<sup>(a)(b)</sup><br>|  | 2910 | 2953646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) <br> + 1.10%), 5.40%, 03/15/57<sup>(a)(b)</sup><br>|  | 14365 | 14261887 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XV Ltd., Series 2013-<br> 15A, Class BR2, (3-mo. CME Term SOFR + <br> 1.61%), 5.87%, 10/15/29<sup>(a)(b)</sup><br>|  | 250 | 249959 |
| Neuberger Berman CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20A, Class A1R3, (3-mo. CME <br> Term SOFR + 1.15%), 5.47%, <br> 04/15/39<sup>(a)(b)</sup><br>|  | 1000 | 999442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-20A, Class BR3, (3-mo. CME <br> Term SOFR + 1.50%), 5.82%, <br> 04/15/39<sup>(a)(b)</sup><br>|  | 750 | 748353 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XXI Ltd., Series 2016-<br> 21A, Class A1R3, (3-mo. CME Term SOFR + <br> 1.32%), 5.59%, 01/20/39<sup>(a)(b)</sup><br>|  | 6960 | 6980881 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 32 Ltd., <br> Series 2019-32A, Class BR, (3-mo. CME <br> Term SOFR + 1.66%), 5.93%, 01/20/32<sup>(a)(b)</sup><br>|  | 1340 | 1339323 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Neuberger Berman Loan Advisers CLO 34 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class A1R, (3-mo. CME <br> Term SOFR + 1.24%), 5.51%, <br> 01/20/35<sup>(a)(b)</sup><br>| USD  | 286 | $285701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class BR, (3-mo. CME <br> Term SOFR + 1.75%), 6.02%, <br> 01/20/35<sup>(a)(b)</sup><br>|  | 1000 | 1000822 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 40 Ltd., <br> Series 2021-40A, Class A, (3-mo. CME Term <br> SOFR + 1.32%), 5.58%, 04/16/33<sup>(a)(b)</sup><br>|  | 3908 | 3911625 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 46 Ltd., <br> Series 2021-46A, Class BR, (3-mo. CME <br> Term SOFR + 1.50%), 5.77%, 01/20/37<sup>(a)(b)</sup><br>|  | 780 | 779177 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 54 Ltd., <br> Series 2024-54A, Class B, (3-mo. CME Term <br> SOFR + 1.95%), 6.23%, 04/23/38<sup>(a)(b)</sup><br>|  | 1520 | 1525701 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust, <br> Series 2005-C, Class M2, (1-mo. CME Term <br> SOFR + 0.79%), 5.11%, 12/25/35<sup>(b)</sup><br>|  | 2183 | 1862371 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 2 Ltd., Series CLO-2A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.36%), 5.62%, 01/15/38<sup>(a)(b)</sup><br>|  | 1990 | 1995955 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, <br> Series 2022-SFR1, Class F, 4.44%, <br> 02/17/39<sup>(a)</sup><br>|  | 699 | 673160 |
| &nbsp;&nbsp;&nbsp; Newark BSL CLO 1 Ltd., Series 2016-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.36%), 5.64%, 12/21/29<sup>(a)(b)</sup><br>|  | 36 | 36324 |
| &nbsp;&nbsp;&nbsp; NewDay Funding, Series 2025-2X, Class C, <br> (1-day SONIA + 1.50%), 07/15/33<sup>(b)(e)(f)</sup><br>| GBP  | 981 | 1346570 |
| Newday Funding Master Issuer PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2X, Class B, (1-day SONIA + <br> 1.40%), 5.62%, 07/15/32<sup>(b)(e)</sup><br>|  | 655 | 902465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2X, Class C, (1-day SONIA + <br> 1.90%), 6.12%, 07/15/32<sup>(b)(e)</sup><br>|  | 780 | 1079230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2X, Class D, (1-day SONIA + <br> 2.65%), 6.87%, 07/15/32<sup>(b)(e)</sup><br>|  | 1645 | 2277936 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative <br> Loan Trust, Series 2006-S5, Class A1, (1-mo. <br> CME Term SOFR + 0.51%), 4.83%, <br> 10/25/36<sup>(a)(b)</sup><br>| USD  | 44 | 56012 |
| Noria |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DE1, Class D, (1-mo. EURIBOR <br> + 1.65%), 3.54%, 02/25/43<sup>(b)(e)</sup><br>| EUR  | 500 | 588944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DE1, Class E, (1-mo. EURIBOR <br> + 3.55%), 5.44%, 02/25/43<sup>(b)(e)</sup><br>|  | 500 | 589582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DE1, Class F, (1-mo. EURIBOR <br> + 4.50%), 6.39%, 02/25/43<sup>(b)(e)</sup><br>|  | 300 | 354189 |
| &nbsp;&nbsp;&nbsp; Oak Hill Credit Partners X-R Ltd., Series 2014-<br> 10RA, Class AR2, (3-mo. CME Term SOFR + <br> 1.13%), 5.40%, 04/20/38<sup>(a)(b)</sup><br>| USD  | 2680 | 2677598 |
| Oaktree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BRR, (3-mo. CME <br> Term SOFR + 1.55%), 5.81%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 930 | 925906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class AR, (3-mo. CME Term <br> SOFR + 0.97%), 5.23%, 01/15/35<sup>(a)(b)</sup><br>|  | 2100 | 2098621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class A2, (3-mo. CME Term <br> SOFR + 1.57%), 5.84%, 10/22/37<sup>(a)(b)</sup><br>|  | 790 | 791164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class D1, (3-mo. CME Term <br> SOFR + 3.00%), 7.27%, 10/22/37<sup>(a)(b)</sup><br>|  | 250 | 250720 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Oakwood Mortgage Investors, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2001-D, Class A2, 5.26%, 01/15/19<sup>(b)</sup> | USD  | 433 | $151346 |
| &nbsp;&nbsp;&nbsp; Series 2001-D, Class A4, 6.93%, 09/15/31<sup>(b)</sup> |  | 276 | 116520 |
| &nbsp;&nbsp;&nbsp; Series 2002-B, Class M1, 7.62%, 06/15/32<sup>(b)</sup> |  | 3297 | 3332247 |
| &nbsp;&nbsp;&nbsp; OCP Aegis CLO Ltd., Series 2024-39A, <br> Class A1, (3-mo. CME Term SOFR + 1.22%), <br> 5.48%, 01/16/37<sup>(a)(b)</sup><br>|  | 310 | 310156 |
| OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A1R, (3-mo. CME <br> Term SOFR + 1.34%), 5.62%, <br> 04/26/31<sup>(a)(b)</sup><br>|  | 63 | 63253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A2R, (3-mo. CME <br> Term SOFR + 1.66%), 5.94%, <br> 04/26/31<sup>(a)(b)</sup><br>|  | 1070 | 1072420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class BAR3, (3-mo. CME <br> Term SOFR + 1.68%), 5.95%, <br> 10/18/37<sup>(a)(b)</sup><br>|  | 1960 | 1962496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class XR3, (3-mo. CME <br> Term SOFR + 1.20%), 5.47%, <br> 10/18/37<sup>(a)(b)</sup><br>|  | 1890 | 1890024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class AR2, (3-mo. CME <br> Term SOFR + 1.34%), 5.61%, <br> 11/26/37<sup>(a)(b)</sup><br>|  | 6765 | 6790458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15A, Class AR, (3-mo. CME <br> Term SOFR + 1.25%), 5.54%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 535 | 535698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-16A, Class AR, (3-mo. CME <br> Term SOFR + 1.26%), 5.47%, <br> 04/10/33<sup>(a)(b)</sup><br>|  | 3895 | 3897313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17A, Class AR2, (3-mo. CME <br> Term SOFR + 1.40%), 5.67%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 1570 | 1575002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 2080 | 2086660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class D1R2, (3-mo. CME <br> Term SOFR + 3.10%), 7.37%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 390 | 390277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class B1R, (3-mo. CME <br> Term SOFR + 1.95%), 6.22%, <br> 04/18/37<sup>(a)(b)</sup><br>|  | 360 | 361513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class AR, (3-mo. CME <br> Term SOFR + 1.25%), 5.53%, <br> 10/17/36<sup>(a)(b)</sup><br>|  | 750 | 751362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-22A, Class BR, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 660 | 660985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class A1, (3-mo. CME Term <br> SOFR + 1.36%), 5.93%, 10/15/37<sup>(a)(b)</sup><br>|  | 1390 | 1395284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class B1, (3-mo. CME Term <br> SOFR + 1.68%), 6.25%, 10/15/37<sup>(a)(b)</sup><br>|  | 1390 | 1393234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.68%, 01/21/38<sup>(a)(b)</sup><br>|  | 4400 | 4413266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-40A, Class A, (3-mo. CME Term <br> SOFR + 1.14%), 5.46%, 04/16/38<sup>(a)(b)</sup><br>|  | 6620 | 6610098 |
| OCP Euro CLO DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class CR, (3-mo. EURIBOR <br> + 2.30%), 4.54%, 04/20/33<sup>(a)(b)</sup><br>| EUR  | 250 | 296214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class DR, (3-mo. EURIBOR <br> + 3.30%), 5.54%, 04/20/33<sup>(a)(b)</sup><br>|  | 250 | 295520 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Octagon 56 Ltd., Series 2021-1A, Class B, (3-<br> mo. CME Term SOFR + 1.91%), 6.17%, <br> 10/15/34<sup>(a)(b)</sup><br>| USD  | 250 | $250760 |
| Octagon 57 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, (3-mo. CME Term <br> SOFR + 1.41%), 5.67%, 10/15/34<sup>(a)(b)</sup><br>|  | 500 | 500939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>|  | 1280 | 1282435 |
| &nbsp;&nbsp;&nbsp; Octagon 66 Ltd., Series 2022-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.75%), 6.08%, <br> 11/16/36<sup>(a)(b)</sup><br>|  | 4970 | 4992112 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners 18-R Ltd., <br> Series 2018-18A, Class A1A, (3-mo. CME <br> Term SOFR + 1.22%), 5.48%, 04/16/31<sup>(a)(b)</sup><br>|  | 2142 | 2141951 |
| Octagon Investment Partners 39 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.15%), 5.42%, 10/20/30<sup>(a)(b)</sup><br>|  | 971 | 972162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 6.07%, 10/20/30<sup>(a)(b)</sup><br>|  | 8890 | 8905004 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners 46 Ltd., <br> Series 2020-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 07/15/36<sup>(a)(b)</sup><br>|  | 3290 | 3299906 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners XV Ltd., <br> Series 2013-1A, Class A2R, (3-mo. CME <br> Term SOFR + 1.61%), 5.88%, 07/19/30<sup>(a)(b)</sup><br>|  | 1430 | 1430358 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners XVI Ltd., <br> Series 2013-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.28%), 5.56%, 07/17/30<sup>(a)(b)</sup><br>|  | 1742 | 1744566 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners XVII Ltd., <br> Series 2013-1A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.26%), 5.54%, 01/25/31<sup>(a)(b)</sup><br>|  | 855 | 854805 |
| &nbsp;&nbsp;&nbsp; Octagon Loan Funding Ltd., Series 2014-1A, <br> Class BRR, (3-mo. CME Term SOFR + <br> 1.96%), 6.29%, 11/18/31<sup>(a)(b)</sup><br>|  | 250 | 250665 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 17 Ltd., Series 2024-17A, <br> Class A, (3-mo. CME Term SOFR + 1.48%), <br> 5.75%, 04/20/37<sup>(a)(b)</sup><br>|  | 3170 | 3180069 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 19 Ltd., Series 2024-19A, <br> Class B1, (3-mo. CME Term SOFR + 1.70%), <br> 5.97%, 07/20/37<sup>(a)(b)</sup><br>|  | 250 | 250488 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 2 Ltd., Series 2019-2A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.24%), 5.51%, 01/21/38<sup>(a)(b)</sup><br>|  | 15470 | 15496155 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 4 Ltd., Series 2019-4A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.29%), 5.56%, 01/22/38<sup>(a)(b)</sup><br>|  | 3170 | 3177896 |
| OHA Credit Funding 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 10/18/37<sup>(a)(b)</sup><br>|  | 8960 | 8991607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class B1R, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 10/18/37<sup>(a)(b)</sup><br>|  | 420 | 420988 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 6 Ltd., Series 2020-6A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.33%), 5.60%, 10/20/37<sup>(a)(b)</sup><br>|  | 850 | 852808 |
| OHA Credit Funding 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.28%), 07/19/38<sup>(a)(b)(f)</sup><br>|  | 1520 | 1520000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class AR, (3-mo. CME Term <br> SOFR + 1.30%), 5.57%, 02/24/37<sup>(a)(b)</sup><br>|  | 3720 | 3730873 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OHA Credit Funding 9 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class A1R, (3-mo. CME <br> Term SOFR + 1.35%), 5.62%, <br> 10/19/37<sup>(a)(b)</sup><br>| USD  | 2780 | $2789788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class B1R, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 10/19/37<sup>(a)(b)</sup><br>|  | 3510 | 3518187 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XI Ltd., Series 2015-11A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.46%), 5.73%, 04/20/37<sup>(a)(b)</sup><br>|  | 3530 | 3543182 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XII Ltd., Series 2015-12A, <br> Class B1R2, (3-mo. CME Term SOFR + <br> 1.95%), 6.23%, 04/23/37<sup>(a)(b)</sup><br>|  | 1550 | 1555411 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XVI, Series 2021-16A, <br> Class AR, (3-mo. CME Term SOFR + 1.35%), <br> 5.62%, 10/18/37<sup>(a)(b)</sup><br>|  | 5388 | 5406759 |
| OHA Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class AR, (3-mo. CME Term <br> SOFR + 1.30%), 5.63%, 05/23/31<sup>(a)(b)</sup><br>|  | 2328 | 2329905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class AR3, (3-mo. CME <br> Term SOFR + 1.41%), 5.68%, <br> 01/19/37<sup>(a)(b)</sup><br>|  | 1830 | 1834828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.46%), 5.73%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 3750 | 3763771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class B1R2, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 250 | 250590 |
| &nbsp;&nbsp;&nbsp; OneMain Direct Auto Receivables Trust, <br> Series 2025-1A, Class D, 6.10%, 07/14/37<sup>(a)</sup><br>|  | 1484 | 1506524 |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 2.76%, 09/14/35<sup>(a)</sup> |  | 2620 | 2500396 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.79%, 05/14/41<sup>(a)</sup> |  | 17503 | 18315610 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class D, 5.79%, 07/14/38<sup>(a)</sup> |  | 2126 | 2145962 |
| Option One Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class M3, (1-mo. CME Term <br> SOFR + 0.85%), 5.17%, 11/25/35<sup>(b)</sup><br>|  | 4030 | 3457982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CP1, Class 2A3, (1-mo. CME <br> Term SOFR + 0.32%), 4.64%, 03/25/37<sup>(b)</sup><br>|  | 2360 | 2033670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 1A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 1682 | 1435753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 2A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 4031 | 3472539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 3A4, 5.86%, <br> 01/25/37<sup>(c)</sup><br>|  | 279 | 272140 |
| Orchard Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 15180 | 15235234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/20/37<sup>(a)(b)</sup><br>|  | 1380 | 1382722 |
| Origen Manufactured Housing Contract Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2001-A, Class M1, 7.82%, 03/15/32<sup>(b)</sup> |  | 661 | 663102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-B, Class A1, (1-mo. CME Term <br> SOFR + 1.20%), 6.16%, 10/15/37<sup>(a)(b)</sup><br>|  | 155 | 154258 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO V Ltd., Series 2020-5A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.78%), 6.05%, 04/20/34<sup>(a)(b)</sup><br>|  | 900 | 902197 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO VII LLC, Series 2022-7A, <br> Class AR, (3-mo. CME Term SOFR + 1.40%), <br> 5.72%, 04/20/38<sup>(a)(b)</sup><br>|  | 290 | 290290 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO XVIII LLC, Series 2024-18A, <br> Class A, (3-mo. CME Term SOFR + 1.70%), <br> 5.98%, 07/24/36<sup>(a)(b)</sup><br>| USD  | 3925 | $3939026 |
| &nbsp;&nbsp;&nbsp; Ownit Mortgage Loan Trust, Series 2006-2, <br> Class A2C, 6.50%, 01/25/37<sup>(c)</sup><br>|  | 1524 | 1395129 |
| OZLM XVIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-18A, Class A, (3-mo. CME Term <br> SOFR + 1.28%), 5.54%, 04/15/31<sup>(a)(b)</sup><br>|  | 1637 | 1638080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-18A, Class B, (3-mo. CME Term <br> SOFR + 1.81%), 6.07%, 04/15/31<sup>(a)(b)</sup><br>|  | 700 | 701265 |
| &nbsp;&nbsp;&nbsp; OZLM XXII Ltd., Series 2018-22A, Class A1, <br> (3-mo. CME Term SOFR + 1.33%), 5.61%, <br> 01/17/31<sup>(a)(b)</sup><br>|  | 130 | 129865 |
| &nbsp;&nbsp;&nbsp; OZLM XXIV Ltd., Series 2019-24A, Class A2AR, <br> (3-mo. CME Term SOFR + 1.96%), 6.23%, <br> 07/20/32<sup>(a)(b)</sup><br>|  | 750 | 751769 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust, <br> Series 2023-1, Class F, 3.60%, 10/25/40<sup>(a)</sup><br>|  | 3423 | 2832433 |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.41%), 5.72%, <br> 11/14/34<sup>(a)(b)</sup><br>|  | 3570 | 3578322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.65%), 5.98%, <br> 11/15/36<sup>(a)(b)</sup><br>|  | 1270 | 1275210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.41%), 5.67%, 01/15/35<sup>(a)(b)</sup><br>|  | 360 | 360919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME <br> Term SOFR + 1.32%), 07/15/38<sup>(a)(b)(f)</sup><br>|  | 610 | 610000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.35%), 5.62%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 1530 | 1535384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D1R, (3-mo. CME <br> Term SOFR + 2.95%), 7.22%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 550 | 550142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.92%, 07/20/37<sup>(a)(b)</sup><br>|  | 3270 | 3277954 |
| Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class C, (3-mo. CME Term <br> SOFR + 2.86%), 7.12%, 10/15/29<sup>(a)(b)</sup><br>|  | 250 | 251596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class D, (3-mo. CME Term <br> SOFR + 5.26%), 9.52%, 10/15/29<sup>(a)(b)</sup><br>|  | 1480 | 1480083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A2, (3-mo. CME Term <br> SOFR + 1.90%), 6.16%, 10/15/30<sup>(a)(b)</sup><br>|  | 1810 | 1815850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, (3-mo. CME Term <br> SOFR + 2.20%), 6.46%, 10/15/30<sup>(a)(b)</sup><br>|  | 390 | 390869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, (3-mo. CME Term <br> SOFR + 3.10%), 7.36%, 10/15/30<sup>(a)(b)</sup><br>|  | 250 | 251748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1BR, (3-mo. CME <br> Term SOFR + 1.40%), 5.66%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 250 | 250033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2R, (3-mo. CME <br> Term SOFR + 1.60%), 5.86%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 16630 | 16642870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.45%), 5.71%, 10/15/32<sup>(a)(b)</sup><br>|  | 1680 | 1680678 |
| Panorama Auto Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, (1-mo. BBSW + <br> 1.55%), 5.29%, 03/15/33<sup>(b)(e)</sup><br>| AUD  | 732 | 477632 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Panorama Auto Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class E, (1-mo. BBSW + <br> 3.40%), 7.14%, 03/15/33<sup>(b)(e)</sup><br>| AUD  | 540 | $350642 |
| Park Blue CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, (3-mo. CME <br> Term SOFR + 1.42%), 5.69%, <br> 07/20/37<sup>(a)(b)</sup><br>| USD  | 1460 | 1465843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.64%, 01/25/38<sup>(a)(b)</sup><br>|  | 1634 | 1639565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-7A, Class A1, (3-mo. CME Term <br> SOFR + 1.22%), 5.47%, 04/25/38<sup>(a)(b)</sup><br>|  | 2000 | 1999400 |
| PCL Funding IX PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, (1-day SONIA + <br> 1.30%), 5.52%, 07/16/29<sup>(b)(e)</sup><br>| GBP  | 684 | 936324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 2.15%), 6.37%, 07/16/29<sup>(b)(e)</sup><br>|  | 151 | 206777 |
| &nbsp;&nbsp;&nbsp; PFS Financing Corp., Series 2022-E, Class B, <br> 5.54%, 10/30/26<sup>(a)(g)</sup><br>| USD  | 12000 | 12020400 |
| &nbsp;&nbsp;&nbsp; Pikes Peak CLO 12 Ltd., Series 2023-12A, <br> Class AR, (3-mo. CME Term SOFR + 1.22%), <br> 5.49%, 04/20/38<sup>(a)(b)</sup><br>|  | 500 | 499961 |
| &nbsp;&nbsp;&nbsp; Point Au Roche Park CLO Ltd., Series 2021-1A, <br> Class A, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 07/20/34<sup>(a)(b)</sup><br>|  | 370 | 370935 |
| &nbsp;&nbsp;&nbsp; Point Broadband & Funding LLC, Series 2025-<br> 1A, Class C, 07/20/55<sup>(a)(f)</sup><br>|  | 3261 | 3260969 |
| Pony SA |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-mo. EURIBOR + <br> 1.20%), 3.09%, 01/14/33<sup>(b)(e)</sup><br>| EUR  | 400 | 471608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-mo. EURIBOR + <br> 1.65%), 3.54%, 01/14/33<sup>(b)(e)</sup><br>|  | 300 | 354289 |
| &nbsp;&nbsp;&nbsp; Post CLO Ltd., Series 2023-1A, Class A, (3-mo. <br> CME Term SOFR + 1.95%), 6.22%, <br> 04/20/36<sup>(a)(b)</sup><br>| USD  | 500 | 501046 |
| &nbsp;&nbsp;&nbsp; Post CLO VI Ltd., Series 2024-2A, Class A1, <br> (3-mo. CME Term SOFR + 1.42%), 5.88%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 950 | 954537 |
| PRET LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 5.49%, <br> 10/25/51<sup>(a)(b)</sup><br>|  | 4134 | 4131124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL4, Class A1, 7.00%, <br> 07/25/54<sup>(a)(c)</sup><br>|  | 6018 | 6027750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL5, Class A1, 5.96%, <br> 09/25/54<sup>(a)(c)</sup><br>|  | 4935 | 4940033 |
| &nbsp;&nbsp;&nbsp; Prima Capital CRE Securitization Ltd., <br> Series 2016-6A, Class C, 4.00%, 08/24/40<sup>(a)</sup><br>|  | 3006 | 2960063 |
| Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, (1-mo. CME Term <br> SOFR + 1.36%), 5.68%, 07/25/51<sup>(a)(b)</sup><br>|  | 1222 | 1220606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, (1-mo. CME Term <br> SOFR + 2.61%), 6.93%, 07/25/51<sup>(a)(b)</sup><br>|  | 240 | 242274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (1-mo. CME Term <br> SOFR + 3.86%), 8.18%, 07/25/51<sup>(a)(b)</sup><br>|  | 139 | 142285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (1-mo. CME Term <br> SOFR + 6.01%), 10.33%, 07/25/51<sup>(a)(b)</sup><br>|  | 95 | 97952 |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class E2, 3.67%, <br> 12/17/40<sup>(a)</sup><br>|  | 1813 | 1718858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class F, 4.61%, <br> 12/17/40<sup>(a)</sup><br>|  | 7320 | 7111948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class F, 3.44%, <br> 05/17/26<sup>(a)</sup><br>|  | 6640 | 6547108 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class F, 4.05%, <br> 11/17/40<sup>(a)</sup><br>| USD  | 1342 | $1282627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.88%, <br> 02/17/41<sup>(a)</sup><br>|  | 2617 | 2438287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class G, 5.52%, <br> 02/17/41<sup>(a)</sup><br>|  | 2617 | 2434050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E1, 3.40%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 2025 | 1865978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E2, 3.65%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 1012 | 930088 |
| Quarzo Srl |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (3-mo. EURIBOR + <br> 2.30%), 4.28%, 06/15/41<sup>(b)(e)</sup><br>| EUR  | 345 | 410365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (3-mo. EURIBOR + <br> 3.70%), 5.68%, 06/15/41<sup>(b)(e)</sup><br>|  | 281 | 334268 |
| &nbsp;&nbsp;&nbsp; Race Point IX CLO Ltd., Series 2015-9A, <br> Class A1A2, (3-mo. CME Term SOFR + <br> 1.20%), 5.46%, 10/15/30<sup>(a)(b)</sup><br>| USD  | 727 | 727607 |
| &nbsp;&nbsp;&nbsp; Race Point X CLO Ltd., Series 2016-10A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.36%), 5.64%, 07/25/31<sup>(a)(b)</sup><br>|  | 1062 | 1062540 |
| Rad CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 01/20/34<sup>(a)(b)</sup><br>|  | 4056 | 4063923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 01/20/34<sup>(a)(b)</sup><br>|  | 430 | 431718 |
| &nbsp;&nbsp;&nbsp; Rad CLO 16 Ltd., Series 2022-16A, Class A1R, <br> (3-mo. CME Term SOFR + 1.55%), 5.81%, <br> 07/15/37<sup>(a)(b)</sup><br>|  | 325 | 326329 |
| &nbsp;&nbsp;&nbsp; Rad CLO 18 Ltd., Series 2023-18A, Class A1R, <br> (3-mo. CME Term SOFR + 1.40%), 5.72%, <br> 07/15/37<sup>(a)(b)</sup><br>|  | 250 | 250813 |
| Rad CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class A1R, (3-mo. CME <br> Term SOFR + 1.07%), 5.35%, <br> 01/25/37<sup>(a)(b)</sup><br>|  | 1270 | 1270939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class CR, (3-mo. CME <br> Term SOFR + 1.80%), 6.08%, <br> 01/25/37<sup>(a)(b)</sup><br>|  | 1500 | 1500770 |
| &nbsp;&nbsp;&nbsp; Rad CLO 23 Ltd., Series 2024-23A, Class B1, <br> (3-mo. CME Term SOFR + 2.05%), 6.32%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 1400 | 1408582 |
| &nbsp;&nbsp;&nbsp; Rad CLO 25 Ltd., Series 2024-25A, Class A1, <br> (3-mo. CME Term SOFR + 1.46%), 5.73%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 490 | 492153 |
| &nbsp;&nbsp;&nbsp; Rad CLO 27 Ltd., Series 2024-27A, Class A1, <br> (3-mo. CME Term SOFR + 1.32%), 5.61%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 930 | 932736 |
| &nbsp;&nbsp;&nbsp; Rad CLO 5 Ltd., Series 2019-5A, Class AR, <br> (3-mo. CME Term SOFR + 1.38%), 5.66%, <br> 07/24/32<sup>(a)(b)</sup><br>|  | 2301 | 2304706 |
| Rad CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class A1R, (3-mo. CME <br> Term SOFR + 1.35%), 5.63%, <br> 04/17/36<sup>(a)(b)</sup><br>|  | 1050 | 1051575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class B1R, (3-mo. CME <br> Term SOFR + 1.90%), 6.18%, <br> 04/17/36<sup>(a)(b)</sup><br>|  | 4540 | 4558380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class CR, (3-mo. CME Term <br> SOFR + 2.60%), 6.88%, 04/17/36<sup>(a)(b)</sup><br>|  | 2410 | 2419744 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Rad CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class D1R, (3-mo. CME <br> Term SOFR + 4.15%), 8.43%, <br> 04/17/36<sup>(a)(b)</sup><br>| USD  | 770 | $765728 |
| &nbsp;&nbsp;&nbsp; RAMP Series Trust, Series 2004-RS7, <br> Class A2A, (1-mo. CME Term SOFR + <br> 0.62%), 5.06%, 07/25/34<sup>(b)</sup><br>|  | 966 | 759460 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2024-CES2, <br> Class B2, 9.90%, 04/25/44<sup>(a)(b)</sup><br>|  | 848 | 888690 |
| &nbsp;&nbsp;&nbsp; Recette CLO Ltd., Series 2015-1A, Class BRR, <br> (3-mo. CME Term SOFR + 1.66%), 5.93%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 500127 |
| &nbsp;&nbsp;&nbsp; Red & Black Auto Italy Srl, Series 3, Class C, <br> (1-mo. EURIBOR + 1.50%), 3.43%, <br> 07/28/36<sup>(b)(e)</sup><br>| EUR  | 298 | 351972 |
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, Series 2023-1, Class A, <br> 7.50%, 07/25/59<sup>(a)(c)</sup><br>| USD  | 398 | 397081 |
| &nbsp;&nbsp;&nbsp; Regatta 30 Funding Ltd., Series 2024-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.32%), <br> 5.63%, 01/25/38<sup>(a)(b)</sup><br>|  | 1710 | 1715662 |
| Regatta 31 Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.17%), 5.40%, 03/25/38<sup>(a)(b)</sup><br>|  | 1380 | 1379720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.60%), 5.83%, 03/25/38<sup>(a)(b)</sup><br>|  | 1920 | 1922092 |
| &nbsp;&nbsp;&nbsp; Regatta 32 Funding Ltd., Series 2025-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.34%), <br> 5.63%, 07/25/38<sup>(a)(b)</sup><br>|  | 2550 | 2556885 |
| &nbsp;&nbsp;&nbsp; Regatta IX Funding Ltd., Series 2017-1A, <br> Class B1R, (3-mo. CME Term SOFR + <br> 2.00%), 6.28%, 04/17/37<sup>(a)(b)</sup><br>|  | 2438 | 2447854 |
| &nbsp;&nbsp;&nbsp; Regatta VI Funding Ltd., Series 2016-1A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 1.42%), 5.69%, 04/20/34<sup>(a)(b)</sup><br>|  | 4700 | 4712715 |
| Regatta VII Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.41%), 5.73%, <br> 06/20/34<sup>(a)(b)</sup><br>|  | 1600 | 1604213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class BR2, (3-mo. CME <br> Term SOFR + 1.86%), 6.18%, <br> 06/20/34<sup>(a)(b)</sup><br>|  | 500 | 500801 |
| &nbsp;&nbsp;&nbsp; Regatta XI Funding Ltd., Series 2018-1A, <br> Class BR, (3-mo. CME Term SOFR + 1.75%), <br> 6.03%, 07/17/37<sup>(a)(b)</sup><br>|  | 3270 | 3279165 |
| &nbsp;&nbsp;&nbsp; Regatta XII Funding Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + <br> 1.39%), 5.65%, 10/15/37<sup>(a)(b)</sup><br>|  | 3340 | 3352881 |
| Regatta XIX Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.32%), 5.59%, 04/20/35<sup>(a)(b)</sup><br>|  | 1020 | 1023511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, (3-mo. CME Term <br> SOFR + 1.85%), 6.12%, 04/20/35<sup>(a)(b)</sup><br>|  | 1390 | 1394559 |
| Regatta XVIII Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.16%), 5.42%, <br> 04/15/38<sup>(a)(b)</sup><br>|  | 4646 | 4643589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.81%, 04/15/38<sup>(a)(b)</sup><br>|  | 750 | 750633 |
| &nbsp;&nbsp;&nbsp; Regatta XX Funding Ltd., Series 2021-2A, <br> Class AR, (3-mo. CME Term SOFR + 1.18%), <br> 5.44%, 01/15/38<sup>(a)(b)</sup><br>|  | 1189 | 1189931 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Regatta XXIII Funding Ltd., Series 2021-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.41%), <br> 5.68%, 01/20/35<sup>(a)(b)</sup><br>| USD  | 1300 | $1303468 |
| &nbsp;&nbsp;&nbsp; Regatta XXIV Funding Ltd., Series 2021-5A, <br> Class AR, (3-mo. CME Term SOFR + 1.32%), <br> 5.59%, 01/20/38<sup>(a)(b)</sup><br>|  | 1190 | 1194009 |
| &nbsp;&nbsp;&nbsp; Regatta XXVII Funding Ltd., Series 2024-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.53%), <br> 5.81%, 04/26/37<sup>(a)(b)</sup><br>|  | 2990 | 3001006 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 1.90%, 08/15/33<sup>(a)</sup> |  | 1053 | 1002399 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 3.88%, 10/17/33<sup>(a)(g)</sup> |  | 21460 | 20547950 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 3.07%, 03/15/32<sup>(a)</sup> |  | 239 | 237323 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 3.71%, 03/15/32<sup>(a)</sup> |  | 810 | 799669 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class C, 4.46%, 03/15/32<sup>(a)</sup> |  | 534 | 533099 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 6.72%, 03/15/32<sup>(a)</sup> |  | 1695 | 1696002 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class D, 7.46%, 07/15/36<sup>(a)</sup> |  | 1047 | 1086764 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 1860 | 1870177 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.33%, 12/15/33<sup>(a)</sup> |  | 271 | 273053 |
| Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 6.47%, 08/20/32<sup>(a)</sup> |  | 695 | 711832 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/32<sup>(a)</sup> |  | 340 | 349099 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/32<sup>(a)</sup> |  | 1401 | 1435248 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 5.42%, 11/20/37<sup>(a)</sup> |  | 10434 | 10588987 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class B, 5.86%, 11/20/37<sup>(a)</sup> |  | 3690 | 3750296 |
| &nbsp;&nbsp;&nbsp; Riserva CLO Ltd., Series 2016-3A, Class ARR, <br> (3-mo. CME Term SOFR + 1.32%), 5.59%, <br> 01/18/34<sup>(a)(b)</sup><br>|  | 5690 | 5700242 |
| Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR2, (3-mo. CME <br> Term SOFR + 1.36%), 5.63%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 4827 | 4839388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.76%), 6.02%, 10/15/29<sup>(a)(b)</sup><br>|  | 8271 | 8292749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class CR, (3-mo. CME Term <br> SOFR + 2.16%), 6.42%, 10/15/29<sup>(a)(b)</sup><br>|  | 2750 | 2756185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class DR, (3-mo. CME Term <br> SOFR + 3.11%), 7.37%, 10/15/29<sup>(a)(b)</sup><br>|  | 4766 | 4775361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A, (3-mo. CME Term <br> SOFR + 1.45%), 5.72%, 10/20/30<sup>(a)(b)</sup><br>|  | 4047 | 4047396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.68%, 05/20/31<sup>(a)(b)</sup><br>|  | 3808 | 3813168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B, (3-mo. CME Term <br> SOFR + 1.98%), 6.30%, 05/20/31<sup>(a)(b)</sup><br>|  | 1500 | 1501837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 10/20/31<sup>(a)(b)</sup><br>|  | 465 | 465793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 2.06%), 6.33%, 10/20/31<sup>(a)(b)</sup><br>|  | 600 | 601145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 07/20/34<sup>(a)(b)</sup><br>|  | 2020 | 2023369 |
| Romark CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.29%), 5.57%, <br> 10/23/30<sup>(a)(b)</sup><br>|  | 859 | 860170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class B, (3-mo. CME Term <br> SOFR + 2.41%), 6.69%, 10/23/30<sup>(a)(b)</sup><br>|  | 750 | 751679 |
| &nbsp;&nbsp;&nbsp; Romark WM-R Ltd., Series 2018-1A, Class A1, <br> (3-mo. CME Term SOFR + 1.29%), 5.56%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 2808 | 2810733 |
| &nbsp;&nbsp;&nbsp; RR 12 Ltd., Series 2020-12A, Class A2R3, (3-<br> mo. CME Term SOFR + 1.60%), 5.86%, <br> 01/15/36<sup>(a)(b)</sup><br>|  | 1040 | 1041022 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. <br> CME Term SOFR + 1.86%), 6.12%, <br> 10/15/34<sup>(a)(b)</sup><br>| USD  | 485 | $485874 |
| &nbsp;&nbsp;&nbsp; RR 24 Ltd., Series 2022-24A, Class A1A2, (3-<br> mo. CME Term SOFR + 1.31%), 5.57%, <br> 01/15/37<sup>(a)(b)</sup><br>|  | 500 | 501621 |
| &nbsp;&nbsp;&nbsp; RR 28 Ltd., Series 2024-28RA, Class A1R, (3-<br> mo. CME Term SOFR + 1.55%), 5.81%, <br> 04/15/37<sup>(a)(b)</sup><br>|  | 6320 | 6343790 |
| &nbsp;&nbsp;&nbsp; RR 29 Ltd., Series 2024-29RA, Class A1R, (3-<br> mo. CME Term SOFR + 1.39%), 5.65%, <br> 07/15/39<sup>(a)(b)</sup><br>|  | 300 | 300959 |
| &nbsp;&nbsp;&nbsp; RR 32 Ltd., Series 2024-32RA, Class A2R, (3-<br> mo. CME Term SOFR + 1.70%), 5.96%, <br> 10/15/39<sup>(a)(b)</sup><br>|  | 2310 | 2317098 |
| &nbsp;&nbsp;&nbsp; RR 38 Ltd., Series 2025-38A, Class A1A, (3-mo. <br> CME Term SOFR + 1.15%), 5.47%, <br> 04/15/40<sup>(a)(b)</sup><br>|  | 9490 | 9485026 |
| &nbsp;&nbsp;&nbsp; RR 5 Ltd., Series 2018-5A, Class A2R, (3-mo. <br> CME Term SOFR + 1.95%), 6.21%, <br> 07/15/39<sup>(a)(b)</sup><br>|  | 1000 | 1004152 |
| &nbsp;&nbsp;&nbsp; RR 8 Ltd., Series 2020-8A, Class A1R, (3-mo. <br> CME Term SOFR + 1.35%), 5.61%, <br> 07/15/37<sup>(a)(b)</sup><br>|  | 500 | 501000 |
| &nbsp;&nbsp;&nbsp; RRE 5 Loan Management DAC, Series 5A, <br> Class A2R, (3-mo. EURIBOR + 1.75%), <br> 4.03%, 01/15/37<sup>(a)(b)</sup><br>| EUR  | 1160 | 1369222 |
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, <br> Class A1, (3-mo. CME Term SOFR + 1.39%), <br> 5.70%, 01/30/38<sup>(a)(b)</sup><br>| USD  | 2920 | 2928693 |
| Sandstone Peak Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.28%), 5.54%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME <br> Term SOFR + 1.68%), 5.94%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 2410 | 2415623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B1R, (3-mo. CME <br> Term SOFR + 1.83%), 6.09%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 710 | 711861 |
| &nbsp;&nbsp;&nbsp; Saxon Asset Securities Trust, Series 2004-2, <br> Class MF5, 2.12%, 08/25/35<sup>(c)</sup><br>|  | 587 | 443848 |
| SC Germany SA Compartment Consumer |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, (1-mo. EURIBOR + <br> 1.40%), 3.29%, 05/14/38<sup>(b)(e)</sup><br>| EUR  | 800 | 950018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class D, (1-mo. EURIBOR + <br> 1.70%), 3.59%, 05/14/38<sup>(b)(e)</sup><br>|  | 500 | 589878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-mo. EURIBOR + <br> 1.75%), 3.66%, 12/14/38<sup>(b)(e)</sup><br>|  | 500 | 593156 |
| &nbsp;&nbsp;&nbsp; SCF Rahoituspalvelut XIII DAC, Series 13, <br> Class C, (1-mo. EURIBOR + 1.40%), 3.30%, <br> 06/25/34<sup>(b)(e)</sup><br>|  | 400 | 471155 |
| &nbsp;&nbsp;&nbsp; Securitized Asset Backed Receivables LLC <br> Trust, Series 2006-OP1, Class M6, (1-mo. <br> CME Term SOFR + 1.12%), 5.44%, <br> 10/25/35<sup>(b)</sup><br>| USD  | 340 | 269126 |
| Securitized Asset-Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2A, (1-mo. CME <br> Term SOFR + 0.33%), 4.65%, 02/25/37<sup>(b)</sup><br>|  | 334 | 140087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2B, (1-mo. CME <br> Term SOFR + 0.65%), 4.97%, 02/25/37<sup>(b)</sup><br>|  | 3558 | 1492226 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Securitized Asset-Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC2, Class A2C, (1-mo. CME <br> Term SOFR + 0.55%), 4.87%, 01/25/37<sup>(b)</sup><br>| USD  | 575 | $420113 |
| Service Experts Issuer LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.67%, 02/02/32<sup>(a)</sup> |  | 2301 | 2242669 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.39%, 11/20/35<sup>(a)</sup> |  | 3503 | 3566220 |
| SESAC Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class A2, 5.22%, 07/25/49<sup>(a)</sup> |  | 2827 | 2814754 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A2, 5.50%, 07/25/52<sup>(a)</sup> |  | 3432 | 3424919 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 6.42%, 01/25/54<sup>(a)</sup> |  | 1283 | 1308126 |
| &nbsp;&nbsp;&nbsp; SG Mortgage Securities Trust, Series 2006-<br> FRE2, Class A2C, (1-mo. CME Term SOFR + <br> 0.43%), 4.75%, 07/25/36<sup>(b)</sup><br>|  | 857 | 175668 |
| &nbsp;&nbsp;&nbsp; Shackleton CLO Ltd., Series 2019-14A, <br> Class BR, (3-mo. CME Term SOFR + 2.06%), <br> 6.33%, 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 251564 |
| Signal Peak CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class A1R, (3-mo. CME <br> Term SOFR + 1.55%), 5.83%, <br> 04/25/37<sup>(a)(b)</sup><br>|  | 2620 | 2629564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class BR, (3-mo. CME Term <br> SOFR + 2.20%), 6.48%, 04/25/37<sup>(a)(b)</sup><br>|  | 610 | 614306 |
| Signal Peak CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.42%), 5.69%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 400 | 401642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 6.07%, 10/20/37<sup>(a)(b)</sup><br>|  | 270 | 270854 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 8 Ltd., Series 2020-8A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.39%), 5.66%, 10/20/37<sup>(a)(b)</sup><br>|  | 1430 | 1436537 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 1 Ltd., Series 2022-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.32%), 5.59%, 01/20/38<sup>(a)(b)</sup><br>|  | 1250 | 1254000 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 4 Ltd., Series 2024-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.63%), <br> 5.89%, 04/15/37<sup>(a)(b)</sup><br>|  | 690 | 692730 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 5 Ltd., Series 2024-5A, <br> Class A1, (3-mo. CME Term SOFR + 1.40%), <br> 5.67%, 10/20/37<sup>(a)(b)</sup><br>|  | 860 | 863308 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 7 Ltd., Series 2024-7A, <br> Class A1, (3-mo. CME Term SOFR + 1.36%), <br> 5.65%, 01/15/38<sup>(a)(b)</sup><br>|  | 1900 | 1905579 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 8 Ltd., Series 2025-8A, <br> Class A1, (3-mo. CME Term SOFR + 1.21%), <br> 5.43%, 04/15/38<sup>(a)(b)</sup><br>|  | 850 | 849633 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO IX Ltd., Series 2017-9A, <br> Class AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.65%, 07/21/37<sup>(a)(b)</sup><br>|  | 1690 | 1695598 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO XIV Ltd., Series 2019-14A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.15%), 5.47%, 01/20/38<sup>(a)(b)</sup><br>|  | 1570 | 1569334 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO XIX Ltd., Series 2021-19A, <br> Class A, (3-mo. CME Term SOFR + 1.36%), <br> 5.63%, 07/20/34<sup>(a)(b)</sup><br>|  | 3370 | 3378916 |
| Sixth Street CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class A1, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 10/20/34<sup>(a)(b)</sup><br>|  | 250 | 250437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class A1R, (3-mo. CME <br> Term SOFR + 1.32%), 07/17/38<sup>(a)(b)(f)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 10/20/34<sup>(a)(b)</sup><br>|  | 780 | 781234 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Sixth Street CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class BR, (3-mo. CME <br> Term SOFR + 1.65%), 07/17/38<sup>(a)(b)(f)</sup><br>| USD  | 2530 | $2530000 |
| &nbsp;&nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2004-A, Class A3, (3-mo. CME Term <br> SOFR + 0.66%), 4.98%, 06/15/33<sup>(b)</sup><br>|  | 258 | 256457 |
| &nbsp;&nbsp;&nbsp; SLM Private Education Loan Trust, <br> Series 2010-C, Class A5, (1-mo. CME Term <br> SOFR + 4.86%), 9.18%, 10/15/41<sup>(a)(b)</sup><br>|  | 9857 | 10326095 |
| &nbsp;&nbsp;&nbsp; Small Business Origination Loan Trust DAC, <br> Series 2025-1, Class B, (1-day SONIA + <br> 2.60%), 6.82%, 12/15/36<sup>(b)(e)</sup><br>| GBP  | 195 | 264991 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-B, Class B, 3.50%, 12/17/40<sup>(a)</sup> | USD  | 595 | 591437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PTA, Class A2A, 1.60%, <br> 09/15/54<sup>(a)</sup><br>|  | 6984 | 6569582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PTA, Class B, 2.50%, <br> 09/15/54<sup>(a)</sup><br>|  | 6740 | 5984605 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 2.99%, 01/15/53<sup>(a)</sup> |  | 6022 | 5260993 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.30%, 01/15/53<sup>(a)</sup> |  | 642 | 620903 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 3.00%, 01/15/53<sup>(a)</sup> |  | 416 | 360239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1A, 5.24%, <br> 03/15/56<sup>(a)</sup><br>|  | 1440 | 1464572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + <br> 1.45%), 5.75%, 03/15/56<sup>(a)(b)</sup><br>|  | 14188 | 14323857 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.88%, 03/15/56<sup>(a)</sup> |  | 3913 | 4014423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.40%, 06/17/52<sup>(a)(b)</sup><br>|  | 3683 | 3656828 |
| SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 17370 | 17402165 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 5.12%, 02/27/34<sup>(a)</sup> |  | 1768 | 1785371 |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 4317 | 4368813 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> |  | 5478 | 5502489 |
| &nbsp;&nbsp;&nbsp; Sound Point CLO II Ltd., Series 2013-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.33%), 5.61%, 01/26/31<sup>(a)(b)</sup><br>|  | 203 | 202777 |
| Soundview Home Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-WMC1, Class M2, (1-mo. CME <br> Term SOFR + 0.91%), 5.23%, 01/25/35<sup>(b)</sup><br>|  | 31 | 25896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-OPT3, Class M4, (1-mo. CME <br> Term SOFR + 1.13%), 5.45%, 11/25/35<sup>(b)</sup><br>|  | 547 | 437515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NS1, Class M1, (1-mo. CME <br> Term SOFR + 0.64%), 4.96%, 01/25/37<sup>(b)</sup><br>|  | 781 | 746400 |
| Southwick Park CLO LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class A1R, (3-mo. CME <br> Term SOFR + 1.32%), 5.59%, <br> 07/20/32<sup>(a)(b)</sup><br>|  | 526 | 526732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class B1R, (3-mo. CME <br> Term SOFR + 1.76%), 6.03%, <br> 07/20/32<sup>(a)(b)</sup><br>|  | 370 | 369200 |
| SPLT |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 23-1, Class R1, 0.00%, 10/15/30<sup>(a)</sup> |  | 178 | 8185606 |
| &nbsp;&nbsp;&nbsp; Series 24-1, Class R1, 0.00%, 02/12/31<sup>(a)</sup> |  | 162 | 4574559 |
| &nbsp;&nbsp;&nbsp; St. Paul's CLO XII DAC, Series 12X, Class B1, <br> (3-mo. EURIBOR + 1.60%), 3.88%, <br> 04/15/33<sup>(b)(e)</sup><br>| EUR  | 1420 | 1662829 |
| &nbsp;&nbsp;&nbsp; STAR Trust, Series 2021-SFR1, Class F, (1-mo. <br> CME Term SOFR + 2.51%), 6.83%, <br> 04/17/38<sup>(a)(b)</sup><br>| USD  | 1030 | 1026382 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Steele Creek CLO Ltd., Series 2017-1A, Class A, <br> (3-mo. CME Term SOFR + 1.51%), 5.77%, <br> 10/15/30<sup>(a)(b)</sup><br>| USD  | 515 | $515229 |
| &nbsp;&nbsp;&nbsp; Stewart Park CLO Ltd., Series 2015-1A, <br> Class CR, (3-mo. CME Term SOFR + 2.06%), <br> 6.32%, 01/15/30<sup>(a)(b)</sup><br>|  | 1630 | 1633685 |
| &nbsp;&nbsp;&nbsp; Stratus CLO Ltd., Series 2021-1A, Class SUB, <br> 0.00%, 12/29/29<sup>(a)(b)</sup><br>|  | 1000 | 1110 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust, Series 2025-<br> 1A, Class A, 5.05%, 09/15/45<sup>(a)</sup><br>|  | 4540 | 4572631 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Assistance <br> Loan Trust, Series 2003-AL2, Class A, 3.36%, <br> 01/25/31<sup>(a)</sup><br>|  | 42 | 39876 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan <br> Trust, Series 2007-GEL2, Class M1, (1-mo. <br> CME Term SOFR + 1.16%), 5.48%, <br> 05/25/37<sup>(a)(b)</sup><br>|  | 2106 | 1654417 |
| &nbsp;&nbsp;&nbsp; Subway Funding LLC, Series 2024-1A, <br> Class A2II, 6.27%, 07/30/54<sup>(a)</sup><br>|  | 5747 | 5887747 |
| &nbsp;&nbsp;&nbsp; Sycamore Tree CLO Ltd., Series 2024-5A, <br> Class B, (3-mo. CME Term SOFR + 2.25%), <br> 6.52%, 04/20/36<sup>(a)(b)</sup><br>|  | 3280 | 3286564 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 40 Ltd., Series 2023-40A, <br> Class AR, (3-mo. CME Term SOFR + 1.31%), <br> 5.55%, 01/05/38<sup>(a)(b)</sup><br>|  | 2140 | 2146920 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 46 Ltd., Series 2024-46A, <br> Class A2, (3-mo. CME Term SOFR + 1.59%), <br> 5.86%, 01/20/38<sup>(a)(b)</sup><br>|  | 250 | 250440 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XIX Ltd., Series 2018-19A, <br> Class A, (3-mo. CME Term SOFR + 1.22%), <br> 5.48%, 04/16/31<sup>(a)(b)</sup><br>|  | 154 | 154033 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XVI Ltd., Series 2015-16A, <br> Class ARR, (3-mo. CME Term SOFR + <br> 1.20%), 5.46%, 10/15/31<sup>(a)(b)</sup><br>|  | 1660 | 1662196 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XX Ltd., Series 2018-20A, <br> Class BR2, (3-mo. CME Term SOFR + <br> 1.55%), 5.81%, 01/16/32<sup>(a)(b)</sup><br>|  | 1110 | 1107613 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXI Ltd., Series 2019-21A, <br> Class AR2, (3-mo. CME Term SOFR + <br> 0.90%), 5.16%, 07/15/32<sup>(a)(b)</sup><br>|  | 1560 | 1557528 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXIV Ltd., Series 2020-24A, <br> Class AR, (3-mo. CME Term SOFR + 1.20%), <br> 5.48%, 01/23/32<sup>(a)(b)</sup><br>|  | 399 | 399628 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXVI Ltd., Series 2021-26A, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 04/20/33<sup>(a)(b)</sup><br>|  | 1962 | 1964797 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXVIII Ltd., Series 2021-28A, <br> Class A, (3-mo. CME Term SOFR + 1.40%), <br> 5.68%, 10/23/34<sup>(a)(b)</sup><br>|  | 2230 | 2232610 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXXIII Ltd., Series 2022-33A, <br> Class AR, (3-mo. CME Term SOFR + 1.26%), <br> 5.54%, 01/24/38<sup>(a)(b)</sup><br>|  | 2000 | 2004197 |
| &nbsp;&nbsp;&nbsp; TAGUS-Sociedade de Titularizacao de Creditos <br> SA/Silk Finance No. 6, Series 6, Class C, <br> (3-mo. EURIBOR + 1.70%), 3.75%, <br> 12/25/39<sup>(b)(e)</sup><br>| EUR  | 500 | 589450 |
| &nbsp;&nbsp;&nbsp; TAGUS-Sociedade de Titularizacao de Creditos <br> SA/Vasco Finance No. 2<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2, Class B, (1-mo. EURIBOR + 1.80%), <br> 3.89%, 10/27/42<sup>(b)(e)</sup><br>|  | 300 | 353694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2, Class C, (1-mo. EURIBOR + <br> 2.60%), 4.69%, 10/27/42<sup>(b)(e)</sup><br>|  | 200 | 235793 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; TAGUS-Sociedade de Titularizacao de Creditos <br> SA/Vasco Finance No. 2<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2, Class D, (1-mo. EURIBOR + <br> 4.00%), 6.09%, 10/27/42<sup>(b)(e)</sup><br>| EUR  | 400 | $474593 |
| &nbsp;&nbsp;&nbsp; TCW CLO Ltd., Series 2019-2A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.27%), 5.59%, <br> 01/20/38<sup>(a)(b)</sup><br>| USD  | 1270 | 1272157 |
| &nbsp;&nbsp;&nbsp; Terwin Mortgage Trust, Series 2005-10HE, <br> Class M5, (1-mo. CME Term SOFR + 1.13%), <br> 5.45%, 06/25/36<sup>(b)</sup><br>|  | 358 | 319813 |
| &nbsp;&nbsp;&nbsp; Thayer Park CLO Ltd., Series 2017-1A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.30%), 5.57%, 04/20/34<sup>(a)(b)</sup><br>|  | 550 | 550884 |
| &nbsp;&nbsp;&nbsp; TIAA CLO III Ltd., Series 2017-2A, Class A, (3-<br> mo. CME Term SOFR + 1.41%), 5.67%, <br> 01/16/31<sup>(a)(b)</sup><br>|  | 282 | 282054 |
| &nbsp;&nbsp;&nbsp; TICP CLO VI Ltd., Series 2016-6A, Class AR2, <br> (3-mo. CME Term SOFR + 1.38%), 5.64%, <br> 01/15/34<sup>(a)(b)</sup><br>|  | 5120 | 5129216 |
| TICP CLO VII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ASR2, (3-mo. CME <br> Term SOFR + 1.30%), 5.56%, <br> 04/15/33<sup>(a)(b)</sup><br>|  | 1570 | 1572655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class BR2, (3-mo. CME <br> Term SOFR + 1.90%), 6.16%, <br> 04/15/33<sup>(a)(b)</sup><br>|  | 4165 | 4169967 |
| TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.53%), 5.81%, 04/25/37<sup>(a)(b)</sup><br>|  | 750 | 752761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class BR, (3-mo. CME Term <br> SOFR + 2.05%), 6.33%, 04/25/37<sup>(a)(b)</sup><br>|  | 2680 | 2695782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class DR, (3-mo. CME <br> Term SOFR + 3.70%), 7.98%, <br> 04/25/37<sup>(a)(b)</sup><br>|  | 250 | 249650 |
| Tower Bridge Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3X, Class C, (1-day SONIA + <br> 1.40%), 5.64%, 12/20/66<sup>(b)(e)</sup><br>| GBP  | 272 | 373263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3X, Class D, (1-day SONIA + <br> 1.90%), 6.14%, 12/20/66<sup>(b)(e)</sup><br>|  | 334 | 459237 |
| &nbsp;&nbsp;&nbsp; Trestles CLO III Ltd., Series 2020-3A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.39%), 5.66%, 10/20/37<sup>(a)(b)</sup><br>| USD  | 3670 | 3687377 |
| &nbsp;&nbsp;&nbsp; Trestles CLO IV Ltd., Series 2021-4A, Class A, <br> (3-mo. CME Term SOFR + 1.43%), 5.70%, <br> 07/21/34<sup>(a)(b)</sup><br>|  | 9420 | 9436728 |
| &nbsp;&nbsp;&nbsp; Trestles CLO Ltd., Series 2017-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.46%), 5.74%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 7060 | 7091233 |
| &nbsp;&nbsp;&nbsp; Trestles CLO VI Ltd., Series 2023-6A, <br> Class A1R, (3-mo. CME Term SOFR + <br> 1.18%), 5.45%, 04/25/38<sup>(a)(b)</sup><br>|  | 2430 | 2428902 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust, Series 2021-SFR1, <br> Class G, 4.13%, 07/17/38<sup>(a)</sup><br>|  | 3324 | 3237939 |
| Trimaran CAVU Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class C, (3-mo. CME Term <br> SOFR + 4.98%), 9.25%, 11/26/32<sup>(a)(b)</sup><br>|  | 500 | 500322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D1, (3-mo. CME Term <br> SOFR + 3.51%), 7.79%, 10/25/34<sup>(a)(b)</sup><br>|  | 250 | 252708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.38%), 5.64%, 01/25/38<sup>(a)(b)</sup><br>|  | 4940 | 4961741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.75%), 6.01%, 01/25/38<sup>(a)(b)</sup><br>|  | 600 | 600542 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Trinitas CLO IV Ltd., Series 2016-4A, <br> Class A2L2, (3-mo. CME Term SOFR + <br> 1.66%), 5.93%, 10/18/31<sup>(a)(b)</sup><br>| USD  | 970 | $970378 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO VII Ltd., Series 2017-7A, <br> Class A1R2, (3-mo. CME Term SOFR + <br> 1.06%), 5.34%, 01/25/35<sup>(a)(b)</sup><br>|  | 3710 | 3710315 |
| Trinitas CLO XIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-14A, Class A1R, (3-mo. CME <br> Term SOFR + 1.34%), 5.62%, <br> 01/25/34<sup>(a)(b)</sup><br>|  | 1250 | 1251440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-14A, Class BR, (3-mo. CME <br> Term SOFR + 1.95%), 6.23%, <br> 01/25/34<sup>(a)(b)</sup><br>|  | 3460 | 3453310 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XVIII Ltd., Series 2021-18A, <br> Class A1, (3-mo. CME Term SOFR + 1.43%), <br> 5.70%, 01/20/35<sup>(a)(b)</sup><br>|  | 250 | 250437 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXVIII Ltd., Series 2024-28A, <br> Class A1, (3-mo. CME Term SOFR + 1.55%), <br> 5.83%, 04/25/37<sup>(a)(b)</sup><br>|  | 810 | 812958 |
| &nbsp;&nbsp;&nbsp; Upgrade Master Pass-Thru Trust, Series 2025-<br> ST4, Class A, 08/16/32<sup>(a)(f)</sup><br>|  | 3734 | 3734000 |
| &nbsp;&nbsp;&nbsp; Vantage Data Centers Germany Borrower Lux <br> Sarl, Series 2025-1X, Class A2, 4.29%, <br> 06/28/50<sup>(e)</sup><br>| EUR  | 4157 | 4915076 |
| &nbsp;&nbsp;&nbsp; Vantage Data Centers Jersey Borrower Spv Ltd., <br> Series 2024-1X, Class A2, 6.17%, 05/28/39<sup>(e)</sup><br>| GBP  | 2561 | 3603272 |
| &nbsp;&nbsp;&nbsp; Venture CLO Ltd., Series 2018-32A, Class A2A, <br> (3-mo. CME Term SOFR + 1.33%), 5.60%, <br> 07/18/31<sup>(a)(b)</sup><br>| USD  | 640 | 639930 |
| Verdelite Static CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.13%), 5.40%, 07/20/32<sup>(a)(b)</sup><br>|  | 2027 | 2028349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.92%, 07/20/32<sup>(a)(b)</sup><br>|  | 210 | 209372 |
| &nbsp;&nbsp;&nbsp; VOLT CVI LLC, Series 2021-NP12, Class A1, <br> 5.73%, 12/26/51<sup>(a)(c)</sup><br>|  | 3141 | 3130821 |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class AAR2, (3-mo. CME <br> Term SOFR + 1.25%), 5.52%, <br> 04/18/31<sup>(a)(b)</sup><br>|  | 1435 | 1437264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4A, Class A1RA, (3-mo. CME <br> Term SOFR + 1.36%), 5.60%, <br> 07/14/31<sup>(a)(b)</sup><br>|  | 76 | 76082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.33%), 5.60%, <br> 01/20/31<sup>(a)(b)</sup><br>|  | 635 | 635813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A1R, (3-mo. CME <br> Term SOFR + 1.21%), 5.49%, <br> 04/17/30<sup>(a)(b)</sup><br>|  | 120 | 120001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.21%), 5.48%, 04/19/31<sup>(a)(b)</sup><br>|  | 442 | 442284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.56%), 5.83%, 04/19/31<sup>(a)(b)</sup><br>|  | 250 | 250003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.20%), 5.46%, <br> 10/15/31<sup>(a)(b)</sup><br>|  | 354 | 354968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.37%), 5.63%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 3620 | 3634382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR, (3-mo. CME Term <br> SOFR + 1.20%), 5.47%, 07/20/32<sup>(a)(b)</sup><br>|  | 876 | 878016 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.85%, 04/20/38<sup>(a)(b)</sup><br>| USD  | 1440 | $1442662 |
| &nbsp;&nbsp;&nbsp; Voya Euro CLO II DAC, Series 2A, Class CR, <br> (3-mo. EURIBOR + 2.15%), 4.43%, <br> 07/15/35<sup>(a)(b)</sup><br>| EUR  | 750 | 885587 |
| &nbsp;&nbsp;&nbsp; Voya Euro CLO V DAC, Series 5A, Class B1, <br> (3-mo. EURIBOR + 1.75%), 4.03%, <br> 04/15/35<sup>(a)(b)</sup><br>|  | 1970 | 2316603 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Asset-Backed Certificates <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class 2A2, (1-mo. CME <br> Term SOFR + 0.47%), 4.79%, 09/25/36<sup>(b)</sup><br>| USD  | 3819 | 967682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class 1A, (1-mo. CME <br> Term SOFR + 0.42%), 4.42%, 10/25/36<sup>(b)</sup><br>|  | 1146 | 862741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A1, (1-mo. CME <br> Term SOFR + 0.23%), 4.55%, 11/25/36<sup>(b)</sup><br>|  | 227 | 70761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A2, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 11/25/36<sup>(b)</sup><br>|  | 2015 | 631192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 2A3, (1-mo. CME <br> Term SOFR + 0.35%), 4.67%, 05/25/37<sup>(b)</sup><br>|  | 819 | 725555 |
| &nbsp;&nbsp;&nbsp; Wellington Management CLO 1 Ltd., <br> Series 2023-1A, Class A, (3-mo. CME Term <br> SOFR + 1.80%), 6.07%, 10/20/36<sup>(a)(b)</sup><br>|  | 250 | 250705 |
| &nbsp;&nbsp;&nbsp; Wellington Management CLO 4 Ltd., <br> Series 2025-4A, Class A, (3-mo. CME Term <br> SOFR + 1.15%), 5.43%, 04/18/38<sup>(a)(b)</sup><br>|  | 1840 | 1837392 |
| Whitebox CLO I Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.32%), 5.60%, <br> 07/24/36<sup>(a)(b)</sup><br>|  | 4525 | 4529705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D1RR, (3-mo. CME <br> Term SOFR + 3.10%), 7.38%, <br> 07/24/36<sup>(a)(b)</sup><br>|  | 4120 | 4113113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class ERR, (3-mo. CME <br> Term SOFR + 5.75%), 10.03%, <br> 07/24/36<sup>(a)(b)</sup><br>|  | 3300 | 3300872 |
| Whitebox CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.38%), 5.66%, <br> 10/24/37<sup>(a)(b)</sup><br>|  | 10522 | 10562764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class BR2, (3-mo. CME <br> Term SOFR + 1.75%), 6.03%, <br> 10/24/37<sup>(a)(b)</sup><br>|  | 1850 | 1842352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class D1R2, (3-mo. CME <br> Term SOFR + 2.90%), 7.18%, <br> 10/24/37<sup>(a)(b)</sup><br>|  | 671 | 671073 |
| Whitebox CLO III Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME <br> Term SOFR + 1.27%), 5.53%, <br> 10/15/35<sup>(a)(b)</sup><br>|  | 4161 | 4167152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class DR, (3-mo. CME Term <br> SOFR + 2.85%), 7.11%, 10/15/35<sup>(a)(b)</sup><br>|  | 1250 | 1246647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class ER, (3-mo. CME Term <br> SOFR + 5.65%), 9.91%, 10/15/35<sup>(a)(b)</sup><br>|  | 1000 | 1001336 |
| Wildwood Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 3170 | 3183278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, (3-mo. CME Term <br> SOFR + 5.75%), 10.02%, 10/20/37<sup>(a)(b)</sup><br>|  | 900 | 915715 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Wireless PropCo Funding LLC, Series 2025-1A, <br> Class C, 8.51%, 06/25/55<sup>(a)(g)</sup><br>| USD  | 5688 | $5687940 |
| &nbsp;&nbsp;&nbsp; Yale Mortgage Loan Trust, Series 2007-1, <br> Class A, (1-mo. CME Term SOFR + 0.51%), <br> 4.83%, 06/25/37<sup>(a)(b)</sup><br>|  | 1997 | 618853 |
| **Total Asset-Backed Securities — 11.5%** <br>**(Cost: $2,192,879,480)** | **Total Asset-Backed Securities — 11.5%** <br>**(Cost: $2,192,879,480)** | **Total Asset-Backed Securities — 11.5%** <br>**(Cost: $2,192,879,480)** | 2153659840 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Common Stocks** | **Common Stocks** | **Common Stocks** |
| **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** | **Aerospace & Defense — 0.1%** |
| &nbsp;&nbsp;&nbsp; Space Exploration Technologies Corp., Class A <br> (Acquired 08/21/23, cost $2,075,706)<sup>(g)(h)(i)</sup><br>| 25626 | 4740810 |
| &nbsp;&nbsp;&nbsp; Space Exploration Technologies Corp., Class C <br> (Acquired 08/21/23, cost $2,227,824)<sup>(g)(h)(i)</sup><br>| 27504 | 5088240 |
|  |  | 9829050 |
| **Banks — 0.1%** | **Banks — 0.1%** | **Banks — 0.1%** |
| Citigroup, Inc. | 35584 | 3028910 |
| Comerica, Inc. | 6357 | 379195 |
| First Citizens BancShares, Inc., Class A | 1222 | 2390806 |
| First Horizon Corp. | 37246 | 789615 |
| Flagstar Financial, Inc. | 392466 | 4160140 |
| JPMorgan Chase & Co. | 48038 | 13926697 |
|  |  | 24675363 |
| **Broadline Retail — 0.0%** | **Broadline Retail — 0.0%** | **Broadline Retail — 0.0%** |
| Rakuten Group, Inc.<sup>(h)</sup> | 306300 | 1687769 |
| **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** |
| Crown PropTech Acquisitions<sup>(g)(h)</sup> | 147660 | 196388 |
| Crown PropTech Acquisitions, Class A<sup>(h)</sup> | 85597 | 974094 |
| Crown PropTech Founders Unvested<sup>(g)(h)</sup> | 96296 | 1 |
|  |  | 1170483 |
| **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** | **Communications Equipment — 0.0%** |
| CommScope Holding Co., Inc.<sup>(h)</sup> | 180889 | 1497761 |
| **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** |
| Lumen Technologies, Inc.<sup>(h)</sup> | 649435 | 2844525 |
| **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
| FreeWire Technologies, Inc.<sup>(g)(h)</sup> | 153 |  |
| GE Vernova, Inc. | 6173 | 3266443 |
|  |  | 3266443 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| Flowco Holdings, Inc., Class A<sup>(j)</sup> | 151569 | 2699444 |
| Solaris Energy Infrastructure, Inc., Class A | 294773 | 8339128 |
|  |  | 11038572 |
| **Entertainment — 0.0%** | **Entertainment — 0.0%** | **Entertainment — 0.0%** |
| Lionsgate Studios Corp.<sup>(h)</sup> | 120471 | 699937 |
| Playstudios, Inc., Class A<sup>(h)</sup> | 457322 | 599092 |
| Starz Entertainment Corp.<sup>(h)</sup> | 8031 | 129058 |
| Warner Bros Discovery, Inc., Class A<sup>(h)(j)</sup> | 359051 | 4114724 |
|  |  | 5542811 |
| **Financial Services — 0.1%** | **Financial Services — 0.1%** | **Financial Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; HNG Hospitality Offshore LP (Acquired 02/16/24, <br> cost $13,871,000)<sup>(g)(h)(i)</sup><br>| 13871000 | 10819380 |
| Melange Secondaries Partners, LP<sup>(g)(k)</sup> | — <br><sup>(l)</sup><br>| 4326436 |
| New Holdco (Cayman)<sup>(g)</sup> | 9330 | 261240 |
|  |  | 15407056 |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares*<br>| *Value* |
| **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** |
| Caesars Entertainment, Inc.<sup>(h)</sup> | 75834 | $2152927 |
| Genius Sports Ltd.<sup>(h)(j)</sup> | 726837 | 7559105 |
| Sonder Holdings, Inc., Class A<sup>(h)</sup> | 45465 | 122755 |
|  |  | 9834787 |
| **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** | **Independent Power and Renewable Electricity Producers — 0.0%** |
| Vistra Corp. | 13960 | 2705588 |
| **Machinery — 0.0%** | **Machinery — 0.0%** | **Machinery — 0.0%** |
| Palladyne AI Corp.<sup>(h)</sup> | 11463 | 99267 |
| Sarcos Technology & Robotics Corp.<sup>(h)</sup> | 464024 | 4018446 |
|  |  | 4117713 |
| **Media — 0.0%** | **Media — 0.0%** | **Media — 0.0%** |
| AMC Networks, Inc., Class A<sup>(h)</sup> | 51468 | 322704 |
| **Metals & Mining — 0.0%** | **Metals & Mining — 0.0%** | **Metals & Mining — 0.0%** |
| Algoma Steel Group, Inc. | 320811 | 2210388 |
| **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** | **Mortgage Real Estate Investment Trusts (REITs) — 0.1%** |
| Blackstone Mortgage Trust, Inc., Class A | 533049 | 10261193 |
| **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** |
| Crescent Midstream Fund LP<sup>(g)(k)</sup> | — <br><sup>(l)</sup><br>| 2954000 |
| Formentera Partners Fund II LP<sup>(g)(h)(k)</sup> | — <br><sup>(l)</sup><br>| 5145456 |
| Kinder Morgan, Inc. | 73352 | 2156549 |
| Venture Global, Inc., Class A<sup>(j)</sup> | 10496 | 163528 |
| Viper Energy, Inc., Class A | 29267 | 1115951 |
|  |  | 11535484 |
| **Professional Services — 0.0%** | **Professional Services — 0.0%** | **Professional Services — 0.0%** |
| Amentum Holdings, Inc.<sup>(h)</sup> | 162034 | 3825623 |
| **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** |
| DF Residential III LP<sup>(g)(h)</sup> | 4251053 | 4251053 |
| Opendoor Technologies, Inc., Class A<sup>(h)(j)</sup> | 575955 | 306984 |
|  |  | 4558037 |
| **Residential REITs — 0.0%** | **Residential REITs — 0.0%** | **Residential REITs — 0.0%** |
| Invitation Homes, Inc. | 138148 | 4531254 |
| **Software — 0.0%** | **Software — 0.0%** | **Software — 0.0%** |
| Avaya Holdings Corp.<sup>(h)</sup> | 333 | 2414 |
| IREN Ltd.<sup>(h)(j)</sup> | 94768 | 1380770 |
| Latch, Inc.<sup>(h)</sup> | 411849 | 57659 |
|  |  | 1440843 |
| **Total Common Stocks — 0.7%** <br>**(Cost: $160,609,401)** | **Total Common Stocks — 0.7%** <br>**(Cost: $160,609,401)** | 132303447 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Aerospace & Defense — 0.2%** | **Aerospace & Defense — 0.2%** | **Aerospace & Defense — 0.2%** | **Aerospace & Defense — 0.2%** |
| Boeing Co. (The), 7.01%, 05/01/64 | USD  | 4914 | 5397277 |
| &nbsp;&nbsp;&nbsp; Embraer Netherlands Finance BV, 5.98%, <br> 02/11/35<br>|  | 4222 | 4336205 |
| L3Harris Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.35%, 06/01/34 |  | 908 | 928127 |
| &nbsp;&nbsp;&nbsp; 4.85%, 04/27/35 |  | 1266 | 1238560 |
| Northrop Grumman Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.03%, 10/15/47 |  | 10787 | 8600921 |
| &nbsp;&nbsp;&nbsp; 4.95%, 03/15/53 |  | 3130 | 2813304 |
| &nbsp;&nbsp;&nbsp; 5.20%, 06/01/54 |  | 11740 | 10938648 |
| &nbsp;&nbsp;&nbsp; Sabena Technics SAS, (3-mo. EURIBOR + <br> 5.00%), 6.98%, 09/30/29 (Acquired 10/28/22, <br> cost $6,464,169)<sup>(b)(g)(i)</sup><br>| EUR  | 6552 | 7717563 |
|  |  |  | 41970605 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Automobile Components — 0.0%** | **Automobile Components — 0.0%** | **Automobile Components — 0.0%** | **Automobile Components — 0.0%** |
| Tenneco, Inc., 8.00%, 11/17/28<sup>(a)</sup> | USD  | 2722 | $2691779 |
| **Automobiles — 0.0%** | **Automobiles — 0.0%** | **Automobiles — 0.0%** | **Automobiles — 0.0%** |
| &nbsp;&nbsp;&nbsp; Aston Martin Capital Holdings Ltd., 10.00%, <br> 03/31/29<sup>(a)</sup><br>|  | 1973 | 1868211 |
| **Banks — 3.4%** | **Banks — 3.4%** | **Banks — 3.4%** | **Banks — 3.4%** |
| Akbank TAS, 9.37% <sup>(e)(m)</sup> |  | 6884 | 7013075 |
| Banco Espirito Santo SA |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.63%, 05/08/17<sup>(e)(h)(n)</sup> | EUR  | 400 | 103660 |
| &nbsp;&nbsp;&nbsp; 4.75%, 01/15/18<sup>(e)(h)(n)</sup> |  | 2200 | 570128 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/21/19<sup>(e)(h)(n)</sup> |  | 6300 | 1632639 |
| Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.73%, 07/22/27 | USD  | 2487 | 2417311 |
| &nbsp;&nbsp;&nbsp; 3.42%, 12/20/28 |  | 5455 | 5332174 |
| &nbsp;&nbsp;&nbsp; 3.97%, 03/05/29 |  | 12950 | 12806729 |
| &nbsp;&nbsp;&nbsp; 5.20%, 04/25/29 |  | 5811 | 5938621 |
| &nbsp;&nbsp;&nbsp; 5.82%, 09/15/29 |  | 8645 | 9005651 |
| &nbsp;&nbsp;&nbsp; 2.88%, 10/22/30 |  | 2759 | 2582426 |
| &nbsp;&nbsp;&nbsp; 5.16%, 01/24/31 |  | 11534 | 11821768 |
| &nbsp;&nbsp;&nbsp; 1.92%, 10/24/31 |  | 2904 | 2532534 |
| &nbsp;&nbsp;&nbsp; 2.30%, 07/21/32 |  | 2140 | 1864847 |
| &nbsp;&nbsp;&nbsp; 2.97%, 02/04/33 |  | 28945 | 25919862 |
| &nbsp;&nbsp;&nbsp; 4.57%, 04/27/33 |  | 8297 | 8164837 |
| &nbsp;&nbsp;&nbsp; 5.29%, 04/25/34 |  | 4694 | 4788038 |
| &nbsp;&nbsp;&nbsp; 5.51%, 01/24/36 |  | 2259 | 2322737 |
| &nbsp;&nbsp;&nbsp; 4.88%, 04/01/44 |  | 3276 | 3035518 |
| &nbsp;&nbsp;&nbsp; 4.33%, 03/15/50 |  | 8627 | 7164599 |
| &nbsp;&nbsp;&nbsp; 2.97%, 07/21/52 |  | 3870 | 2501318 |
| Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.64%, 05/07/28 |  | 14885 | 14924455 |
| &nbsp;&nbsp;&nbsp; 4.79%, 03/04/29 |  | 8699 | 8761476 |
| &nbsp;&nbsp;&nbsp; 5.17%, 02/13/30 |  | 37887 | 38653589 |
| &nbsp;&nbsp;&nbsp; 4.54%, 09/19/30 |  | 5744 | 5717963 |
| &nbsp;&nbsp;&nbsp; 2.98%, 11/05/30 |  | 1315 | 1230261 |
| &nbsp;&nbsp;&nbsp; 2.67%, 01/29/31 |  | 5038 | 4619259 |
| &nbsp;&nbsp;&nbsp; 2.57%, 06/03/31 |  | 3479 | 3155145 |
| &nbsp;&nbsp;&nbsp; 2.56%, 05/01/32 |  | 2124 | 1881692 |
| &nbsp;&nbsp;&nbsp; 3.06%, 01/25/33 |  | 21698 | 19391746 |
| &nbsp;&nbsp;&nbsp; 3.79%, 03/17/33 |  | 21285 | 19896681 |
| &nbsp;&nbsp;&nbsp; 6.27%, 11/17/33 |  | 7423 | 7992879 |
| First Citizens BancShares, Inc., 6.25%, 03/12/40 |  | 7895 | 7855862 |
| FNB Corp., 5.72%, 12/11/30 |  | 7898 | 7942728 |
| JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.95%, 02/24/28 |  | 4265 | 4167393 |
| &nbsp;&nbsp;&nbsp; 5.57%, 04/22/28 |  | 30329 | 30951354 |
| &nbsp;&nbsp;&nbsp; 2.18%, 06/01/28 |  | 5021 | 4825530 |
| &nbsp;&nbsp;&nbsp; 4.51%, 10/22/28 |  | 2448 | 2455321 |
| &nbsp;&nbsp;&nbsp; 3.51%, 01/23/29 |  | 2466 | 2415553 |
| &nbsp;&nbsp;&nbsp; 4.92%, 01/24/29 |  | 3348 | 3392959 |
| &nbsp;&nbsp;&nbsp; 4.20%, 07/23/29 |  | 4204 | 4186241 |
| &nbsp;&nbsp;&nbsp; 5.30%, 07/24/29 |  | 27315 | 28044646 |
| &nbsp;&nbsp;&nbsp; 5.01%, 01/23/30 |  | 30960 | 31531429 |
| &nbsp;&nbsp;&nbsp; 5.58%, 04/22/30 |  | 43328 | 44989926 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/22/30 |  | 20491 | 20865212 |
| &nbsp;&nbsp;&nbsp; 4.60%, 10/22/30 |  | 930 | 933177 |
| &nbsp;&nbsp;&nbsp; 5.14%, 01/24/31 |  | 9085 | 9316476 |
| &nbsp;&nbsp;&nbsp; 4.49%, 03/24/31 |  | 931 | 929830 |
| &nbsp;&nbsp;&nbsp; 2.52%, 04/22/31 |  | 1025 | 937153 |
| &nbsp;&nbsp;&nbsp; 5.10%, 04/22/31 |  | 3841 | 3936273 |
| &nbsp;&nbsp;&nbsp; 1.76%, 11/19/31 |  | 19593 | 16976935 |
| &nbsp;&nbsp;&nbsp; 2.96%, 01/25/33 |  | 12399 | 11144604 |
| &nbsp;&nbsp;&nbsp; 6.25%, 10/23/34 |  | 2936 | 3190964 |
| &nbsp;&nbsp;&nbsp; 5.29%, 07/22/35 |  | 5432 | 5527724 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/24/36 | USD  | 15652 | $16121533 |
| &nbsp;&nbsp;&nbsp; 5.57%, 04/22/36 |  | 49466 | 51263758 |
| &nbsp;&nbsp;&nbsp; 3.90%, 01/23/49 |  | 2812 | 2220614 |
| &nbsp;&nbsp;&nbsp; 3.11%, 04/22/51 |  | 7803 | 5250578 |
| KeyBank N.A., 5.00%, 01/26/33 |  | 14304 | 14115081 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Holdings Capital Trust VII, <br> 5.86% <sup>(g)(h)(m)(n)</sup><br>|  | 1888 |  |
| Texas Capital Bancshares, Inc., 4.00%, 05/06/31 |  | 4001 | 3883372 |
| Washington Mutual Escrow Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)(h)(m)(n)</sup> |  | 13308 | 1 |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)(h)(m)(n)</sup> |  | 11911 | 1 |
| &nbsp;&nbsp;&nbsp; 0.00%, 12/31/49<sup>(g)(h)(m)(n)</sup> |  | 2570 |  |
| &nbsp;&nbsp;&nbsp; 0.00%, 12/31/49<sup>(g)(h)(m)(n)</sup> |  | 3115 |  |
| Wells Fargo & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/23/26 |  | 946 | 929786 |
| &nbsp;&nbsp;&nbsp; 5.71%, 04/22/28 |  | 921 | 941000 |
| &nbsp;&nbsp;&nbsp; 5.24%, 01/24/31 |  | 6352 | 6516120 |
| &nbsp;&nbsp;&nbsp; 3.35%, 03/02/33 |  | 8678 | 7925183 |
| &nbsp;&nbsp;&nbsp; 4.90%, 07/25/33 |  | 12448 | 12450420 |
| &nbsp;&nbsp;&nbsp; 5.39%, 04/24/34 |  | 7163 | 7329519 |
| &nbsp;&nbsp;&nbsp; 6.49%, 10/23/34 |  | 1104 | 1206706 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/23/35 |  | 6299 | 6459737 |
| &nbsp;&nbsp;&nbsp; 5.61%, 04/23/36 |  | 949 | 979576 |
| &nbsp;&nbsp;&nbsp; 3.90%, 05/01/45 |  | 1232 | 978728 |
| &nbsp;&nbsp;&nbsp; 4.61%, 04/25/53 |  | 5695 | 4853356 |
| &nbsp;&nbsp;&nbsp; Series W, 4.90%, 01/24/28 |  | 4526 | 4558773 |
|  |  |  | 638244750 |
| **Biotechnology — 0.0%** | **Biotechnology — 0.0%** | **Biotechnology — 0.0%** | **Biotechnology — 0.0%** |
| Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 02/21/50 |  | 1396 | 981996 |
| &nbsp;&nbsp;&nbsp; 2.77%, 09/01/53 |  | 3892 | 2308056 |
| &nbsp;&nbsp;&nbsp; 4.40%, 02/22/62 |  | 5397 | 4212737 |
|  |  |  | 7502789 |
| **Broadline Retail — 0.1%** | **Broadline Retail — 0.1%** | **Broadline Retail — 0.1%** | **Broadline Retail — 0.1%** |
| Prosus NV, 4.19%, 01/19/32<sup>(e)</sup> |  | 9251 | 8664947 |
| Rakuten Group, Inc., 9.75%, 04/15/29<sup>(e)</sup> |  | 14000 | 15335302 |
|  |  |  | 24000249 |
| **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** |
| STL Holding Co. LLC, 8.75%, 02/15/29<sup>(a)</sup> |  | 1232 | 1287104 |
| **Capital Markets — 2.2%** | **Capital Markets — 2.2%** | **Capital Markets — 2.2%** | **Capital Markets — 2.2%** |
| Goldman Sachs Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.54%, 09/10/27 |  | 21018 | 20293036 |
| &nbsp;&nbsp;&nbsp; 4.94%, 04/23/28 |  | 41622 | 41946398 |
| &nbsp;&nbsp;&nbsp; 4.22%, 05/01/29 |  | 16993 | 16896130 |
| &nbsp;&nbsp;&nbsp; 2.60%, 02/07/30 |  | 3369 | 3113545 |
| &nbsp;&nbsp;&nbsp; 3.80%, 03/15/30 |  | 1107 | 1080283 |
| &nbsp;&nbsp;&nbsp; 5.73%, 04/25/30 |  | 898 | 934777 |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/23/30 |  | 22579 | 22953908 |
| &nbsp;&nbsp;&nbsp; 4.69%, 10/23/30 |  | 12001 | 12037046 |
| &nbsp;&nbsp;&nbsp; 5.22%, 04/23/31 |  | 10824 | 11096456 |
| &nbsp;&nbsp;&nbsp; 2.62%, 04/22/32 |  | 4735 | 4208719 |
| &nbsp;&nbsp;&nbsp; 2.65%, 10/21/32 |  | 28185 | 24905684 |
| &nbsp;&nbsp;&nbsp; 3.10%, 02/24/33 |  | 5690 | 5121265 |
| &nbsp;&nbsp;&nbsp; 6.56%, 10/24/34 |  | 844 | 933233 |
| &nbsp;&nbsp;&nbsp; 5.33%, 07/23/35 |  | 9412 | 9493830 |
| &nbsp;&nbsp;&nbsp; 5.02%, 10/23/35 |  | 1944 | 1920486 |
| &nbsp;&nbsp;&nbsp; 5.54%, 01/28/36 |  | 914 | 937296 |
| &nbsp;&nbsp;&nbsp; 5.56%, 11/19/45 |  | 4082 | 4018883 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Holdings, Inc., 6.75%, <br> 12/28/17<sup>(g)(h)(n)</sup><br>|  | 7360 | 1 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
| Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.59%, 05/04/27 | USD  | 7829 | $7639938 |
| &nbsp;&nbsp;&nbsp; 3.77%, 01/24/29 |  | 12751 | 12568954 |
| &nbsp;&nbsp;&nbsp; 4.99%, 04/12/29 |  | 31007 | 31458070 |
| &nbsp;&nbsp;&nbsp; 5.16%, 04/20/29 |  | 19626 | 20010672 |
| &nbsp;&nbsp;&nbsp; 6.41%, 11/01/29 |  | 5568 | 5897747 |
| &nbsp;&nbsp;&nbsp; 5.66%, 04/18/30 |  | 16941 | 17596799 |
| &nbsp;&nbsp;&nbsp; 5.04%, 07/19/30 |  | 27618 | 28087215 |
| &nbsp;&nbsp;&nbsp; 4.65%, 10/18/30 |  | 4066 | 4073756 |
| &nbsp;&nbsp;&nbsp; 5.23%, 01/15/31 |  | 19983 | 20456458 |
| &nbsp;&nbsp;&nbsp; 2.70%, 01/22/31 |  | 2086 | 1923535 |
| &nbsp;&nbsp;&nbsp; 1.79%, 02/13/32 |  | 28339 | 24245284 |
| &nbsp;&nbsp;&nbsp; 1.93%, 04/28/32 |  | 2701 | 2309328 |
| &nbsp;&nbsp;&nbsp; 2.24%, 07/21/32 |  | 29818 | 25820826 |
| &nbsp;&nbsp;&nbsp; 2.94%, 01/21/33 |  | 7726 | 6895410 |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/21/34 |  | 4267 | 4340598 |
| &nbsp;&nbsp;&nbsp; 5.59%, 01/18/36 |  | 12004 | 12322286 |
| Nomura Holdings, Inc., 06/29/35<sup>(f)</sup> |  | 1000 | 1005944 |
|  |  |  | 408543796 |
| **Chemicals — 0.2%** | **Chemicals — 0.2%** | **Chemicals — 0.2%** | **Chemicals — 0.2%** |
| OCP SA, 6.75%, 05/02/34<sup>(e)</sup> |  | 6785 | 7019354 |
| Olympus Water U.S. Holding Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 7.13%, 10/01/27<sup>(a)</sup> |  | 359 | 365561 |
| &nbsp;&nbsp;&nbsp; 9.75%, 11/15/28<sup>(a)</sup> |  | 2149 | 2262961 |
| &nbsp;&nbsp;&nbsp; Orbia Advance Corp. SAB de CV, 6.80%, <br> 05/13/30<sup>(a)</sup><br>|  | 8739 | 8953106 |
| &nbsp;&nbsp;&nbsp; Pioneer Midco, (10.50% PIK), 10.50%, <br> 11/18/30<sup>(a)(c)(g)(o)</sup><br>|  | 8362 | 8476944 |
| Sasol Financing U.S.A. LLC, 8.75%, 05/03/29<sup>(e)</sup> |  | 6988 | 6893382 |
|  |  |  | 33971308 |
| **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** | **Commercial Services & Supplies — 0.0%** |
| Covanta Holding Corp., 4.88%, 12/01/29<sup>(a)</sup> |  | 585 | 556536 |
| Pitney Bowes, Inc., 6.88%, 03/15/27<sup>(a)</sup> |  | 6435 | 6493559 |
|  |  |  | 7050095 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; China City Construction International Co. Ltd., <br> 0.00%, 07/03/17<sup>(e)(g)(h)(n)</sup><br>| CNH  | 340 |  |
| IHS Holding Ltd., 8.25%, 11/29/31<sup>(e)</sup> | USD  | 6943 | 7008125 |
| &nbsp;&nbsp;&nbsp; IRB Infrastructure Developers Ltd., 7.11%, <br> 03/11/32<sup>(e)</sup><br>|  | 14000 | 14039375 |
|  |  |  | 21047500 |
| **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** |
| Sonder Holdings, Inc. PIK, 7.00%, 12/10/27<sup>(g)</sup> |  | 10601 | 9090785 |
| **Consumer Finance — 0.7%** | **Consumer Finance — 0.7%** | **Consumer Finance — 0.7%** | **Consumer Finance — 0.7%** |
| &nbsp;&nbsp;&nbsp; General Motors Financial Co., Inc., 5.95%, <br> 04/04/34<br>|  | 10313 | 10459663 |
| Kaspi.KZ JSC, 6.25%, 03/26/30<sup>(e)</sup> |  | 8625 | 8678924 |
| OneMain Finance Corp., 7.13%, 11/15/31 |  | 125 | 130059 |
| Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 12/01/27 |  | 1984 | 1950916 |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/19/29 |  | 8746 | 8781308 |
| &nbsp;&nbsp;&nbsp; 5.94%, 08/02/30 |  | 23420 | 24063556 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/06/31 |  | 34996 | 35301119 |
| &nbsp;&nbsp;&nbsp; 2.88%, 10/28/31 |  | 23937 | 20768703 |
| &nbsp;&nbsp;&nbsp; 7.25%, 02/02/33 |  | 20312 | 21253351 |
|  |  |  | 131387599 |
| **Consumer Staples Distribution & Retail — 0.0%** | **Consumer Staples Distribution & Retail — 0.0%** | **Consumer Staples Distribution & Retail — 0.0%** | **Consumer Staples Distribution & Retail — 0.0%** |
| &nbsp;&nbsp;&nbsp; CK Hutchison International 23 Ltd., 4.75%, <br> 04/21/28<sup>(e)</sup><br>|  | 640 | 645184 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Consumer Staples Distribution & Retail (continued)** | **Consumer Staples Distribution & Retail (continued)** | **Consumer Staples Distribution & Retail (continued)** | **Consumer Staples Distribution & Retail (continued)** |
| CVS Health Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.13%, 09/15/39 | USD  | 1843 | $1889580 |
| &nbsp;&nbsp;&nbsp; 4.13%, 04/01/40 |  | 1287 | 1074484 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/44 |  | 3615 | 3573070 |
| &nbsp;&nbsp;&nbsp; 5.13%, 07/20/45 |  | 1497 | 1325765 |
|  |  |  | 8508083 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Ardagh Packaging Finance PLC/Ardagh Holdings <br> U.S.A., Inc., 4.13%, 08/15/26<sup>(a)</sup><br>|  | 10163 | 9541736 |
| &nbsp;&nbsp;&nbsp; Mauser Packaging Solutions Holding Co., <br> Series A, 7.88%, 04/15/27<sup>(a)</sup><br>|  | 1148 | 1166818 |
| &nbsp;&nbsp;&nbsp; Toucan FinCo Ltd./Toucan FinCo Can, <br> Inc./Toucan FinCo U.S. LLC, 9.50%, <br> 05/15/30<sup>(a)</sup><br>|  | 3818 | 3902827 |
|  |  |  | 14611381 |
| **Diversified REITs — 1.4%** | **Diversified REITs — 1.4%** | **Diversified REITs — 1.4%** | **Diversified REITs — 1.4%** |
| American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/15/29 |  | 1687 | 1651477 |
| &nbsp;&nbsp;&nbsp; 1.88%, 10/15/30 |  | 6764 | 5879502 |
| &nbsp;&nbsp;&nbsp; 2.70%, 04/15/31 |  | 2086 | 1870620 |
| &nbsp;&nbsp;&nbsp; 5.45%, 02/15/34 |  | 24084 | 24797340 |
| Crown Castle, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.90%, 09/01/29 |  | 2288 | 2308587 |
| &nbsp;&nbsp;&nbsp; 2.25%, 01/15/31 |  | 1760 | 1531139 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/15/31 |  | 4857 | 4238102 |
| Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/15/31 |  | 17653 | 15640231 |
| &nbsp;&nbsp;&nbsp; 3.90%, 04/15/32 |  | 18260 | 17294457 |
| &nbsp;&nbsp;&nbsp; 2.95%, 09/15/51 |  | 1547 | 953613 |
| &nbsp;&nbsp;&nbsp; 3.40%, 02/15/52 |  | 5153 | 3447191 |
| GLP Capital LP/GLP Financing II, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.30%, 01/15/29 |  | 3702 | 3743048 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/30 |  | 7631 | 7333324 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/31 |  | 8817 | 8310487 |
| &nbsp;&nbsp;&nbsp; 3.25%, 01/15/32 |  | 16648 | 14652146 |
| &nbsp;&nbsp;&nbsp; 6.25%, 09/15/54 |  | 12957 | 12647989 |
| Trust Fibra Uno, 7.70%, 01/23/32<sup>(e)</sup> |  | 8211 | 8557402 |
| VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 |  | 13125 | 13196983 |
| &nbsp;&nbsp;&nbsp; 4.75%, 04/01/28 |  | 2384 | 2403500 |
| &nbsp;&nbsp;&nbsp; 4.95%, 02/15/30 |  | 17121 | 17221160 |
| &nbsp;&nbsp;&nbsp; 5.13%, 11/15/31 |  | 10539 | 10552078 |
| &nbsp;&nbsp;&nbsp; 5.13%, 05/15/32 |  | 12499 | 12452989 |
| VICI Properties LP/VICI Note Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.25%, 12/01/26<sup>(a)</sup> |  | 11134 | 11066113 |
| &nbsp;&nbsp;&nbsp; 3.75%, 02/15/27<sup>(a)</sup> |  | 6471 | 6371820 |
| &nbsp;&nbsp;&nbsp; 3.88%, 02/15/29<sup>(a)</sup> |  | 13926 | 13471413 |
| &nbsp;&nbsp;&nbsp; 4.63%, 12/01/29<sup>(a)</sup> |  | 20919 | 20551618 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/30<sup>(a)</sup> |  | 18074 | 17347768 |
|  |  |  | 259492097 |
| **Diversified Telecommunication Services — 0.7%** | **Diversified Telecommunication Services — 0.7%** | **Diversified Telecommunication Services — 0.7%** | **Diversified Telecommunication Services — 0.7%** |
| AT&T Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/01/47 |  | 1917 | 1822344 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/09/48 |  | 11215 | 9333480 |
| &nbsp;&nbsp;&nbsp; 4.55%, 03/09/49 |  | 1749 | 1446592 |
| &nbsp;&nbsp;&nbsp; 5.15%, 02/15/50 |  | 1181 | 1062272 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/53 |  | 4022 | 2722320 |
| &nbsp;&nbsp;&nbsp; 3.55%, 09/15/55 |  | 1409 | 950720 |
| &nbsp;&nbsp;&nbsp; 6.05%, 08/15/56 |  | 924 | 942958 |
| &nbsp;&nbsp;&nbsp; 5.70%, 03/01/57 |  | 1393 | 1341910 |
| &nbsp;&nbsp;&nbsp; 3.80%, 12/01/57 |  | 8388 | 5869094 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** | **Diversified Telecommunication Services (continued)** |
| AT&T Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.65%, 09/15/59 | USD  | 26934 | $18070132 |
| &nbsp;&nbsp;&nbsp; 3.85%, 06/01/60 |  | 12425 | 8687781 |
| &nbsp;&nbsp;&nbsp; Connect Finco Sarl/Connect U.S. Finco LLC, <br> 9.00%, 09/15/29<sup>(a)</sup><br>|  | 1213 | 1219220 |
| &nbsp;&nbsp;&nbsp; Digicel Intermediate Holdings Ltd./Digicel <br> International Finance Ltd./Difl U.S., (12.00% <br> PIK), 12.00%, 05/25/27<sup>(o)</sup><br>|  | 567 | 572243 |
| Frontier Communications Holdings LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/28<sup>(a)</sup> |  | 12915 | 12909563 |
| &nbsp;&nbsp;&nbsp; 5.88%, 11/01/29 |  | 8615 | 8701099 |
| &nbsp;&nbsp;&nbsp; 8.63%, 03/15/31<sup>(a)</sup> |  | 4657 | 4948099 |
| Frontier Florida LLC, Series E, 6.86%, 02/01/28 |  | 4835 | 5030497 |
| Frontier North, Inc., Series G, 6.73%, 02/15/28 |  | 1500 | 1533960 |
| Level 3 Financing, Inc., 10.00%, 10/15/32<sup>(a)</sup> |  | 946 | 955170 |
| Telecom Argentina SA, 9.25%, 05/28/33<sup>(a)</sup> |  | 6827 | 6947558 |
| Turk Telekomunikasyon AS, 7.38%, 05/20/29<sup>(e)</sup> |  | 6840 | 6974680 |
| Verizon Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 09/18/30 |  | 7027 | 6069388 |
| &nbsp;&nbsp;&nbsp; 4.40%, 11/01/34 |  | 10495 | 9960525 |
| &nbsp;&nbsp;&nbsp; 5.40%, 07/02/37<sup>(a)</sup> |  | 2202 | 2215277 |
| &nbsp;&nbsp;&nbsp; WOM Chile Holdco SpA, (5.00% PIK), 5.00%, <br> 04/01/32<sup>(a)(o)(p)</sup><br>|  | 4938 | 4879371 |
| &nbsp;&nbsp;&nbsp; WOM Mobile SA, (12.50% PIK), 11.00%, <br> 04/01/31<sup>(a)(o)</sup><br>|  | 1397 | 1374049 |
| Zayo Group Holdings, Inc., 4.00%, 03/01/27<sup>(a)</sup> |  | 498 | 467013 |
|  |  |  | 127007315 |
| **Electric Utilities — 3.0%** | **Electric Utilities — 3.0%** | **Electric Utilities — 3.0%** | **Electric Utilities — 3.0%** |
| AEP Texas, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 06/01/33 |  | 2113 | 2143462 |
| &nbsp;&nbsp;&nbsp; 3.80%, 10/01/47 |  | 2473 | 1808622 |
| &nbsp;&nbsp;&nbsp; 3.45%, 05/15/51 |  | 2879 | 1931753 |
| &nbsp;&nbsp;&nbsp; Series G, 4.15%, 05/01/49 |  | 1090 | 825422 |
| &nbsp;&nbsp;&nbsp; Series H, 3.45%, 01/15/50 |  | 2823 | 1911270 |
| AEP Transmission Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 06/15/35 |  | 1390 | 1420246 |
| &nbsp;&nbsp;&nbsp; 3.75%, 12/01/47 |  | 4846 | 3668873 |
| &nbsp;&nbsp;&nbsp; 3.80%, 06/15/49 |  | 1262 | 941725 |
| &nbsp;&nbsp;&nbsp; 3.15%, 09/15/49 |  | 1476 | 984439 |
| &nbsp;&nbsp;&nbsp; Series N, 2.75%, 08/15/51 |  | 4185 | 2560137 |
| AES Andes SA, 6.30%, 03/15/29<sup>(e)</sup> |  | 3663 | 3748916 |
| Alabama Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.85%, 12/01/42 |  | 1106 | 889061 |
| &nbsp;&nbsp;&nbsp; 4.30%, 01/02/46 |  | 1946 | 1628658 |
| Baltimore Gas & Electric Co., 3.75%, 08/15/47 |  | 1917 | 1452161 |
| &nbsp;&nbsp;&nbsp; Continuum Energy Aura Pte Ltd., 9.50%, <br> 02/24/27<sup>(e)</sup><br>|  | 8000 | 8230000 |
| &nbsp;&nbsp;&nbsp; Continuum Green Energy India Pvt/Co-Issuers, <br> 7.50%, 06/26/33<sup>(e)</sup><br>|  | 9645 | 9922294 |
| Diamond II Ltd., 7.95%, 07/28/26<sup>(e)</sup> |  | 14000 | 14113400 |
| &nbsp;&nbsp;&nbsp; Dominion Energy South Carolina, Inc., <br> Series 2025, 5.30%, 01/15/35<br>|  | 1100 | 1124563 |
| Duke Energy Carolinas LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.75%, 06/01/45 |  | 2487 | 1930050 |
| &nbsp;&nbsp;&nbsp; 3.70%, 12/01/47 |  | 5364 | 4035259 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/15/48 |  | 2643 | 2062423 |
| &nbsp;&nbsp;&nbsp; 3.20%, 08/15/49 |  | 4688 | 3167478 |
| &nbsp;&nbsp;&nbsp; 3.55%, 03/15/52 |  | 2836 | 2044430 |
| &nbsp;&nbsp;&nbsp; 5.35%, 01/15/53 |  | 3399 | 3258999 |
| Duke Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 08/15/47 |  | 3057 | 2297167 |
| &nbsp;&nbsp;&nbsp; 4.20%, 06/15/49 |  | 1211 | 940753 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Duke Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/52 | USD  | 8504 | $7455490 |
| &nbsp;&nbsp;&nbsp; 5.80%, 06/15/54 |  | 19104 | 18653067 |
| Duke Energy Florida LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 07/15/48 |  | 1916 | 1534836 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/51 |  | 782 | 493875 |
| Duke Energy Ohio, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.13%, 06/01/30 |  | 3475 | 3128878 |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/01/33 |  | 1527 | 1572635 |
| &nbsp;&nbsp;&nbsp; 5.55%, 03/15/54 |  | 5478 | 5351622 |
| Duke Energy Progress LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 03/15/35 |  | 3469 | 3483698 |
| &nbsp;&nbsp;&nbsp; 3.70%, 10/15/46 |  | 3457 | 2609397 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/15/50 |  | 5236 | 3029514 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/52 |  | 4209 | 3229469 |
| &nbsp;&nbsp;&nbsp; 5.35%, 03/15/53 |  | 7886 | 7498800 |
| &nbsp;&nbsp;&nbsp; 5.55%, 03/15/55 |  | 2815 | 2751481 |
| &nbsp;&nbsp;&nbsp; FIEMEX Energia - Banco Actinver SA Institucion <br> de Banca Multiple, 7.25%, 01/31/41<sup>(a)</sup><br>|  | 1114 | 1125837 |
| FirstEnergy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 03/01/30 |  | 4330 | 3975720 |
| &nbsp;&nbsp;&nbsp; Series B, 3.90%, 07/15/27 |  | 9566 | 9458747 |
| &nbsp;&nbsp;&nbsp; Series C, 4.85%, 07/15/47 |  | 15086 | 12818938 |
| &nbsp;&nbsp;&nbsp; Series C, 3.40%, 03/01/50 |  | 33801 | 22907948 |
| FirstEnergy Transmission LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 |  | 23391 | 23139259 |
| &nbsp;&nbsp;&nbsp; 4.55%, 04/01/49<sup>(a)</sup> |  | 14357 | 12169049 |
| Florida Power & Light Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 12/01/47 |  | 3475 | 2640333 |
| &nbsp;&nbsp;&nbsp; 3.99%, 03/01/49 |  | 6246 | 4917093 |
| &nbsp;&nbsp;&nbsp; 3.15%, 10/01/49 |  | 5738 | 3877086 |
| &nbsp;&nbsp;&nbsp; 5.80%, 03/15/65 |  | 1829 | 1854497 |
| Georgia Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 03/15/31 |  | 4674 | 4775403 |
| &nbsp;&nbsp;&nbsp; 4.70%, 05/15/32 |  | 5947 | 5945844 |
| &nbsp;&nbsp;&nbsp; 5.13%, 05/15/52 |  | 10389 | 9708827 |
| &nbsp;&nbsp;&nbsp; Series A, 3.25%, 03/15/51 |  | 1343 | 920691 |
| India Green Power Holdings, 4.00%, 02/22/27<sup>(e)</sup> |  | 7299 | 7071266 |
| JSW Hydro Energy Ltd., 4.13%, 05/18/31<sup>(e)</sup> |  | 11360 | 10394400 |
| MidAmerican Energy Co., 3.15%, 04/15/50 |  | 3411 | 2301227 |
| &nbsp;&nbsp;&nbsp; Mong Duong Finance Holdings BV, 5.13%, <br> 05/07/29<sup>(e)</sup><br>|  | 8842 | 8624268 |
| MVM Energetika Zrt, 6.50%, 03/13/31<sup>(e)</sup> |  | 8364 | 8661967 |
| NRG Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.45%, 06/15/29<sup>(a)</sup> |  | 4863 | 4784343 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/15/33<sup>(a)</sup> |  | 32423 | 35590565 |
| Ohio Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/49 |  | 2212 | 1676440 |
| &nbsp;&nbsp;&nbsp; Series P, 2.60%, 04/01/30 |  | 2332 | 2146560 |
| &nbsp;&nbsp;&nbsp; Series R, 2.90%, 10/01/51 |  | 6843 | 4178338 |
| Pacific Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.15%, 01/15/33 |  | 907 | 934169 |
| &nbsp;&nbsp;&nbsp; 6.40%, 06/15/33 |  | 3466 | 3623051 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 |  | 10245 | 8536408 |
| &nbsp;&nbsp;&nbsp; 3.30%, 08/01/40 |  | 7852 | 5617289 |
| &nbsp;&nbsp;&nbsp; 3.75%, 08/15/42 |  | 1297 | 924605 |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/15/44 |  | 1290 | 1046658 |
| &nbsp;&nbsp;&nbsp; 4.95%, 07/01/50 |  | 30983 | 24972542 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/50 |  | 1055 | 676450 |
| &nbsp;&nbsp;&nbsp; 5.25%, 03/01/52 |  | 4819 | 4009502 |
| &nbsp;&nbsp;&nbsp; 6.75%, 01/15/53 |  | 10912 | 10979058 |
| &nbsp;&nbsp;&nbsp; 6.70%, 04/01/53 |  | 11091 | 11121059 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Pacific Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.90%, 10/01/54 | USD  | 5906 | $5354649 |
| &nbsp;&nbsp;&nbsp; 6.15%, 03/01/55 |  | 1413 | 1318355 |
| PECO Energy Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.90%, 03/01/48 |  | 1211 | 944690 |
| &nbsp;&nbsp;&nbsp; 2.85%, 09/15/51 |  | 7028 | 4425811 |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/15/52 |  | 2696 | 2305826 |
| PG&E Corp., 5.25%, 07/01/30 |  | 24145 | 23001550 |
| Pinnacle West Capital Corp., 5.15%, 05/15/30 |  | 11338 | 11606467 |
| Southern Co. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.20%, 06/15/33 |  | 2145 | 2182423 |
| &nbsp;&nbsp;&nbsp; 5.70%, 03/15/34 |  | 888 | 927936 |
| &nbsp;&nbsp;&nbsp; 4.85%, 03/15/35 |  | 12946 | 12655531 |
| Vistra Operations Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 12/30/26<sup>(a)</sup> |  | 4530 | 4552147 |
| &nbsp;&nbsp;&nbsp; 6.95%, 10/15/33<sup>(a)</sup> |  | 32411 | 35590033 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/34<sup>(a)</sup> |  | 14213 | 14759632 |
| &nbsp;&nbsp;&nbsp; 5.70%, 12/30/34<sup>(a)</sup> |  | 23235 | 23660175 |
|  |  |  | 561224985 |
| **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
| &nbsp;&nbsp;&nbsp; NXP BV/NXP Funding LLC/NXP U.S.A., Inc., <br> 2.50%, 05/11/31<br>|  | 1887 | 1655720 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; New Generation Gas Gathering LLC, (3-mo. CME <br> Term SOFR at 2.00% Floor + 5.75%), 10.34%, <br> 09/30/29<sup>(a)(b)(g)</sup><br>|  | 9000 | 8932285 |
| &nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure, Inc., 4.75%, <br> 05/01/30<sup>(a)(p)</sup><br>|  | 4635 | 6184828 |
| Transocean, Inc., 8.25%, 05/15/29<sup>(a)</sup> |  | 1674 | 1547683 |
| Venture Global LNG, Inc., 7.00%, 01/15/30<sup>(a)</sup> |  | 428 | 432671 |
|  |  |  | 17097467 |
| **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** |
| &nbsp;&nbsp;&nbsp; Acropolis Trade & Investments Ltd. PIK, 11.04%, <br> 04/02/28<sup>(a)(g)</sup><br>|  | 17425 | 17773500 |
| &nbsp;&nbsp;&nbsp; Andiron Financing LLC, (1-mo. CME Term SOFR <br> + 3.00%), 7.31%, 01/21/30<sup>(b)(g)</sup><br>|  | 880 | 880000 |
| &nbsp;&nbsp;&nbsp; AT&T Reign II Multi-Property Lease-Backed Pass-<br> Through Trust, 6.09%, 12/15/44<sup>(a)</sup><br>|  | 21025 | 21036448 |
| Block, Inc., 3.50%, 06/01/31 |  | 3297 | 3024234 |
| &nbsp;&nbsp;&nbsp; Clydesdale Acquisition Holdings, Inc., 8.75%, <br> 04/15/30<sup>(a)</sup><br>|  | 1306 | 1335808 |
| &nbsp;&nbsp;&nbsp; Envalior Deutschland Gmbh, (6-mo. EURIBOR at <br> 0.00% Floor + 9.50%) (12.66% Cash or <br> 12.66% PIK), 12.63%, 04/01/31<sup>(b)(g)(o)</sup><br>| EUR  | 10895 | 11806575 |
| Glencore Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/30<sup>(a)</sup> | USD  | 8204 | 7392103 |
| &nbsp;&nbsp;&nbsp; 2.85%, 04/27/31<sup>(a)</sup> |  | 6464 | 5827882 |
| &nbsp;&nbsp;&nbsp; 2.63%, 09/23/31<sup>(a)</sup> |  | 2563 | 2249925 |
| Homes By West Bay LLC, 11.00%, 02/06/30<sup>(g)</sup> |  | 21604 | 21632085 |
| &nbsp;&nbsp;&nbsp; Lessen LLC, (3-mo. CME Term SOFR + 8.50%), <br> 12.79%, 01/05/28<sup>(a)(b)(g)</sup><br>|  | 11539 | 10631022 |
| Minejesa Capital BV, 5.63%, 08/10/37<sup>(e)</sup> |  | 22324 | 21361277 |
| Oceana A 4Yr Note Upsize, 10.50%, 07/31/28<sup>(g)</sup> | AUD  | 4228 | 2821059 |
| Oceana Australian Fixed Income Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; 12.00%, 08/31/25<sup>(g)</sup> |  | 2009 | 1323942 |
| &nbsp;&nbsp;&nbsp; 12.50%, 08/31/26<sup>(g)</sup> |  | 3013 | 2032581 |
| &nbsp;&nbsp;&nbsp; 12.50%, 08/31/27<sup>(g)</sup> |  | 5022 | 3466524 |
| Sun Country Airlines |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1B, 4.70%, 12/15/25<sup>(g)</sup> | USD  | 568 | 563356 |
| &nbsp;&nbsp;&nbsp; Series 2022-1A, 4.84%, 03/15/31<sup>(g)</sup> |  | 3298 | 3219438 |
| SURA Asset Management SA, 6.35%, 05/13/32<sup>(a)</sup> |  | 4074 | 4287478 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** |
| &nbsp;&nbsp;&nbsp; United Wholesale Mortgage LLC, 5.50%, <br> 04/15/29<sup>(a)</sup><br>| USD  | 75 | $72799 |
| UWM Holdings LLC, 6.63%, 02/01/30<sup>(a)</sup> |  | 1497 | 1498547 |
|  |  |  | 144236583 |
| **Food Products — 0.0%** | **Food Products — 0.0%** | **Food Products — 0.0%** | **Food Products — 0.0%** |
| Pilgrim's Pride Corp., 6.25%, 07/01/33 |  | 3142 | 3321974 |
| **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** | **Ground Transportation — 0.1%** |
| DP World Ltd., 6.85%, 07/02/37<sup>(e)</sup> |  | 7830 | 8542041 |
| &nbsp;&nbsp;&nbsp; Union Pacific Railroad Co. Pass-Through Trust, <br> Series 2014-1, 3.23%, 05/14/26<br>|  | 2023 | 1999135 |
|  |  |  | 10541176 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| Becton Dickinson & Co., 4.67%, 06/06/47 |  | 1595 | 1367842 |
| Solventum Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.45%, 02/25/27 |  | 2088 | 2122064 |
| &nbsp;&nbsp;&nbsp; 5.40%, 03/01/29 |  | 1373 | 1413868 |
| &nbsp;&nbsp;&nbsp; 5.60%, 03/23/34 |  | 11651 | 11990577 |
|  |  |  | 16894351 |
| **Health Care Providers & Services — 0.5%** | **Health Care Providers & Services — 0.5%** | **Health Care Providers & Services — 0.5%** | **Health Care Providers & Services — 0.5%** |
| Elevance Health, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 12/01/47 |  | 3403 | 2781473 |
| &nbsp;&nbsp;&nbsp; 3.60%, 03/15/51 |  | 3954 | 2782738 |
| &nbsp;&nbsp;&nbsp; 6.10%, 10/15/52 |  | 1971 | 2008584 |
| &nbsp;&nbsp;&nbsp; 5.70%, 02/15/55 |  | 1569 | 1520445 |
| HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/30 |  | 16202 | 15321145 |
| &nbsp;&nbsp;&nbsp; 5.45%, 04/01/31 |  | 16041 | 16540491 |
| &nbsp;&nbsp;&nbsp; 5.45%, 09/15/34 |  | 11481 | 11580360 |
| &nbsp;&nbsp;&nbsp; 5.75%, 03/01/35 |  | 17190 | 17677735 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/51 |  | 2099 | 1390430 |
| &nbsp;&nbsp;&nbsp; 6.20%, 03/01/55 |  | 10665 | 10740960 |
| &nbsp;&nbsp;&nbsp; 6.10%, 04/01/64 |  | 2958 | 2884655 |
| Select Medical Corp., 6.25%, 12/01/32<sup>(a)</sup> |  | 2676 | 2691978 |
|  |  |  | 87920994 |
| **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** | **Hotel & Resort REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Park Intermediate Holdings LLC/PK Domestic <br> Property LLC/PK Finance Co-Issuer, 4.88%, <br> 05/15/29<sup>(a)</sup><br>|  | 1876 | 1817665 |
| Service Properties Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/27 |  | 397 | 393347 |
| &nbsp;&nbsp;&nbsp; 8.38%, 06/15/29 |  | 5709 | 5937857 |
| &nbsp;&nbsp;&nbsp; 8.88%, 06/15/32 |  | 6194 | 6369030 |
| XHR LP, 4.88%, 06/01/29<sup>(a)</sup> |  | 289 | 280085 |
|  |  |  | 14797984 |
| **Hotels, Restaurants & Leisure — 0.5%** | **Hotels, Restaurants & Leisure — 0.5%** | **Hotels, Restaurants & Leisure — 0.5%** | **Hotels, Restaurants & Leisure — 0.5%** |
| Affinity Interactive, 6.88%, 12/15/27<sup>(a)</sup> |  | 617 | 378684 |
| Full House Resorts, Inc., 8.25%, 02/15/28<sup>(a)</sup> |  | 562 | 546081 |
| HR Ottawa LP, 11.00%, 03/31/31<sup>(a)</sup> |  | 23577 | 25619798 |
| Melco Resorts Finance Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.63%, 07/17/27<sup>(e)</sup> |  | 8000 | 7980000 |
| &nbsp;&nbsp;&nbsp; 5.75%, 07/21/28<sup>(e)</sup> |  | 8000 | 7827040 |
| MGM China Holdings Ltd., 7.13%, 06/26/31<sup>(e)</sup> |  | 14000 | 14490000 |
| MGM Resorts International, 6.50%, 04/15/32 |  | 93 | 94517 |
| &nbsp;&nbsp;&nbsp; Midwest Gaming Borrower LLC/Midwest Gaming <br> Finance Corp., 4.88%, 05/01/29<sup>(a)</sup><br>|  | 1349 | 1299446 |
| Minor International PCL, 2.70% <sup>(e)(m)</sup> |  | 500 | 487290 |
| &nbsp;&nbsp;&nbsp; REXLot Holdings Ltd., 4.50%, <br> 04/17/19<sup>(e)(g)(h)(n)(p)</sup><br>| HKD  | 1161 |  |
| Sands China Ltd., 5.40%, 08/08/28 | USD  | 300 | 301395 |
| Studio City Co. Ltd., 7.00%, 02/15/27<sup>(e)</sup> |  | 9800 | 9818473 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** | **Hotels, Restaurants & Leisure (continued)** |
| Wynn Macau Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/27<sup>(e)</sup> | USD  | 8000 | $7940000 |
| &nbsp;&nbsp;&nbsp; 5.63%, 08/26/28<sup>(e)</sup> |  | 8000 | 7846000 |
|  |  |  | 84628724 |
| **Household Durables — 0.2%** | **Household Durables — 0.2%** | **Household Durables — 0.2%** | **Household Durables — 0.2%** |
| &nbsp;&nbsp;&nbsp; Ashton Woods U.S.A. LLC/Ashton Woods <br> Finance Co.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; 6.63%, 01/15/28<sup>(a)</sup> |  | 3130 | 3142924 |
| &nbsp;&nbsp;&nbsp; 4.63%, 08/01/29<sup>(a)</sup> |  | 430 | 410650 |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/01/30<sup>(a)</sup> |  | 1180 | 1122115 |
| Beazer Homes U.S.A., Inc., 7.25%, 10/15/29 |  | 3721 | 3756156 |
| &nbsp;&nbsp;&nbsp; Brookfield Residential Properties, Inc./Brookfield <br> Residential U.S. LLC, 5.00%, 06/15/29<sup>(a)</sup><br>|  | 742 | 675278 |
| Century Communities, Inc., 6.75%, 06/01/27 |  | 249 | 249359 |
| DR Horton, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/34 |  | 10152 | 10036719 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/35 |  | 2394 | 2437702 |
| LGI Homes, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 8.75%, 12/15/28<sup>(a)</sup> |  | 1568 | 1629997 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/32<sup>(a)</sup> |  | 1816 | 1728378 |
| Mattamy Group Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 12/15/27<sup>(a)</sup> |  | 1074 | 1068833 |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/01/30<sup>(a)</sup> |  | 1691 | 1625290 |
| &nbsp;&nbsp;&nbsp; Weekley Homes LLC/Weekley Finance Corp., <br> 4.88%, 09/15/28<sup>(a)</sup><br>|  | 1032 | 999576 |
|  |  |  | 28882977 |
| **Independent Power and Renewable Electricity Producers — 0.4%** | **Independent Power and Renewable Electricity Producers — 0.4%** | **Independent Power and Renewable Electricity Producers — 0.4%** | **Independent Power and Renewable Electricity Producers — 0.4%** |
| &nbsp;&nbsp;&nbsp; Clean Renewable Power Mauritius Pte Ltd., <br> 4.25%, 03/25/27<sup>(e)</sup><br>|  | 6440 | 6238750 |
| &nbsp;&nbsp;&nbsp; Continuum Energy Pte Ltd., (12.85% Cash & <br> 7.85% PIK), 5.00%, 09/13/27<sup>(a)(g)(o)</sup><br>|  | 9978 | 9978136 |
| Greenko Dutch BV, 3.85%, 03/29/26<sup>(e)</sup> |  | 7040 | 6902720 |
| Greenko Power II Ltd., 4.30%, 12/13/28<sup>(e)</sup> |  | 6380 | 5989991 |
| &nbsp;&nbsp;&nbsp; Greenko Wind Projects Mauritius Ltd., 7.25%, <br> 09/27/28<sup>(e)</sup><br>|  | 13199 | 13304592 |
| India Clean Energy Holdings, 4.50%, 04/18/27<sup>(e)</sup> |  | 14000 | 13503000 |
| India Cleantech Energy, 4.70%, 08/10/26<sup>(e)</sup> |  | 6320 | 6217300 |
| ReNew Pvt Ltd., 5.88%, 03/05/27<sup>(e)</sup> |  | 14000 | 13885900 |
| SCC Power PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8.00% Cash or 4.00% Cash and 4.00% PIK), <br> 8.00%, 12/31/28<sup>(a)(o)</sup><br>|  | 1792 | 1160580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4.00% Cash or 4.00% PIK), 4.00%, <br> 05/17/32<sup>(a)(o)</sup><br>|  | 494 | 98737 |
| &nbsp;&nbsp;&nbsp; Star Energy Geothermal Wayang Windu Ltd., <br> 6.75%, 04/24/33<sup>(e)</sup><br>|  | 2744 | 2795613 |
| Stem, Inc., 0.50%, 12/01/28<sup>(a)(p)</sup> |  | 622 | 150835 |
|  |  |  | 80226154 |
| **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** |
| Ambac Assurance Corp., 5.10% <sup>(a)(m)</sup> |  | 462 | 623974 |
| FWD Group Holdings Ltd., 8.40%, 04/05/29<sup>(e)</sup> |  | 1400 | 1440985 |
|  |  |  | 2064959 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |
| Meta Platforms, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.65%, 08/15/62 |  | 16664 | 14046899 |
| &nbsp;&nbsp;&nbsp; 5.75%, 05/15/63 |  | 617 | 623698 |
| &nbsp;&nbsp;&nbsp; 5.55%, 08/15/64 |  | 10428 | 10190630 |
|  |  |  | 24861227 |
| **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** |
| Foundry JV Holdco LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/25/31<sup>(a)</sup> |  | 7542 | 7735801 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
| Foundry JV Holdco LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.90%, 01/25/33<sup>(a)</sup> | USD  | 9875 | $10237225 |
| &nbsp;&nbsp;&nbsp; 6.20%, 01/25/37<sup>(a)</sup> |  | 7247 | 7543303 |
| Gartner, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/28<sup>(a)</sup> |  | 37510 | 37118969 |
| &nbsp;&nbsp;&nbsp; 3.63%, 06/15/29<sup>(a)</sup> |  | 26272 | 24978601 |
| &nbsp;&nbsp;&nbsp; 3.75%, 10/01/30<sup>(a)</sup> |  | 5443 | 5093333 |
| Prime Investment Partners, 11.00%, 05/01/30<sup>(g)</sup> |  | 5385 | 5374529 |
|  |  |  | 98081761 |
| **Media — 1.2%** | **Media — 1.2%** | **Media — 1.2%** | **Media — 1.2%** |
| AMC Networks, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 10.25%, 01/15/29<sup>(a)</sup> |  | 1854 | 1922070 |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/15/29 |  | 2822 | 2260732 |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/15/29<sup>(p)</sup> |  | 1097 | 921480 |
| CCO Holdings LLC/CCO Holdings Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/01/32<sup>(a)</sup> |  | 221 | 209624 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/32 |  | 8351 | 7776809 |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/15/34<sup>(a)</sup> |  | 6626 | 5898379 |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter <br> Communications Operating Capital<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; 6.65%, 02/01/34 |  | 1385 | 1483114 |
| &nbsp;&nbsp;&nbsp; 6.55%, 06/01/34 |  | 8298 | 8853616 |
| &nbsp;&nbsp;&nbsp; 6.38%, 10/23/35 |  | 14935 | 15686356 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 |  | 693 | 494143 |
| &nbsp;&nbsp;&nbsp; 5.38%, 05/01/47 |  | 2082 | 1806990 |
| &nbsp;&nbsp;&nbsp; 5.75%, 04/01/48 |  | 8998 | 8182356 |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/01/50 |  | 15373 | 12299450 |
| &nbsp;&nbsp;&nbsp; 3.70%, 04/01/51 |  | 6020 | 4009984 |
| &nbsp;&nbsp;&nbsp; 3.90%, 06/01/52 |  | 17262 | 11847080 |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/01/53 |  | 2623 | 2228480 |
| &nbsp;&nbsp;&nbsp; 3.85%, 04/01/61 |  | 25660 | 16439676 |
| &nbsp;&nbsp;&nbsp; 4.40%, 12/01/61 |  | 6810 | 4775075 |
| &nbsp;&nbsp;&nbsp; 3.95%, 06/30/62 |  | 9023 | 5813667 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/63 |  | 1142 | 965645 |
| Comcast Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 08/15/62 |  | 4063 | 2123811 |
| &nbsp;&nbsp;&nbsp; 2.99%, 11/01/63 |  | 6215 | 3494630 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/64 |  | 1009 | 939669 |
| CSC Holdings LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/27<sup>(a)</sup> |  | 3346 | 3194582 |
| &nbsp;&nbsp;&nbsp; 11.25%, 05/15/28<sup>(a)</sup> |  | 773 | 770091 |
| &nbsp;&nbsp;&nbsp; 11.75%, 01/31/29<sup>(a)</sup> |  | 1731 | 1646451 |
| &nbsp;&nbsp;&nbsp; Discovery Communications LLC, 3.95%, <br> 03/20/28<br>|  | 11871 | 11344402 |
| DISH Network Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 0.00%, 12/15/25<sup>(d)(p)</sup> |  | 3089 | 2780100 |
| &nbsp;&nbsp;&nbsp; 3.38%, 08/15/26<sup>(p)</sup> |  | 892 | 740806 |
| OT Midco, Inc., 10.00%, 02/15/30<sup>(a)</sup> |  | 3103 | 2394744 |
| Paramount Global |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.70%, 10/04/26 |  | 4155 | 4060546 |
| &nbsp;&nbsp;&nbsp; 2.90%, 01/15/27 |  | 8736 | 8503267 |
| &nbsp;&nbsp;&nbsp; 3.38%, 02/15/28 |  | 3519 | 3404742 |
| &nbsp;&nbsp;&nbsp; 4.38%, 03/15/43 |  | 4185 | 3080882 |
| &nbsp;&nbsp;&nbsp; 5.85%, 09/01/43 |  | 2461 | 2141853 |
| &nbsp;&nbsp;&nbsp; 5.25%, 04/01/44 |  | 4000 | 3184009 |
| &nbsp;&nbsp;&nbsp; 4.90%, 08/15/44 |  | 1052 | 811438 |
| &nbsp;&nbsp;&nbsp; 4.60%, 01/15/45 |  | 1518 | 1122901 |
| Warnermedia Holdings, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.76%, 03/15/27 |  | 60502 | 58907772 |
| &nbsp;&nbsp;&nbsp; 5.14%, 03/15/52<sup>(a)</sup> |  | 363 | 224153 |
|  |  |  | 228745575 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &nbsp;&nbsp;&nbsp; Corp. Nacional del Cobre de Chile, 6.44%, <br> 01/26/36<sup>(e)</sup><br>| USD  | 8228 | $8585918 |
| Mineral Resources Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; 9.25%, 10/01/28<sup>(a)</sup> |  | 839 | 858639 |
| &nbsp;&nbsp;&nbsp; 8.50%, 05/01/30<sup>(a)</sup> |  | 428 | 425883 |
| Periama Holdings LLC, 5.95%, 04/19/26<sup>(e)</sup> |  | 425 | 424749 |
| &nbsp;&nbsp;&nbsp; Samarco Mineracao SA, (9.00% PIK), 9.50%, <br> 06/30/31<sup>(e)(o)</sup><br>|  | 7108 | 6970248 |
| Stillwater Mining Co., 4.50%, 11/16/29<sup>(e)</sup> |  | 7911 | 7059288 |
| Vale Overseas Ltd., 6.40%, 06/28/54 |  | 8815 | 8616751 |
| &nbsp;&nbsp;&nbsp; Vedanta Resources Finance II PLC, 10.88%, <br> 09/17/29<sup>(e)</sup><br>|  | 6746 | 6986205 |
| Volcan Cia Minera SAA, 8.75%, 01/24/30<sup>(a)</sup> |  | 179 | 177322 |
|  |  |  | 40105003 |
| **Multi-Utilities — 0.0%** | **Multi-Utilities — 0.0%** | **Multi-Utilities — 0.0%** | **Multi-Utilities — 0.0%** |
| Consumers Energy Co., 5.05%, 05/15/35 |  | 3881 | 3907874 |
| **Oil, Gas & Consumable Fuels — 6.8%** | **Oil, Gas & Consumable Fuels — 6.8%** | **Oil, Gas & Consumable Fuels — 6.8%** | **Oil, Gas & Consumable Fuels — 6.8%** |
| Antero Resources Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 7.63%, 02/01/29<sup>(a)</sup> |  | 19254 | 19766773 |
| &nbsp;&nbsp;&nbsp; 5.38%, 03/01/30<sup>(a)</sup> |  | 40064 | 40320329 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc., 5.23%, <br> 11/17/34<br>|  | 5000 | 5087258 |
| California Resources Corp., 8.25%, 06/15/29<sup>(a)</sup> |  | 1230 | 1262567 |
| Cameron LNG LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.30%, 01/15/35<sup>(a)</sup> |  | 15635 | 13403976 |
| &nbsp;&nbsp;&nbsp; 3.40%, 01/15/38<sup>(a)</sup> |  | 8998 | 7666579 |
| Cheniere Corpus Christi Holdings LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.13%, 06/30/27 |  | 18860 | 19036796 |
| &nbsp;&nbsp;&nbsp; 2.74%, 12/31/39 |  | 21789 | 17733742 |
| Cheniere Energy Partners LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/31 |  | 19597 | 18648148 |
| &nbsp;&nbsp;&nbsp; 3.25%, 01/31/32 |  | 15456 | 13855319 |
| &nbsp;&nbsp;&nbsp; 5.95%, 06/30/33 |  | 8912 | 9302660 |
| &nbsp;&nbsp;&nbsp; 5.75%, 08/15/34 |  | 18836 | 19344015 |
| &nbsp;&nbsp;&nbsp; 10/30/35<sup>(a)(f)</sup> |  | 4940 | 4978839 |
| Cheniere Energy, Inc., 5.65%, 04/15/34 |  | 43661 | 44716707 |
| &nbsp;&nbsp;&nbsp; Chesapeake Energy Corp., 6.13%, <br> 02/15/21<sup>(g)(h)(n)</sup><br>|  | 9090 | 1 |
| Civitas Resources, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/26<sup>(a)</sup> |  | 1980 | 1955199 |
| &nbsp;&nbsp;&nbsp; 8.38%, 07/01/28<sup>(a)</sup> |  | 1810 | 1853279 |
| &nbsp;&nbsp;&nbsp; 8.63%, 11/01/30<sup>(a)</sup> |  | 429 | 435537 |
| CNX Resources Corp., 7.25%, 03/01/32<sup>(a)</sup> |  | 7181 | 7435294 |
| &nbsp;&nbsp;&nbsp; Crescent Energy Finance LLC, 7.38%, <br> 01/15/33<sup>(a)</sup><br>|  | 429 | 410041 |
| &nbsp;&nbsp;&nbsp; Crestwood Midstream Partners LP/Crestwood <br> Midstream Finance Corp., 7.38%, 02/01/31<sup>(a)</sup><br>|  | 26362 | 27623185 |
| Diamondback Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.25%, 12/01/26 |  | 65115 | 64151032 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 |  | 48137 | 46048716 |
| &nbsp;&nbsp;&nbsp; 3.13%, 03/24/31 |  | 52941 | 48491048 |
| &nbsp;&nbsp;&nbsp; 4.40%, 03/24/51 |  | 8152 | 6290233 |
| &nbsp;&nbsp;&nbsp; 4.25%, 03/15/52 |  | 621 | 467288 |
| &nbsp;&nbsp;&nbsp; 5.90%, 04/18/64 |  | 3266 | 3022783 |
| Enbridge, Inc., 4.90%, 06/20/30 |  | 922 | 931233 |
| Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/50 |  | 7093 | 5927409 |
| &nbsp;&nbsp;&nbsp; 5.95%, 05/15/54 |  | 4889 | 4650893 |
| &nbsp;&nbsp;&nbsp; 6.05%, 09/01/54 |  | 6516 | 6262362 |
| EQM Midstream Partners LP, 6.50%, 07/01/27<sup>(a)</sup> |  | 12940 | 13231570 |
| EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.13%, 05/15/26<sup>(a)</sup> |  | 12370 | 12179523 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
| EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/27<sup>(a)</sup> | USD  | 10771 | $10966967 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/27<sup>(a)</sup> |  | 10983 | 11230474 |
| &nbsp;&nbsp;&nbsp; 3.90%, 10/01/27 |  | 17059 | 16832872 |
| &nbsp;&nbsp;&nbsp; 5.70%, 04/01/28 |  | 14621 | 15039437 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/28<sup>(a)</sup> |  | 1498 | 1521176 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/29<sup>(a)</sup> |  | 53512 | 52861531 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/29 |  | 21206 | 21385695 |
| &nbsp;&nbsp;&nbsp; 6.38%, 04/01/29<sup>(a)</sup> |  | 19095 | 19696390 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 |  | 21484 | 23289502 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30<sup>(a)</sup> |  | 47048 | 51706357 |
| &nbsp;&nbsp;&nbsp; 4.75%, 01/15/31<sup>(a)</sup> |  | 73153 | 72002591 |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/15/31<sup>(a)</sup> |  | 40149 | 37213717 |
| &nbsp;&nbsp;&nbsp; 5.75%, 02/01/34 |  | 23568 | 24368544 |
| Expand Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.63%, 08/15/20<sup>(g)(h)(n)</sup> |  | 623 |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 06/15/21<sup>(g)(h)(n)</sup> |  | 425 |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 02/01/29 |  | 18382 | 18399108 |
| &nbsp;&nbsp;&nbsp; 5.88%, 02/01/29<sup>(a)</sup> |  | 4042 | 4058253 |
| &nbsp;&nbsp;&nbsp; 6.75%, 04/15/29<sup>(a)</sup> |  | 15516 | 15701742 |
| &nbsp;&nbsp;&nbsp; 5.38%, 03/15/30 |  | 9615 | 9641960 |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/01/32 |  | 20784 | 20210069 |
| &nbsp;&nbsp;&nbsp; 5.70%, 01/15/35 |  | 45511 | 46159941 |
| Golar LNG Ltd., 2.75%, 12/15/30<sup>(a)(p)</sup> |  | 817 | 837425 |
| &nbsp;&nbsp;&nbsp; Greensaif Pipelines Bidco Sarl, 5.85%, <br> 02/23/36<sup>(e)</sup><br>|  | 8524 | 8609214 |
| Hess Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 7.30%, 08/15/31 |  | 6412 | 7272194 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/40 |  | 1812 | 1907024 |
| Kinder Morgan, Inc., 5.85%, 06/01/35 |  | 1632 | 1691706 |
| Medco Laurel Tree Pte Ltd., 6.95%, 11/12/28<sup>(e)</sup> |  | 7457 | 7379373 |
| NGPL PipeCo LLC, 3.25%, 07/15/31<sup>(a)</sup> |  | 18873 | 16813060 |
| ORLEN SA, 6.00%, 01/30/35<sup>(e)</sup> |  | 8411 | 8625480 |
| Permian Resources Operating LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.38%, 01/15/26<sup>(a)</sup> |  | 172 | 171708 |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/15/27<sup>(a)</sup> |  | 2171 | 2219630 |
| Petroleos Mexicanos, 7.50%, 03/20/26 |  | 22921 | 22921000 |
| Pioneer Natural Resources Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.90%, 08/15/30 |  | 2877 | 2550137 |
| &nbsp;&nbsp;&nbsp; 2.15%, 01/15/31 |  | 2842 | 2524325 |
| &nbsp;&nbsp;&nbsp; Puma International Financing SA, 7.75%, <br> 04/25/29<sup>(e)</sup><br>|  | 7200 | 7376400 |
| Raizen Fuels Finance SA |  |  |  |
| &nbsp;&nbsp;&nbsp; 07/08/32<sup>(a)(f)</sup> |  | 5790 | 5746575 |
| &nbsp;&nbsp;&nbsp; 6.45%, 03/05/34<sup>(e)</sup> |  | 2955 | 2957905 |
| Sabine Pass Liquefaction LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 06/30/26 |  | 17848 | 17945130 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 |  | 29097 | 29271668 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 |  | 5821 | 5790172 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/30 |  | 28852 | 28803732 |
| &nbsp;&nbsp;&nbsp; 5.90%, 09/15/37 |  | 9488 | 9868852 |
| SierraCol Energy Andina LLC, 6.00%, 06/15/28<sup>(e)</sup> |  | 248 | 229319 |
| &nbsp;&nbsp;&nbsp; Sitio Royalties Operating Partnership LP/Sitio <br> Finance Corp., 7.88%, 11/01/28<sup>(a)</sup><br>|  | 1352 | 1415638 |
| SM Energy Co., 6.75%, 08/01/29<sup>(a)</sup> |  | 175 | 174357 |
| Targa Resources Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 02/01/33 |  | 5609 | 5255635 |
| &nbsp;&nbsp;&nbsp; 4.95%, 04/15/52 |  | 10030 | 8367244 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/15/53 |  | 998 | 1024525 |
| &nbsp;&nbsp;&nbsp; 6.13%, 05/15/55 |  | 1720 | 1682611 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources <br> Partners Finance Corp.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/28 | USD  | 6260 | $6264404 |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/01/31 |  | 14735 | 14616803 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/32 |  | 12078 | 11256555 |
| &nbsp;&nbsp;&nbsp; Transocean Titan Financing Ltd., 8.38%, <br> 02/01/28<sup>(a)</sup><br>|  | 610 | 619422 |
| Trident Energy Finance PLC, 12.50%, 11/30/29<sup>(e)</sup> |  | 1538 | 1536750 |
| Vantage Drilling International, 9.50%, 02/15/28<sup>(a)</sup> |  | 250 | 248750 |
| Viper Energy Partners LP, 5.38%, 11/01/27<sup>(a)</sup> |  | 32793 | 32828677 |
| Viper Energy, Inc., 7.38%, 11/01/31<sup>(a)</sup> |  | 23044 | 24451646 |
| Vista Energy Argentina SAU |  |  |  |
| &nbsp;&nbsp;&nbsp; 8.50%, 06/10/33<sup>(a)</sup> |  | 6910 | 6960097 |
| &nbsp;&nbsp;&nbsp; 7.63%, 12/10/35<sup>(a)</sup> |  | 1396 | 1351049 |
| &nbsp;&nbsp;&nbsp; Wildfire Intermediate Holdings LLC, 7.50%, <br> 10/15/29<sup>(a)</sup><br>|  | 1053 | 1046020 |
|  |  |  | 1269388872 |
| **Paper & Forest Products — 0.0%** | **Paper & Forest Products — 0.0%** | **Paper & Forest Products — 0.0%** | **Paper & Forest Products — 0.0%** |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Series DM3N, 3.13%, <br> 01/15/32<br>|  | 7236 | 6349554 |
| **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust, Series 2017-1, <br> Class B, 3.70%, 01/15/26<sup>(a)</sup><br>|  | 9 | 8984 |
| Allegiant Travel Co., 7.25%, 08/15/27<sup>(a)</sup> |  | 1070 | 1070310 |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust, 3.50%, <br> 12/15/27<sup>(g)</sup><br>|  | 2804 | 2759018 |
| &nbsp;&nbsp;&nbsp; JetBlue Airways Corp. Pass-Through Trust, <br> Series 2019-1, AA, 2.75%, 05/15/32<br>|  | 655 | 572912 |
| Latam Airlines Group SA, 01/07/31<sup>(a)(f)</sup> |  | 7120 | 7130680 |
| &nbsp;&nbsp;&nbsp; Mileage Plus Holdings LLC/Mileage Plus <br> Intellectual Property Assets Ltd., 6.50%, <br> 06/20/27<sup>(a)</sup><br>|  | 4346 | 4351557 |
| Spirit Airlines Pass-Through Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.10%, 04/01/28<sup>(h)(n)</sup> |  | 87 | 80145 |
| &nbsp;&nbsp;&nbsp; 3.38%, 02/15/30<sup>(h)(n)</sup> |  | 1027 | 909318 |
| &nbsp;&nbsp;&nbsp; 3.65%, 02/15/30<sup>(h)(n)</sup> |  | 2695 | 2334025 |
| &nbsp;&nbsp;&nbsp; Turkish Airlines Pass-Through Trust, <br> Series 2015-1, Class A, 4.20%, 03/15/27<sup>(a)</sup><br>|  | 547 | 529369 |
|  |  |  | 19746318 |
| **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** |
| Pfizer Investment Enterprises Pte Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 05/19/33 |  | 4809 | 4794542 |
| &nbsp;&nbsp;&nbsp; 5.30%, 05/19/53 |  | 4626 | 4366987 |
|  |  |  | 9161529 |
| **Real Estate Management & Development — 0.3%** | **Real Estate Management & Development — 0.3%** | **Real Estate Management & Development — 0.3%** | **Real Estate Management & Development — 0.3%** |
| Fantasia Holdings Group Co. Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.95%, 12/17/21<sup>(e)(h)(n)</sup> |  | 465 | 12788 |
| &nbsp;&nbsp;&nbsp; 11.75%, 04/17/22<sup>(e)(h)(n)</sup> |  | 2430 | 66825 |
| &nbsp;&nbsp;&nbsp; 7.95%, 07/05/22<sup>(e)(h)(n)</sup> |  | 530 | 14575 |
| &nbsp;&nbsp;&nbsp; 12.25%, 10/18/22<sup>(e)(h)(n)</sup> |  | 200 | 5500 |
| &nbsp;&nbsp;&nbsp; 10.88%, 01/09/23<sup>(e)(h)(n)</sup> |  | 2657 | 73067 |
| &nbsp;&nbsp;&nbsp; 11.88%, 06/01/23<sup>(e)(h)(n)</sup> |  | 1093 | 30058 |
| &nbsp;&nbsp;&nbsp; Five Point Operating Co. LP/Five Point Capital <br> Corp., 10.50%, 01/15/28<sup>(a)(c)</sup><br>|  | 1930 | 1963719 |
| Forestar Group, Inc., 5.00%, 03/01/28<sup>(a)</sup> |  | 1413 | 1391046 |
| Howard Hughes Corp. (The), 5.38%, 08/01/28<sup>(a)</sup> |  | 2364 | 2346354 |
| &nbsp;&nbsp;&nbsp; Resort Communities LoanCo LP, 12.00%, <br> 11/30/28<sup>(a)(g)</sup><br>|  | 28966 | 29148725 |
| Store Capital LLC, 5.40%, 04/30/30<sup>(a)</sup> |  | 20283 | 20550315 |
|  |  |  | 55602972 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** |
| &nbsp;&nbsp;&nbsp; AP Grange Holdings LLC, 6.50%, <br> 03/20/45 (Acquired 06/21/24, cost <br> $12,241,000)<sup>(g)(i)</sup><br>| USD  | 12241 | $12134503 |
| Broadcom, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.55%, 02/15/32 |  | 955 | 946165 |
| &nbsp;&nbsp;&nbsp; 5.20%, 04/15/32 |  | 11762 | 12095103 |
| &nbsp;&nbsp;&nbsp; 3.42%, 04/15/33<sup>(a)</sup> |  | 25005 | 22677752 |
| &nbsp;&nbsp;&nbsp; 3.47%, 04/15/34<sup>(a)</sup> |  | 27727 | 24768341 |
| &nbsp;&nbsp;&nbsp; 4.80%, 10/15/34 |  | 21255 | 20998213 |
| &nbsp;&nbsp;&nbsp; 4.93%, 05/15/37<sup>(a)</sup> |  | 1970 | 1911932 |
|  |  |  | 95532009 |
| **Software — 0.8%** | **Software — 0.8%** | **Software — 0.8%** | **Software — 0.8%** |
| AppLovin Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.13%, 12/01/29 |  | 16571 | 16786689 |
| &nbsp;&nbsp;&nbsp; 5.38%, 12/01/31 |  | 30576 | 31113347 |
| &nbsp;&nbsp;&nbsp; 5.95%, 12/01/54 |  | 21016 | 20524885 |
| Cloud Software Group, Inc., 9.00%, 09/30/29<sup>(a)</sup> |  | 866 | 897631 |
| Core Scientific, Inc., 0.00%, 06/15/31<sup>(a)(d)(p)</sup> |  | 546 | 593092 |
| GoTo Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/28<sup>(a)</sup> |  | 425 | 348500 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/28<sup>(a)</sup> |  | 1925 | 625625 |
| IREN Ltd., Series IREN, 3.50%, 12/15/29<sup>(a)(p)</sup> |  | 1582 | 2045526 |
| Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.60%, 04/01/50 |  | 24000 | 16784224 |
| &nbsp;&nbsp;&nbsp; 3.95%, 03/25/51 |  | 1288 | 950666 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/03/55 |  | 6627 | 6615833 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/27/64 |  | 16005 | 14576711 |
| &nbsp;&nbsp;&nbsp; 6.13%, 08/03/65 |  | 30111 | 30141347 |
|  |  |  | 142004076 |
| **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** |
| Extra Space Storage LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/29 |  | 1836 | 1800529 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/30 |  | 21435 | 22233711 |
| &nbsp;&nbsp;&nbsp; 2.20%, 10/15/30 |  | 5163 | 4566852 |
|  |  |  | 28601092 |
| **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** |
| CA Magnum Holdings, 5.38%, 10/31/26<sup>(e)</sup> |  | 400 | 396490 |
| **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** |
| William Carter Co. (The), 5.63%, 03/15/27<sup>(a)</sup> |  | 105 | 104347 |
| **Tobacco — 0.6%** | **Tobacco — 0.6%** | **Tobacco — 0.6%** | **Tobacco — 0.6%** |
| Altria Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.40%, 02/04/41 |  | 22684 | 16827504 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/02/43 |  | 6482 | 5403783 |
| &nbsp;&nbsp;&nbsp; 3.88%, 09/16/46 |  | 7491 | 5540234 |
| &nbsp;&nbsp;&nbsp; 4.45%, 05/06/50 |  | 1835 | 1436009 |
| BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/43 |  | 800 | 881100 |
| &nbsp;&nbsp;&nbsp; 4.54%, 08/15/47 |  | 15445 | 12476812 |
| &nbsp;&nbsp;&nbsp; 4.76%, 09/06/49 |  | 11203 | 9235729 |
| &nbsp;&nbsp;&nbsp; 5.65%, 03/16/52 |  | 8383 | 7810787 |
| &nbsp;&nbsp;&nbsp; 7.08%, 08/02/53 |  | 30148 | 33580386 |
| Reynolds American, Inc., 5.85%, 08/15/45 |  | 26148 | 25227584 |
|  |  |  | 118419928 |
| **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** | **Transportation Infrastructure — 0.0%** |
| &nbsp;&nbsp;&nbsp; TAV Havalimanlari Holding AS, 8.50%, <br> 12/07/28<sup>(e)</sup><br>|  | 6704 | 6984764 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Water Utilities — 0.0%** | **Water Utilities — 0.0%** | **Water Utilities — 0.0%** | **Water Utilities — 0.0%** |
| &nbsp;&nbsp;&nbsp; Thames Water Utilities Finance PLC, 4.00%, <br> 06/19/27<sup>(e)</sup><br>| GBP  | 2796 | $2674240 |
| Thames Water Utilities Ltd., 0.00%, 03/22/27<sup>(a)(d)</sup> |  | 21 | 24008 |
|  |  |  | 2698248 |
| **Wireless Telecommunication Services — 0.4%** | **Wireless Telecommunication Services — 0.4%** | **Wireless Telecommunication Services — 0.4%** | **Wireless Telecommunication Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; Digicel Group Holdings Ltd., Series 2B14, 0.00%, <br> 12/31/30<sup>(a)(d)(g)</sup><br>| USD  | 544 | 32616 |
| &nbsp;&nbsp;&nbsp; Liberty Costa Rica Senior Secured Finance, <br> 10.88%, 01/15/31<sup>(e)</sup><br>|  | 1071 | 1140722 |
| SoftBank Corp., 4.70%, 07/09/30<sup>(a)</sup> |  | 1500 | 1500000 |
| SoftBank Group Corp., 7.00%, 07/08/31<sup>(e)</sup> |  | 11000 | 11266478 |
| &nbsp;&nbsp;&nbsp; Sprint Spectrum Co. LLC/Sprint Spectrum Co. II <br> LLC/Sprint Spectrum Co. III LLC, 5.15%, <br> 03/20/28<sup>(a)</sup><br>|  | 193 | 193820 |
| T-Mobile U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 04/15/30 |  | 23558 | 22879949 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/31 |  | 2612 | 2452446 |
| &nbsp;&nbsp;&nbsp; 5.13%, 05/15/32 |  | 6893 | 7029433 |
| &nbsp;&nbsp;&nbsp; 5.20%, 01/15/33 |  | 2403 | 2447830 |
| &nbsp;&nbsp;&nbsp; 5.80%, 09/15/62 |  | 22054 | 21602979 |
| VF Ukraine PAT via VFU Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 9.63%, 02/11/27<sup>(e)</sup> |  | 229 | 218522 |
| &nbsp;&nbsp;&nbsp; 9.63%, 02/11/27<sup>(a)</sup> |  | 1352 | 1291070 |
| &nbsp;&nbsp;&nbsp; Vmed O2 UK Financing I PLC, 4.75%, <br> 07/15/31<sup>(a)</sup><br>|  | 200 | 185005 |
|  |  |  | 72240870 |
| **Total Corporate Bonds — 26.7%** <br>**(Cost: $4,970,936,196)** | **Total Corporate Bonds — 26.7%** <br>**(Cost: $4,970,936,196)** | **Total Corporate Bonds — 26.7%** <br>**(Cost: $4,970,936,196)** | 5014702003 |
| **Fixed Rate Loan Interests** |  |  |  |
| **Chemicals — 0.0%** |  |  |  |
| &nbsp;&nbsp;&nbsp; Vedanta Resources Ltd., Term Loan, 18.00%, <br> 04/17/26<br>|  | 2016 | 2036109 |
| **Financial Services — 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp; Aspen Owner LLC, Term Loan (First Lien), 7.27%, <br> 02/09/27<sup>(g)</sup><br>|  | 29088 | 29244838 |
| **Total Fixed Rate Loan Interests — 0.2%** <br>**(Cost: $31,079,796)**<br>|  |  | 31280947 |
| **Floating Rate Loan Interests**<sup>(b)</sup> | **Floating Rate Loan Interests**<sup>(b)</sup> | **Floating Rate Loan Interests**<sup>(b)</sup> | **Floating Rate Loan Interests**<sup>(b)</sup> |
| **Banks — 0.2%** | **Banks — 0.2%** | **Banks — 0.2%** | **Banks — 0.2%** |
| &nbsp;&nbsp;&nbsp; Hilton Motto Chelsea, Term Loan (First Lien), <br> (1-mo. CME Term SOFR at 2.00% Floor + <br> 3.25%), 7.57%, 10/17/28<sup>(g)</sup><br>|  | 9400 | 9405977 |
| &nbsp;&nbsp;&nbsp; Northwind Midstream Partners LLC, Term Loan <br> (First Lien), (3-mo. CME Term SOFR at 3.00% <br> Floor + 6.25%), 6.25%, 03/18/29<sup>(g)</sup><br>|  | 20759 | 20370807 |
|  |  |  | 29776784 |
| **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** | **Building Products — 0.0%** |
| &nbsp;&nbsp;&nbsp; Cornerstone Building Brands, Inc., Tranche B <br> Term Loan, (1-mo. CME Term SOFR at 0.50% <br> Floor + 3.25%), 7.66%, 04/12/28<br>|  | 3 | 2267 |
| **Chemicals — 0.0%** | **Chemicals — 0.0%** | **Chemicals — 0.0%** | **Chemicals — 0.0%** |
| Montage Hotels & Resorts LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Revolver, (3-mo. CME Term SOFR at 0.00% <br> Floor + 6.00%), 10.29%, 02/16/29<sup>(g)</sup><br>|  | 1053 | 1026207 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** | **Chemicals (continued)** |
| Montage Hotels & Resorts LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan, (3-mo. CME Term SOFR at 0.00% <br> Floor + 6.00%), 10.30%, 02/16/29<sup>(g)</sup><br>| USD  | 6475 | $6313472 |
| &nbsp;&nbsp;&nbsp; Robertshaw U.S. Holding Corp., Fifth-Out Term <br> Loan, (1-mo. CME Term SOFR at 1.00% Floor <br> + 8.00%), 12.44%, 02/28/27<sup>(g)</sup><br>|  | 1795 | 17950 |
|  |  |  | 7357629 |
| **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** |
| &nbsp;&nbsp;&nbsp; Allied Universal Holdco LLC (FKA USAGM <br> Holdco LLC), Initial U.S. Dollar Term Loan, <br> (1-mo. CME Term SOFR at 0.50% Floor + <br> 3.75%), 8.17%, 05/12/28<br>|  | 3644 | 3660132 |
| &nbsp;&nbsp;&nbsp; Alorica, Inc., Term Loan B (First Lien), (1-mo. <br> CME Term SOFR at 1.00% Floor + 6.88%), <br> 11.20%, 12/21/27<sup>(g)</sup><br>|  | 4858 | 4791150 |
| &nbsp;&nbsp;&nbsp; DRI Holding, Inc., Closing Date Term Loan (First <br> Lien), (1-mo. CME Term SOFR at 0.50% Floor <br> + 5.25%), 9.68%, 12/21/28<br>|  | 3075 | 3030531 |
| &nbsp;&nbsp;&nbsp; Interface Security Systems LLC, Initial Term Loan, <br> (1-mo. CME Term SOFR at 1.75% Floor + <br> 7.00%), 11.43%, 08/07/28<sup>(g)(h)(n)</sup><br>|  | 8597 | 4513327 |
|  |  |  | 15995140 |
| **Construction & Engineering — 0.0%** | **Construction & Engineering — 0.0%** | **Construction & Engineering — 0.0%** | **Construction & Engineering — 0.0%** |
| &nbsp;&nbsp;&nbsp; SSD Holdings LLC, Term Loan, (1-mo. CME Term <br> SOFR at 0.00% Floor + 2.75%), 7.06%, <br> 04/07/30<sup>(g)</sup><br>|  | 7400 | 7400977 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| &nbsp;&nbsp;&nbsp; Cirkul, Inc., Term Loan, (3-mo. CME Term SOFR <br> at 4.00% Floor + 11.00%), 11.88%, 04/23/28<sup>(g)</sup><br>|  | 4129 | 3938240 |
| &nbsp;&nbsp;&nbsp; Flexsys Cayman Holdings LP, Second Out <br> Refinancing Term Loan, (1-mo. CME Term <br> SOFR at 0.75% Floor + 5.25%), 9.69%, <br> 08/01/29<br>|  | 1962 | 993420 |
| &nbsp;&nbsp;&nbsp; Goodarz Holding Co. S.a.r.l, Term Loan, (1-mo. <br> EURIBOR at 0.00% Floor + 5.13%), 7.00%, <br> 11/17/28<sup>(g)</sup><br>| EUR  | 7094 | 7090186 |
| Houston Center |  |  |  |
| &nbsp;&nbsp;&nbsp; Term Loan A, 5.75%, 05/09/30<sup>(g)</sup> | USD  | 5515 | 5118867 |
| &nbsp;&nbsp;&nbsp; Term Loan B, 5.75%, 05/09/30<sup>(g)</sup> |  | 7132 | 1 |
|  |  |  | 17140714 |
| **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** | **Diversified Telecommunication Services — 0.0%** |
| &nbsp;&nbsp;&nbsp; Avaya, Inc., Initial Term Loan, (1-mo. CME Term <br> SOFR at 1.00% Floor + 7.50%), 11.82%, <br> 08/01/28<br>|  | 12 | 9511 |
| &nbsp;&nbsp;&nbsp; Connect Finco S.a.r.l., Amendment No. 4 Term <br> Loan, (1-mo. CME Term SOFR at 0.50% Floor <br> + 4.50%), 8.83%, 09/27/29<br>|  | 2409 | 2282943 |
|  |  |  | 2292454 |
| **Electronic Equipment, Instruments & Components — 0.0%** | **Electronic Equipment, Instruments & Components — 0.0%** | **Electronic Equipment, Instruments & Components — 0.0%** | **Electronic Equipment, Instruments & Components — 0.0%** |
| &nbsp;&nbsp;&nbsp; Emerald Technologies (U.S.) Acquisitionco, Inc., <br> Term B Loan, (3-mo. CME Term SOFR at <br> 1.00% Floor + 6.25%), 10.73%, 12/29/27<sup>(g)</sup><br>|  | 1534 | 1058701 |
| **Financial Services — 0.2%** | **Financial Services — 0.2%** | **Financial Services — 0.2%** | **Financial Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; CTP-02 Propco LLC, Term Loan, (1-mo. CME <br> Term SOFR at 0.50% Floor + 3.25%), 7.54%, <br> 12/06/29<sup>(g)</sup><br>|  | 7077 | 7072639 |
| &nbsp;&nbsp;&nbsp; Garfunkelux Holdco 3 SA, Term Loan B, 4.75%, <br> 08/01/28<br>| EUR  | 2000 | 2314672 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** | **Financial Services (continued)** |
| &nbsp;&nbsp;&nbsp; HLP Hotel LLC, Term Loan (First Lien), (1-mo. <br> CME Term SOFR at 1.00% Floor + 3.55%), <br> 7.86%, 09/09/26<sup>(g)</sup><br>| USD  | 12200 | $12200000 |
| &nbsp;&nbsp;&nbsp; HP LQ Investment LP, Term Loan (First Lien), <br> (1-mo. CME Term SOFR at 0.00% Floor + <br> 2.82%), 7.25%- 8.41%, 12/09/26<sup>(g)</sup><br>|  | 13352 | 13352409 |
|  |  |  | 34939720 |
| **Health Care Providers & Services — 0.0%** | **Health Care Providers & Services — 0.0%** | **Health Care Providers & Services — 0.0%** | **Health Care Providers & Services — 0.0%** |
| &nbsp;&nbsp;&nbsp; Medical Solutions Holdings, Inc., Initial Term Loan <br> (Second Lien), (3-mo. CME Term SOFR at <br> 0.50% Floor + 7.00%), 11.38%, 11/01/29<br>|  | 1587 | 669190 |
| **Hotels, Restaurants & Leisure — 0.3%** | **Hotels, Restaurants & Leisure — 0.3%** | **Hotels, Restaurants & Leisure — 0.3%** | **Hotels, Restaurants & Leisure — 0.3%** |
| &nbsp;&nbsp;&nbsp; Bally's Corp., Term B Facility Loan, (3-mo. CME <br> Term SOFR at 0.50% Floor + 3.25%), 7.78%, <br> 10/02/28<br>|  | 11410 | 10055310 |
| &nbsp;&nbsp;&nbsp; CML Terranea Resort (AKA Long Point <br> Development LLC), Refinancing Debt, (1-mo. <br> CME Term SOFR at 0.00% Floor + 4.35%), <br> 8.67%, 01/01/28<sup>(g)</sup><br>|  | 7500 | 7500000 |
| &nbsp;&nbsp;&nbsp; Hilton Garden Inn Waikiki, Term Loan (First Lien), <br> (1-mo. CME Term SOFR at 0.00% Floor + <br> 3.50%), 7.82%, 05/31/29<sup>(g)</sup><br>|  | 14800 | 14896678 |
| &nbsp;&nbsp;&nbsp; HRNI Holdings LLC, Term B Loan, (3-mo. CME <br> Term SOFR at 0.75% Floor + 4.25%), 8.70%, <br> 12/11/28<br>|  | 7566 | 7357484 |
| Maverick Gaming LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; First Out Term Loan, (3-mo. CME Term SOFR <br> at 1.00% Floor + 9.50%), 13.78%, 06/03/28<br>|  | 1541 | 1394386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Second Out Term Loan, (3-mo. CME Term <br> SOFR at 1.00% Floor + 9.50%), 13.78%, <br> 06/03/28<sup>(g)</sup><br>|  | 2706 | 1630269 |
| &nbsp;&nbsp;&nbsp; Sodalite Tahoe Hotel LLC, Loan, (1-mo. CME <br> Term SOFR at 0.00% Floor + 2.90%), 7.33%, <br> 10/25/26<sup>(g)</sup><br>|  | 9699 | 9746570 |
|  |  |  | 52580697 |
| **IT Services — 0.2%** | **IT Services — 0.2%** | **IT Services — 0.2%** | **IT Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; CoreWeave Compute Acquisition Co. II LLC, <br> Delayed Draw Loan, (3-mo. CME Term SOFR <br> at 0.00% Floor + 9.62%), 13.88%, 07/31/28<sup>(g)</sup><br>|  | 12567 | 12457295 |
| &nbsp;&nbsp;&nbsp; CoreWeave Compute Acquisition Co. IV LLC, <br> Delayed Draw Loan, (3-mo. CME Term SOFR <br> at 0.00% Floor + 6.00%), 10.24%, 05/16/29<sup>(g)</sup><br>|  | 19545 | 19326096 |
|  |  |  | 31783391 |
| **Leisure Products — 0.0%** | **Leisure Products — 0.0%** | **Leisure Products — 0.0%** | **Leisure Products — 0.0%** |
| &nbsp;&nbsp;&nbsp; J & J Ventures Gaming LLC, 2025 Term Loan, <br> (1-mo. CME Term SOFR at 0.75% Floor + <br> 3.50%), 7.83%, 04/26/30<br>|  | 1865 | 1841504 |
| **Life Sciences Tools & Services — 0.1%** | **Life Sciences Tools & Services — 0.1%** | **Life Sciences Tools & Services — 0.1%** | **Life Sciences Tools & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; ECL Entertainment LLC, 2024 Refinancing Term <br> B Loan, (1-mo. CME Term SOFR at 0.00% <br> Floor + 3.50%), 7.83%, 08/30/30<br>|  | 5675 | 5668057 |
| Project Midnights, Term Loan, 5.20%, 08/22/26<sup>(g)</sup> | EUR  | 9444 | 11106442 |
| &nbsp;&nbsp;&nbsp; Veritas U.S., Inc., Term Loan B, (3-mo. CME Term <br> SOFR at 2.50% Floor + 8.00%), 12.30%, <br> 12/09/29<br>| USD  | 1042 | 1041923 |
|  |  |  | 17816422 |
| **Machinery — 0.0%** | **Machinery — 0.0%** | **Machinery — 0.0%** | **Machinery — 0.0%** |
| &nbsp;&nbsp;&nbsp; Hydrofarm Holdings Group, Inc., Term Loan, (3-<br> mo. CME Term SOFR at 1.00% Floor + <br> 5.50%), 10.04%, 10/25/28<br>|  | 2095 | 1696891 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Media — 0.0%** | **Media — 0.0%** | **Media — 0.0%** | **Media — 0.0%** |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, September 2019 Initial Term <br> Loan, (3-mo. CME Term SOFR at 0.00% Floor <br> + 1.50%), 9.00%, 04/15/27<br>| USD  | 1072 | $1042630 |
| DirecTV Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 Incremental Term Loan B, (1-mo. CME <br> Term SOFR at 0.75% Floor + 5.50%), <br> 9.83%, 02/17/31<br>|  | 4088 | 3889789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Closing Date Term Loan, (3-mo. CME Term <br> SOFR at 0.75% Floor + 5.00%), 9.54%, <br> 08/02/27<br>|  | 257 | 257760 |
|  |  |  | 5190179 |
| **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** |
| &nbsp;&nbsp;&nbsp; CPPIB OVM Member U.S. LLC, Initial Term Loan, <br> (3-mo. CME Term SOFR at 0.00% Floor + <br> 2.75%), 7.05%, 08/20/31<br>|  | 2841 | 2829888 |
| &nbsp;&nbsp;&nbsp; CVR CHC LP, Initial Term Loan, (3-mo. CME <br> Term SOFR at 0.00% Floor + 4.00%), 8.30%, <br> 12/30/27<br>|  | 3004 | 2998842 |
|  |  |  | 5828730 |
| **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** |
| &nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure LLC, Term Loan, <br> (3-mo. CME Term SOFR at 1.00% Floor + <br> 6.00%), 10.30%, 09/11/29<sup>(g)</sup><br>|  | 10822 | 10822000 |
| &nbsp;&nbsp;&nbsp; Usavflow II Ltd., Term Loan B (First Lien), (1-mo. <br> CME Term SOFR at 0.00% Floor + 6.50%), <br> 10.81%, 09/10/29<sup>(g)</sup><br>|  | 2040 | 2045100 |
|  |  |  | 12867100 |
| **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** | **Personal Care Products — 0.0%** |
| &nbsp;&nbsp;&nbsp; AI Mansart (Luxembourg) Bidco S.C.S., Term <br> Loan A (First Lien), (6-mo. CME Term SOFR at <br> 0.00% Floor + 6.25%), 10.44%, 09/01/28<sup>(g)</sup><br>|  | 1159 | 1183768 |
| **Professional Services — 0.0%** | **Professional Services — 0.0%** | **Professional Services — 0.0%** | **Professional Services — 0.0%** |
| &nbsp;&nbsp;&nbsp; Vaco Holdings LLC, Initial Term Loan, (3-mo. <br> CME Term SOFR at 0.75% Floor + 5.00%), <br> 9.45%, 01/21/29<br>|  | 1611 | 1473410 |
| **Software — 0.1%** | **Software — 0.1%** | **Software — 0.1%** | **Software — 0.1%** |
| &nbsp;&nbsp;&nbsp; ConnectWise LLC, Initial Term Loan, (3-mo. CME <br> Term SOFR at 0.50% Floor + 3.50%), 8.06%, <br> 09/29/28<br>|  | 2696 | 2707664 |
| EIS Group Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Closing Date Term Loan, (1-mo. CME Term <br> SOFR at 0.75% Floor + 7.00%), 11.33%, <br> 07/10/28<sup>(g)</sup><br>|  | 12826 | 12376687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Revolving Loan, (1-mo. CME Term SOFR at <br> 0.75% Floor + 7.00%), 11.33%, 07/10/28<sup>(g)</sup><br>|  | 1283 | 1237669 |
| &nbsp;&nbsp;&nbsp; GoTo Group, Inc., Exchange First Out Term Loan, <br> (1-mo. CME Term SOFR at 0.00% Floor + <br> 4.75%), 9.16%, 04/28/28<br>|  | 2 | 1618 |
|  |  |  | 16323638 |
| **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** |
| &nbsp;&nbsp;&nbsp; Fanatics Commerce Intermediate Holdco LLC, <br> Initial Term Loan, (1-mo. CME Term SOFR at <br> 0.50% Floor + 3.25%), 7.69%, 11/24/28<sup>(g)</sup><br>|  | 491 | 489648 |
| &nbsp;&nbsp;&nbsp; Park River Holdings, Inc., Initial Term Loan (First <br> Lien), (3-mo. CME Term SOFR at 0.75% Floor <br> + 3.25%), 7.80%, 12/28/27<br>|  | 1 | 1304 |
|  |  |  | 490952 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** | **Technology Hardware, Storage & Peripherals — 0.0%** |
| Redstone Holdco 2 LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Loan (Second Lien), (3-mo. CME Term <br> SOFR at 0.75% Floor + 7.75%), 12.29%, <br> 04/27/29<br>| USD  | 4728 | $1093350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan (First Lien), (3-mo. CME Term <br> SOFR at 0.75% Floor + 4.75%), 9.29%, <br> 04/27/28<br>|  | 4319 | 2310865 |
|  |  |  | 3404215 |
| **Total Floating Rate Loan Interests — 1.4%** <br>**(Cost: $289,944,944)** | **Total Floating Rate Loan Interests — 1.4%** <br>**(Cost: $289,944,944)** | **Total Floating Rate Loan Interests — 1.4%** <br>**(Cost: $289,944,944)** | 269114473 |
| **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** |
| **Argentina — 0.0%** | **Argentina — 0.0%** | **Argentina — 0.0%** | **Argentina — 0.0%** |
| YPF SA, 9.50%, 01/17/31<sup>(a)</sup> |  | 906 | 949035 |
| **Colombia — 0.1%** | **Colombia — 0.1%** | **Colombia — 0.1%** | **Colombia — 0.1%** |
| Ecopetrol SA, 7.75%, 02/01/32 |  | 6935 | 6804969 |
| **Malaysia — 0.0%** | **Malaysia — 0.0%** | **Malaysia — 0.0%** | **Malaysia — 0.0%** |
| Khazanah Global Sukuk Bhd, 4.69%, 06/01/28<sup>(e)</sup> |  | 895 | 901444 |
| **Mexico — 0.0%** | **Mexico — 0.0%** | **Mexico — 0.0%** | **Mexico — 0.0%** |
| Petroleos Mexicanos |  |  |  |
| &nbsp;&nbsp;&nbsp; 8.75%, 06/02/29 |  | 116 | 120255 |
| &nbsp;&nbsp;&nbsp; 5.95%, 01/28/31 |  | 217 | 195647 |
| &nbsp;&nbsp;&nbsp; 10.00%, 02/07/33 |  | 271 | 290051 |
|  |  |  | 605953 |
| **Morocco — 0.0%** | **Morocco — 0.0%** | **Morocco — 0.0%** | **Morocco — 0.0%** |
| OCP SA |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/22/25<sup>(e)</sup> |  | 548 | 545534 |
| &nbsp;&nbsp;&nbsp; 6.75%, 05/02/34<sup>(a)</sup> |  | 1283 | 1327315 |
|  |  |  | 1872849 |
| **Ukraine — 0.0%** | **Ukraine — 0.0%** | **Ukraine — 0.0%** | **Ukraine — 0.0%** |
| NAK Naftogaz Ukraine via Kondor Finance PLC |  |  |  |
| &nbsp;&nbsp;&nbsp; (7.13% PIK), 7.13%, 07/19/26<sup>(e)(o)</sup> | EUR  | 3264 | 3267744 |
| &nbsp;&nbsp;&nbsp; (7.63% PIK), 7.63%, 11/08/28<sup>(a)(o)</sup> | USD  | 783 | 611078 |
|  |  |  | 3878822 |
| **Total Foreign Agency Obligations — 0.1%** <br>**(Cost: $13,474,508)** | **Total Foreign Agency Obligations — 0.1%** <br>**(Cost: $13,474,508)** | **Total Foreign Agency Obligations — 0.1%** <br>**(Cost: $13,474,508)** | 15013072 |
| **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** |
| **Belgium — 0.2%** | **Belgium — 0.2%** | **Belgium — 0.2%** | **Belgium — 0.2%** |
| Kingdom of Belgium, 3.30%, 06/22/54<sup>(a)(e)</sup> | EUR  | 41848 | 43898110 |
| **Brazil — 0.5%** | **Brazil — 0.5%** | **Brazil — 0.5%** | **Brazil — 0.5%** |
| Brazil Notas do Tesouro Nacional |  |  |  |
| &nbsp;&nbsp;&nbsp; 10.00%, 01/01/29 | BRL  | 139 | 23424979 |
| &nbsp;&nbsp;&nbsp; 10.00%, 01/01/35 |  | 440 | 66734254 |
|  |  |  | 90159233 |
| **Colombia — 0.1%** | **Colombia — 0.1%** | **Colombia — 0.1%** | **Colombia — 0.1%** |
| Republic of Colombia, 6.25%, 07/09/36 | COP  | 174551700 | 27542017 |
| **Germany — 0.2%** | **Germany — 0.2%** | **Germany — 0.2%** | **Germany — 0.2%** |
| Federal Republic of Germany, 2.50%, 08/15/54<sup>(e)</sup> | EUR  | 34911 | 36541195 |
| **Indonesia — 0.1%** | **Indonesia — 0.1%** | **Indonesia — 0.1%** | **Indonesia — 0.1%** |
| Republic of Indonesia |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.85%, 02/14/30 | USD  | 17370 | 16278990 |
| &nbsp;&nbsp;&nbsp; 3.05%, 03/12/51 |  | 11595 | 7664295 |
|  |  |  | 23943285 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Israel — 0.1%** | **Israel — 0.1%** | **Israel — 0.1%** | **Israel — 0.1%** |
| State of Israel, 5.75%, 03/12/54 | USD  | 10116 | $9376268 |
| **Italy — 0.7%** | **Italy — 0.7%** | **Italy — 0.7%** | **Italy — 0.7%** |
| Republic of Italy, 3.65%, 08/01/35<sup>(a)(e)</sup> | EUR  | 112272 | 134659883 |
| **Japan — 0.4%** | **Japan — 0.4%** | **Japan — 0.4%** | **Japan — 0.4%** |
| Japanese Government Bonds (30 Year) |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.30%, 12/20/54 | JPY  | 7782100 | 48517007 |
| &nbsp;&nbsp;&nbsp; 2.40%, 03/20/55 |  | 3450750 | 21988422 |
|  |  |  | 70505429 |
| **Mexico — 0.8%** | **Mexico — 0.8%** | **Mexico — 0.8%** | **Mexico — 0.8%** |
| United Mexican States |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.66%, 05/24/31 | USD  | 30379 | 26270240 |
| &nbsp;&nbsp;&nbsp; 4.88%, 05/19/33 |  | 3502 | 3309670 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/12/34 |  | 27547 | 23249668 |
| &nbsp;&nbsp;&nbsp; 6.35%, 02/09/35 |  | 45111 | 46125997 |
| &nbsp;&nbsp;&nbsp; 6.88%, 05/13/37 |  | 32255 | 33625838 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/31/50 |  | 25868 | 18915975 |
|  |  |  | 151497388 |
| **Panama — 0.1%** | **Panama — 0.1%** | **Panama — 0.1%** | **Panama — 0.1%** |
| Republic of Panama |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 03/17/28 |  | 17669 | 17138930 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/56 |  | 10739 | 6976994 |
|  |  |  | 24115924 |
| **Peru — 0.1%** | **Peru — 0.1%** | **Peru — 0.1%** | **Peru — 0.1%** |
| Republic of Peru, 3.55%, 03/10/51 |  | 14265 | 9785790 |
| **Philippines — 0.1%** | **Philippines — 0.1%** | **Philippines — 0.1%** | **Philippines — 0.1%** |
| Republic of the Philippines |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/28 |  | 11468 | 11078088 |
| &nbsp;&nbsp;&nbsp; 3.20%, 07/06/46 |  | 15450 | 10857004 |
|  |  |  | 21935092 |
| **Supranational — 0.8%** | **Supranational — 0.8%** | **Supranational — 0.8%** | **Supranational — 0.8%** |
| European Union |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/04/52<sup>(e)</sup> | EUR  | 13790 | 12626147 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/04/53<sup>(e)</sup> |  | 137049 | 138550160 |
|  |  |  | 151176307 |
| **United Kingdom — 0.2%** | **United Kingdom — 0.2%** | **United Kingdom — 0.2%** | **United Kingdom — 0.2%** |
| United Kingdom Gilt, 4.38%, 07/31/54<sup>(e)</sup> | GBP  | 23992 | 28526697 |
| **Uruguay — 0.1%** | **Uruguay — 0.1%** | **Uruguay — 0.1%** | **Uruguay — 0.1%** |
| Oriental Republic of Uruguay |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 10/27/27 | USD  | 5923 | 5937819 |
| &nbsp;&nbsp;&nbsp; 5.10%, 06/18/50 |  | 10407 | 9594885 |
|  |  |  | 15532704 |
| **Total Foreign Government Obligations — 4.5%** <br>**(Cost: $859,343,463)** | **Total Foreign Government Obligations — 4.5%** <br>**(Cost: $859,343,463)** | **Total Foreign Government Obligations — 4.5%** <br>**(Cost: $859,343,463)** | 839195322 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Investment Companies** | **Investment Companies** | **Investment Companies** |
| **Equity Funds — 0.1%** | **Equity Funds — 0.1%** | **Equity Funds — 0.1%** |
| Financial Select Sector SPDR Fund | 200000 | 10474000 |
| **Fixed-Income Funds — 0.3%** | **Fixed-Income Funds — 0.3%** | **Fixed-Income Funds — 0.3%** |
| &nbsp;&nbsp;&nbsp; iShares 0-5 Year High Yield Corporate Bond <br> ETF<sup>(q)</sup><br>| 1105807 | 47704514 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares*<br>| *Value* |
| **Fixed-Income Funds (continued)** | **Fixed-Income Funds (continued)** | **Fixed-Income Funds (continued)** |
| iShares AAA CLO Active ETF<sup>(q)</sup> | 200000 | $10384000 |
| &nbsp;&nbsp;&nbsp; iShares iBoxx $ Investment Grade Corporate <br> Bond ETF<sup>(j)(q)</sup><br>| 65350 | 7163014 |
|  |  | 65251528 |
| **Total Investment Companies — 0.4%** <br>**(Cost: $75,025,125)** | **Total Investment Companies — 0.4%** <br>**(Cost: $75,025,125)** | 75725528 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** | **Municipal Bonds** |
| **California — 0.3%** | **California — 0.3%** | **California — 0.3%** | **California — 0.3%** |
| &nbsp;&nbsp;&nbsp; Bay Area Toll Authority, RB, Series S1, 7.04%, <br> 04/01/50<br>| USD  | 9275 | 10622964 |
| &nbsp;&nbsp;&nbsp; Los Angeles Community College District, GO, <br> 6.60%, 08/01/42<br>|  | 3990 | 4234616 |
| State of California |  |  |  |
| &nbsp;&nbsp;&nbsp; GO, 7.55%, 04/01/39 |  | 4000 | 4795181 |
| &nbsp;&nbsp;&nbsp; GO, Refunding, 4.60%, 04/01/38 |  | 22215 | 22583402 |
| &nbsp;&nbsp;&nbsp; University of California, RB, Series AD, 4.86%, <br> 05/15/2112<br>|  | 2467 | 2070143 |
|  |  |  | 44306306 |
| **Georgia — 0.0%** | **Georgia — 0.0%** | **Georgia — 0.0%** | **Georgia — 0.0%** |
| &nbsp;&nbsp;&nbsp; Municipal Electric Authority of Georgia, RB, <br> 6.64%, 04/01/57<br>|  | 3139 | 3392492 |
| **Illinois — 0.1%** | **Illinois — 0.1%** | **Illinois — 0.1%** | **Illinois — 0.1%** |
| State of Illinois, GO, 5.10%, 06/01/33 |  | 15387 | 15422952 |
| **Louisiana — 0.0%** | **Louisiana — 0.0%** | **Louisiana — 0.0%** | **Louisiana — 0.0%** |
| &nbsp;&nbsp;&nbsp; Louisiana Local Government Environmental <br> Facilities & Community Development Authority, <br> RB, Series 2022-ELL, Class A2, 4.15%, <br> 02/01/33<br>|  | 2630 | 2595070 |
| **New Jersey — 0.0%** | **New Jersey — 0.0%** | **New Jersey — 0.0%** | **New Jersey — 0.0%** |
| &nbsp;&nbsp;&nbsp; New Jersey Turnpike Authority, RB, Series F, <br> 7.41%, 01/01/40<br>|  | 4596 | 5486888 |
| **New York — 0.1%** | **New York — 0.1%** | **New York — 0.1%** | **New York — 0.1%** |
| Metropolitan Transportation Authority |  |  |  |
| &nbsp;&nbsp;&nbsp; RB, 6.67%, 11/15/39 |  | 3060 | 3293121 |
| &nbsp;&nbsp;&nbsp; RB, Series E, 6.81%, 11/15/40 |  | 655 | 711625 |
| New York City Water & Sewer System |  |  |  |
| &nbsp;&nbsp;&nbsp; RB, 6.01%, 06/15/42 |  | 2430 | 2519323 |
| &nbsp;&nbsp;&nbsp; RB, 5.88%, 06/15/44 |  | 1665 | 1682585 |
| &nbsp;&nbsp;&nbsp; New York State Dormitory Authority, RB, Series H, <br> 5.39%, 03/15/40<br>|  | 1470 | 1456432 |
| Port Authority of New York & New Jersey |  |  |  |
| &nbsp;&nbsp;&nbsp; RB, 5.65%, 11/01/40 |  | 2780 | 2905952 |
| &nbsp;&nbsp;&nbsp; RB, 4.93%, 10/01/51 |  | 1400 | 1290700 |
| &nbsp;&nbsp;&nbsp; RB, Series 181, 4.96%, 08/01/46 |  | 5020 | 4697770 |
|  |  |  | 18557508 |
| **Ohio — 0.0%** | **Ohio — 0.0%** | **Ohio — 0.0%** | **Ohio — 0.0%** |
| &nbsp;&nbsp;&nbsp; American Municipal Power, Inc., RB, Series B, <br> 8.08%, 02/15/50<br>|  | 3555 | 4514776 |
| **Texas — 0.1%** | **Texas — 0.1%** | **Texas — 0.1%** | **Texas — 0.1%** |
| &nbsp;&nbsp;&nbsp; City of San Antonio, TX Electric & Gas Systems <br> Revenue, RB, 5.81%, 02/01/41<br>|  | 4375 | 4409195 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Texas (continued)** | **Texas (continued)** | **Texas (continued)** | **Texas (continued)** |
| &nbsp;&nbsp;&nbsp; Port of Beaumont Navigation District RB, <br> Refunding RB, Series B, 10.00%, 07/01/26<sup>(a)</sup><br>| USD  | 10185 | $10426222 |
| State of Texas, GO, 5.52%, 04/01/39 |  | 5715 | 5881128 |
|  |  |  | 20716545 |
| **Total Municipal Bonds — 0.6%** <br>**(Cost: $128,391,482)** | **Total Municipal Bonds — 0.6%** <br>**(Cost: $128,391,482)** | **Total Municipal Bonds — 0.6%** <br>**(Cost: $128,391,482)** | 114992537 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 6.1%** | **Collateralized Mortgage Obligations — 6.1%** | **Collateralized Mortgage Obligations — 6.1%** | **Collateralized Mortgage Obligations — 6.1%** |
| A&D Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM5, Class A1, 7.05%, <br> 11/25/68<sup>(a)(c)</sup><br>|  | 8178 | 8287461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.70%, <br> 11/25/69<sup>(a)</sup><br>|  | 2206 | 2214530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class M1, 6.52%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 2033 | 2060086 |
| &nbsp;&nbsp;&nbsp; ACRA Trust, Series 2024-NQM1, Class A1, <br> 5.61%, 10/25/64<sup>(a)(c)</sup><br>|  | 4497 | 4499717 |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, Series 2005-8, <br> Class 3A1, 5.11%, 11/25/35<sup>(b)</sup><br>|  | 3315 | 2310131 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-D, Class B, 0.00%, 12/25/57<sup>(a)(b)</sup> |  | 1 | 499 |
| &nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 0.00%, 09/27/60<sup>(a)</sup> |  | 70 | 980 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 5.12%, 01/25/61<sup>(a)(c)</sup> |  | 6817 | 6797868 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 6.72%, 01/25/61<sup>(a)(c)</sup> |  | 3395 | 3347611 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 0.00%, 01/25/61<sup>(a)</sup> |  | 8062 | 9410036 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class A, 5.00%, 03/25/60<sup>(a)(c)</sup> |  | 14241 | 14255800 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class B, 4.00%, 03/25/60<sup>(a)(b)</sup> |  | 5914 | 6468313 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class C, 0.00%, 03/25/60<sup>(a)(b)</sup> |  | 8488 | 10061449 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A1, 1.74%, 12/25/60<sup>(a)(b)</sup> |  | 19749 | 17342498 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A2, 2.69%, 12/25/60<sup>(a)(b)</sup> |  | 4422 | 3380888 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B1, 3.73%, 12/25/60<sup>(a)(b)</sup> |  | 2669 | 1711395 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B3, 4.01%, 12/25/60<sup>(a)(b)</sup> |  | 7593 | 2259413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class M1, 2.94%, <br> 12/25/60<sup>(a)(b)</sup><br>|  | 1744 | 1254991 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(a)(b)</sup> |  | 48 | 22496 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class A, 4.88%, 06/25/61<sup>(a)(c)</sup> |  | 37786 | 37752779 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class B, 3.75%, 06/25/61<sup>(a)(c)</sup> |  | 12618 | 12507538 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 18847 | 17938128 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A1, 3.50%, 10/25/61<sup>(a)(c)</sup> |  | 12066 | 11676752 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A2, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 1244 | 1127226 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 664 | 599155 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.00%, 10/25/61<sup>(a)</sup> |  | 4977 | 3818205 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 3.00%, 10/25/61<sup>(a)</sup> |  | 2442 | 2638535 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M1, 3.00%, 10/25/61<sup>(a)</sup> |  | 726 | 652840 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M2, 3.00%, 10/25/61<sup>(a)</sup> |  | 3256 | 2594582 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M3, 3.00%, 10/25/61<sup>(a)</sup> |  | 207 | 164776 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A1, 3.50%, 03/27/62<sup>(a)(c)</sup> |  | 17172 | 16567133 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A2, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 937 | 847243 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 803 | 723712 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 3.00%, 03/27/62<sup>(a)</sup> |  | 4464 | 3479962 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class C, 3.00%, 03/27/62<sup>(a)</sup> |  | 4328 | 3336943 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M1, 3.00%, 03/27/62<sup>(a)</sup> |  | 603 | 540829 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M2, 3.00%, 03/27/62<sup>(a)</sup> |  | 2991 | 2590336 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, 3.50%, 07/25/62<sup>(a)(c)</sup> |  | 22171 | 20959776 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 3.00%, 07/25/62<sup>(a)(b)</sup> |  | 1258 | 1119664 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 713 | 615980 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 4194 | 3112712 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class C, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 3204 | 1445577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class M1, 2.50%, <br> 07/25/62<sup>(a)(b)</sup><br>|  | 2160 | 1858265 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A1, 3.50%, 05/25/63<sup>(a)(c)</sup> | USD  | 22037 | $20956625 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A2, 3.00%, 05/25/63<sup>(a)(b)</sup> |  | 1567 | 1382832 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 836 | 712439 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class C, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 7303 | 5259127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class M1, 2.50%, <br> 05/25/63<sup>(a)(b)</sup><br>|  | 731 | 620738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class M2, 2.50%, <br> 05/25/63<sup>(a)(b)</sup><br>|  | 4534 | 3609208 |
| American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3, Class 2A11, (12-mo. Federal <br> Reserve Cumulative Average US + 0.94%), <br> 5.34%, 10/25/46<sup>(b)</sup><br>|  | 562 | 364403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A12, (1-mo. CME Term <br> SOFR + 0.32%), 4.64%, 10/25/46<sup>(b)</sup><br>|  | 1545 | 778161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.70%), <br> 5.10%, 02/25/47<sup>(b)</sup><br>|  | 610 | 211141 |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-4, Class A3, 2.81%, 06/25/65<sup>(a)(b)</sup> |  | 527 | 508741 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> |  | 385 | 362906 |
| &nbsp;&nbsp;&nbsp; Series 2023-7, Class A1, 4.80%, 11/25/67<sup>(a)(c)</sup> |  | 10762 | 10691510 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.21%, 08/25/68<sup>(a)(c)</sup> |  | 1652 | 1644859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-10, Class A1, 5.35%, <br> 10/25/69<sup>(a)(c)</sup><br>|  | 2083 | 2078462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-11, Class A1, 5.70%, <br> 08/25/69<sup>(a)(c)</sup><br>|  | 3498 | 3510342 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> |  | 6984 | 7003097 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust LLC, Series 2020-3, <br> Class A3, 2.87%, 04/25/65<sup>(a)(b)</sup><br>|  | 975 | 931661 |
| &nbsp;&nbsp;&nbsp; APS Resecuritization Trust, Series 2016-1, <br> Class 1MZ, 3.01%, 07/31/57<sup>(a)(b)</sup><br>|  | 7959 | 2945576 |
| Atlas Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.55%), 5.77%, 09/20/61<sup>(b)(e)</sup><br>| GBP  | 518 | 711534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.20%), 6.42%, 09/20/61<sup>(b)(e)</sup><br>|  | 343 | 471884 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust, <br> Series 2006-7, Class A4, 6.50%, 10/25/36<sup>(c)</sup><br>| USD  | 1951 | 517611 |
| Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A6, 5.75%, 01/25/37 |  | 19 | 16266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R2, Class 1C, 0.00%, <br> 11/26/36<sup>(a)(b)</sup><br>|  | 3291 | 1140478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R3, Class 1A2, 3.70%, <br> 03/27/36<sup>(a)(b)</sup><br>|  | 1035 | 879277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-R2, Class 1A1, 4.70%, <br> 05/01/33<sup>(a)(b)</sup><br>|  | 277 | 276760 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A, 5.00%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 11641 | 11608015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class B, 4.63%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 3175 | 3225681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class C, 0.00%, <br> 11/25/51<sup>(a)</sup><br>|  | 6482 | 8621091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 4.55%, <br> 07/25/52<sup>(a)(c)</sup><br>|  | 4695 | 4670904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class A, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 9391 | 9208647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class B, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 2105 | 2058043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class C, 0.00%, <br> 02/25/28<sup>(a)</sup><br>|  | 3536 | 1021639 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class SA, 0.00%, <br> 02/25/28<sup>(a)</sup><br>| USD  | 21 | $17877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.90%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 29264 | 29635137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A2, 7.36%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 4653 | 4720035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A3, 7.69%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 2809 | 2852355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B1, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1917 | 1934551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B2, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1613 | 1604406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B3, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 4413 | 4245948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class M1, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 3196 | 3269301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class SA, 0.00%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1 | 594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.90%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 4291 | 4305974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A2, 6.11%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 2923 | 2931524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A3, 6.31%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 2232 | 2240479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.09%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 1442 | 1460242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B2, 8.70%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 1322 | 1329750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B3, 8.70%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 2836 | 2749663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class M1, 6.80%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 2475 | 2500144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class SA, 0.00%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 6 | 5560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A1, 6.04%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 25028 | 25196548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A2, 6.30%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 1973 | 1985880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A3, 6.50%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 3444 | 3469254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.50%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1983 | 2000131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B2, 8.04%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1816 | 1812098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B3, 8.04%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 4970 | 4735478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class M1, 6.41%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 2891 | 2914460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class SA, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 4 | 4144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A1, 4.79%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 39854 | 39559492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A2, 5.10%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 3749 | 3718909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A3, 5.25%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 4199 | 4172358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B1, 6.96%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1760 | 1760436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B2, 7.57%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1343 | 1317821 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B3, 7.57%, <br> 12/26/64<sup>(a)(b)</sup><br>| USD  | 3073 | $2902899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class M1, 6.31%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 2894 | 2921015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class SA, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 6 | 5591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.66%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 37482 | 37722184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A2, 5.87%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 3420 | 3438599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A3, 5.97%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 3257 | 3278827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B1, 6.94%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 1955 | 1925931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B2, 7.83%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 1700 | 1675682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.83%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 3768 | 3593308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.49%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 3144 | 3192548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class SA, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 7 | 6662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.76%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 30553 | 30874269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A2, 5.94%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 2419 | 2445191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A3, 6.04%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 4753 | 4804034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B1, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 1485 | 1474697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B2, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 589 | 560068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B3, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 109 | 92045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class M1, 6.71%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 3013 | 3064430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class SA, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 2 | 2049 |
| &nbsp;&nbsp;&nbsp; BCAP LLC Trust, Series 2011-RR5, Class 11A5, <br> (1-mo. CME Term SOFR + 0.26%), 4.29%, <br> 05/28/36<sup>(a)(b)</sup><br>|  | 1323 | 1274545 |
| Bear Stearns ALT-A Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-2, Class 22A1, 4.25%, 03/25/36<sup>(b)</sup> |  | 3113 | 2006805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A1, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 01/25/47<sup>(b)</sup><br>|  | 740 | 630442 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AC9, Class A5, 6.25%, <br> 12/25/35<sup>(c)</sup><br>|  | 141 | 137579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC2, Class 1A1, (1-mo. CME <br> Term SOFR + 0.46%), 4.78%, 03/25/36<sup>(b)</sup><br>|  | 3102 | 805838 |
| Bear Stearns Mortgage Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A1, (1-mo. CME Term <br> SOFR + 0.39%), 4.71%, 08/25/36<sup>(b)</sup><br>|  | 251 | 248301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR2, Class A1, (1-mo. CME Term <br> SOFR + 0.45%), 4.77%, 03/25/37<sup>(b)</sup><br>|  | 180 | 170822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR3, Class 1A1, (1-mo. CME <br> Term SOFR + 0.25%), 4.71%, 03/25/37<sup>(b)</sup><br>|  | 306 | 285612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR4, Class 2A1, (1-mo. CME <br> Term SOFR + 0.32%), 4.64%, 06/25/37<sup>(b)</sup><br>|  | 281 | 269440 |
| &nbsp;&nbsp;&nbsp; BlackRock Capital Finance LP, Series 1997-R2, <br> Class AP, 0.00%, 12/25/35<sup>(a)(g)(q)</sup><br>|  | 1 |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Bletchley Park Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-day SONIA + <br> 1.88%), 6.10%, 01/27/70<sup>(b)(e)</sup><br>| GBP  | 891 | $1223453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class E, (1-day SONIA + <br> 3.38%), 7.60%, 01/27/70<sup>(b)(e)</sup><br>|  | 1222 | 1677928 |
| BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class B1, 8.00%, <br> 09/25/63<sup>(a)(b)</sup><br>| USD  | 662 | 666924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.04%, <br> 12/01/63<sup>(a)</sup><br>|  | 353 | 357245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 8.10%, <br> 03/25/64<sup>(a)(b)</sup><br>|  | 527 | 535067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM6, Class B2, 8.04%, <br> 08/01/64<sup>(a)(b)</sup><br>|  | 250 | 247944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, <br> 11/25/64<sup>(a)(c)</sup><br>|  | 8742 | 8783676 |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, Series 2024-RTL1, Class A1, <br> 6.75%, 11/28/31<sup>(a)(c)</sup><br>|  | 1281 | 1298567 |
| Castell PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, (1-day SONIA + <br> 1.55%), 5.77%, 01/27/62<sup>(b)(e)</sup><br>| GBP  | 394 | 541115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-day SONIA + <br> 2.00%), 6.22%, 01/27/62<sup>(b)(e)</sup><br>|  | 233 | 319998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class E, (1-day SONIA + <br> 3.50%), 7.72%, 01/27/62<sup>(b)(e)</sup><br>|  | 666 | 914658 |
| CFMT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M2, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>| USD  | 274 | 259275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M3, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>|  | 675 | 630488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB15, Class M2, 4.00%, <br> 08/25/34<sup>(a)(b)</sup><br>|  | 265 | 254221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R1, Class A1, 4.00%, <br> 10/25/54<sup>(a)(c)</sup><br>|  | 1169 | 1147192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R1, Class A2, 4.00%, <br> 10/25/54<sup>(a)(c)</sup><br>|  | 176 | 168803 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust, Series 2007-S6, <br> Class 1A1, 6.00%, 12/25/37<br>|  | 18756 | 7544852 |
| CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 3.01%, 01/25/67<sup>(a)(b)</sup> |  | 1751 | 1660074 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class A1, 6.00%, 10/25/57<sup>(a)(c)</sup> |  | 489 | 491005 |
| CIM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-I2, Class A2, 6.85%, 12/25/67<sup>(a)(c)</sup> |  | 2791 | 2811448 |
| &nbsp;&nbsp;&nbsp; Series 2025-I1, Class A1, 5.66%, 10/25/69<sup>(a)(c)</sup> |  | 8990 | 9060124 |
| Citadel PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, (1-day SONIA + <br> 1.45%), 5.67%, 04/28/60<sup>(b)(e)</sup><br>| GBP  | 483 | 663872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.75%), 5.97%, 04/28/60<sup>(b)(e)</sup><br>|  | 506 | 695483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.45%), 6.67%, 04/28/60<sup>(b)(e)</sup><br>|  | 553 | 758903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class E, (1-day SONIA + <br> 3.75%), 7.97%, 04/28/60<sup>(b)(e)</sup><br>|  | 539 | 739879 |
| Citicorp Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A14, 6.00%, 05/25/37 | USD  | 597 | 523503 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class 1A1, 6.25%, 12/25/37 |  | 866 | 815152 |
| &nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A1, 6.50%, 06/25/38 |  | 2885 | 2410146 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Series 2007-6, <br> Class 2A1, (1-mo. CME Term SOFR + 0.61%), <br> 4.93%, 05/25/37<sup>(b)</sup><br>|  | 1753 | 1622017 |
| &nbsp;&nbsp;&nbsp; CitiMortgage Alternative Loan Trust, Series 2007-<br> A6, Class 1A11, 6.00%, 06/25/37<br>|  | 428 | 374317 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-3, Class A3, 2.38%, 04/27/65<sup>(a)(b)</sup> | USD  | 145 | $141819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B2, 3.86%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 1000 | 776268 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B2, 4.16%, 12/27/66<sup>(a)(b)</sup> |  | 316 | 269175 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.22%, 02/25/67<sup>(a)(b)</sup> |  | 1000 | 861614 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B2, 4.22%, 02/25/67<sup>(a)(b)</sup> |  | 1300 | 1071745 |
| &nbsp;&nbsp;&nbsp; Series 2022-5, Class B1, 4.68%, 03/25/67<sup>(a)(b)</sup> |  | 2398 | 2217457 |
| &nbsp;&nbsp;&nbsp; Series 2022-8, Class B1, 6.49%, 08/25/67<sup>(a)(b)</sup> |  | 1172 | 1166530 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class A1, 5.39%, 11/25/69<sup>(a)(c)</sup> |  | 3055 | 3057476 |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A1, 5.50%, <br> 06/25/35<br>|  | 86 | 69245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 06/25/35<sup>(b)</sup><br>|  | 2571 | 2265667 |
| &nbsp;&nbsp;&nbsp; Series 2005-29CB, Class A6, 5.50%, 07/25/35 |  | 299 | 172813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55CW, Class 2A3, (1-mo. CME <br> Term SOFR + 0.46%), 4.79%, 11/25/35<sup>(b)</sup><br>|  | 575 | 427606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class 1A1, (1-mo. CME Term <br> SOFR + 0.77%), 5.10%, 11/20/35<sup>(b)</sup><br>|  | 611 | 600423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-76, Class 2A1, (12-mo. Federal <br> Reserve Cumulative Average US + 1.00%), <br> 5.40%, 02/25/36<sup>(b)</sup><br>|  | 391 | 355330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11CB, Class 3A1, 6.50%, <br> 05/25/36<br>|  | 1355 | 611578 |
| &nbsp;&nbsp;&nbsp; Series 2006-15CB, Class A1, 6.50%, 06/25/36 |  | 306 | 139891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14, 6.25%, <br> 10/25/36<br>|  | 1131 | 557574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6CB, Class 2A10, 6.00%, <br> 05/25/36<br>|  | 221 | 83058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA11, Class A4, (1-mo. CME <br> Term SOFR + 0.49%), 4.81%, 09/25/46<sup>(b)</sup><br>|  | 267 | 248244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA14, Class 1A1, (12-mo. <br> Federal Reserve Cumulative Average US + <br> 1.73%), 6.13%, 11/25/46<sup>(b)</sup><br>|  | 1752 | 1445792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA16, Class A2, (1-mo. CME <br> Term SOFR + 0.49%), 4.81%, 10/25/46<sup>(b)</sup><br>|  | 2016 | 1875137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA16, Class A4C, (1-mo. CME <br> Term SOFR + 0.79%), 5.11%, 10/25/46<sup>(b)</sup><br>|  | 2935 | 2165147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA21, Class A1, (1-mo. CME <br> Term SOFR + 0.30%), 4.62%, 03/20/47<sup>(b)</sup><br>|  | 4384 | 3761339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA8, Class 1A1, (1-mo. CME <br> Term SOFR + 0.49%), 4.81%, 07/25/46<sup>(b)</sup><br>|  | 227 | 204575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC1, Class 1A1, (1-mo. CME <br> Term SOFR + 0.57%), 4.89%, 03/25/36<sup>(b)</sup><br>|  | 1015 | 1000011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC10, Class 2A3, (1-mo. CME <br> Term SOFR + 0.57%), 4.89%, 11/25/36<sup>(b)</sup><br>|  | 1574 | 1357891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC7, Class 2A3, (1-mo. CME <br> Term SOFR + 0.61%), 4.93%, 07/25/46<sup>(b)</sup><br>|  | 1481 | 1277442 |
| &nbsp;&nbsp;&nbsp; Series 2007-14T2, Class A1, 6.00%, 07/25/37 |  | 2091 | 1067516 |
| &nbsp;&nbsp;&nbsp; Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |  | 266 | 117040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AL1, Class A1, (1-mo. CME Term <br> SOFR + 0.36%), 4.68%, 06/25/37<sup>(b)</sup><br>|  | 4094 | 3419273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA3, Class 1A1, (1-mo. CME <br> Term SOFR + 0.39%), 4.71%, 04/25/47<sup>(b)</sup><br>|  | 547 | 501823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA8, Class 2A1, (1-mo. CME <br> Term SOFR + 0.47%), 4.79%, 06/25/47<sup>(b)</sup><br>|  | 170 | 133242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OH2, Class A2A, (1-mo. CME <br> Term SOFR + 0.59%), 4.91%, 08/25/47<sup>(b)</sup><br>|  | 187 | 165336 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| &nbsp;&nbsp;&nbsp; Countrywide Home Loan Mortgage Pass-Through <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-29, Class 1A1, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 02/25/35<sup>(b)</sup><br>| USD  | 63 | $60550 |
| &nbsp;&nbsp;&nbsp; Series 2005-16, Class A28, 5.50%, 09/25/35 |  | 2697 | 1634392 |
| &nbsp;&nbsp;&nbsp; Series 2006-17, Class A6, 6.00%, 12/25/36 |  | 265 | 116870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA4, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.96%), <br> 5.36%, 04/25/46<sup>(b)</sup><br>|  | 1205 | 327803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA5, Class 3A1, (1-mo. CME <br> Term SOFR + 0.51%), 4.83%, 04/25/46<sup>(b)</sup><br>|  | 340 | 327346 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, 6.00%, 03/25/37 |  | 405 | 179064 |
| &nbsp;&nbsp;&nbsp; Series 2007-15, Class 2A2, 6.50%, 09/25/37 |  | 7345 | 2629438 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A1, 5.75%, 07/25/37 |  | 1309 | 612433 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A11, 5.75%, 07/25/37 |  | 715 | 334682 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Capital Certificates, <br> Series 2009-12R, Class 3A1, 6.50%, <br> 10/27/37<sup>(a)</sup><br>|  | 8101 | 3042929 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A3, 6.00%, 05/25/36 |  | 967 | 513023 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A4, 6.00%, 05/25/36 |  | 731 | 387809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4R, Class 16A3, (1-mo. CME <br> Term SOFR + 0.31%), 5.10%, 02/27/36<sup>(a)(b)</sup><br>|  | 0 | 325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-9R, Class 9A1, (1-mo. CME Term <br> SOFR + 0.23%), 4.68%, 08/27/36<sup>(a)(b)</sup><br>|  | 532 | 437720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6R, Class 5A2, (1-mo. CME Term <br> SOFR + 0.29%), 3.66%, 03/27/36<sup>(a)(b)</sup><br>|  | 1441 | 1114676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM8, Class M1, 3.26%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 759 | 564554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL9, Class A1, 3.78%, <br> 02/25/61<sup>(a)(b)</sup><br>|  | 8838 | 8752869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ATH3, Class B1, 7.10%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 2276 | 2278408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM3, Class A1B, 4.27%, <br> 03/25/67<sup>(a)(b)</sup><br>|  | 3821 | 3730546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM6, Class PT, 8.85%, <br> 12/25/67<sup>(a)(b)</sup><br>|  | 10753 | 10690341 |
| Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-H2, Class A1A, 7.14%, <br> 11/25/68<sup>(a)(c)</sup><br>|  | 2201 | 2234204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-H7, Class A1, 5.59%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 4549 | 4562028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H1, Class A1, 5.74%, <br> 02/25/70<sup>(a)(b)</sup><br>|  | 5340 | 5365458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, <br> 03/25/70<sup>(a)(b)</sup><br>|  | 2012 | 2011811 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through <br> Certificates, Series 2005-10, Class 10A1, (1-<br> mo. CME Term SOFR + 1.46%), 5.78%, <br> 11/25/35<sup>(b)</sup><br>|  | 1191 | 252965 |
| Deephaven Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 4.31%, 03/25/67<sup>(a)(b)</sup> |  | 1629 | 1441149 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 5.27%, 07/25/67<sup>(a)(b)</sup> |  | 1716 | 1509212 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class M1, 5.27%, 07/25/67<sup>(a)(b)</sup> |  | 3171 | 2939574 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.74%, 07/25/69<sup>(a)(c)</sup> |  | 2310 | 2321974 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities Mortgage Loan Trust, <br> Series 2007-OA4, Class A2A, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 08/25/47<sup>(b)</sup><br>|  | 746 | 681140 |
| Deutsche Alt-B Securities Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AB3, Class A3, 6.51%, <br> 07/25/36<sup>(b)</sup><br>|  | 249 | 216644 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Deutsche Alt-B Securities Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AB3, Class A8, 6.36%, <br> 07/25/36<sup>(b)</sup><br>| USD  | 159 | $138153 |
| Ellington Financial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class B2, 5.91%, 09/25/67<sup>(a)(b)</sup> |  | 2288 | 1980332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1A, 5.71%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 4271 | 4284712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class A1, 5.63%, <br> 03/25/70<sup>(a)(c)</sup><br>|  | 5630 | 5644707 |
| Exmoor Funding PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, (1-day SONIA + <br> 1.90%), 6.14%, 03/25/94<sup>(b)(e)</sup><br>| GBP  | 454 | 628967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.80%), 7.04%, 03/25/94<sup>(b)(e)</sup><br>|  | 197 | 269944 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities <br> Trust, Series 2005-AA12, Class 2A1, 4.94%, <br> 02/25/36<sup>(b)</sup><br>| USD  | 19 | 11534 |
| &nbsp;&nbsp;&nbsp; GAEA Mortgage Loan Trust, Series 2025-A, <br> Class A, 6.75%, 02/25/30<sup>(a)(b)</sup><br>|  | 2183 | 2142352 |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM3, Class B1, 3.47%, <br> 05/25/66<sup>(a)(b)</sup><br>|  | 1642 | 1197100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HX1, Class A1, 2.89%, <br> 12/27/66<sup>(a)(b)</sup><br>|  | 278 | 259298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 3.92%, <br> 02/25/67<sup>(a)(b)</sup><br>|  | 564 | 426673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM2, Class M1, 4.20%, <br> 02/25/67<sup>(a)(b)</sup><br>|  | 853 | 709127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM4, Class A1, 5.27%, <br> 08/25/67<sup>(a)(c)</sup><br>|  | 4948 | 4929629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM4, Class A1, 4.25%, <br> 05/25/67<sup>(a)(b)</sup><br>|  | 5888 | 5590016 |
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, Series 2006-<br> AR2, Class 4A1, (12-mo. Federal Reserve <br> Cumulative Average US + 2.00%), 6.40%, <br> 03/25/36<sup>(b)</sup><br>|  | 388 | 362844 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, Series 2019-PJ2, <br> Class B4, 4.37%, 11/25/49<sup>(a)(b)</sup><br>|  | 1388 | 1257935 |
| GS Mortgage-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A4, 4.00%, <br> 05/25/62<sup>(a)(b)</sup><br>|  | 590 | 537830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CCM1, Class B1, 7.40%, <br> 08/25/53<sup>(a)(b)</sup><br>|  | 1022 | 1016519 |
| GSR Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1F, Class 2A4, 5.50%, 01/25/37 |  | 22 | 42669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA2, Class 2A1, 2.86%, <br> 06/25/47<sup>(b)</sup><br>|  | 781 | 458057 |
| HarborView Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12, Class 1A1A, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 12/19/36<sup>(b)</sup><br>|  | 5028 | 3937188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3, Class 1A1A, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 05/19/37<sup>(b)</sup><br>|  | 1499 | 1188408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class 2A2, (1-mo. CME Term <br> SOFR + 0.61%), 4.68%, 07/19/47<sup>(b)</sup><br>|  | 357 | 332476 |
| &nbsp;&nbsp;&nbsp; HOMES Trust, Series 2024-NQM2, Class A1, <br> 5.72%, 10/25/69<sup>(a)(c)</sup><br>|  | 4483 | 4503680 |
| Homeward Opportunities Fund I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 3.20%, 05/25/65<sup>(a)(b)</sup> |  | 4156 | 4110647 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 5.45%, 05/25/65<sup>(a)(b)</sup> |  | 809 | 806277 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(c)</sup> |  | 8738 | 8690135 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class M1, 5.04%, 07/25/67<sup>(a)(b)</sup> |  | 3380 | 3303620 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Impac CMB Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11, Class 1A2, (1-mo. CME Term <br> SOFR + 0.63%), 4.95%, 03/25/35<sup>(b)</sup><br>| USD  | 570 | $751427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 1A1, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 10/25/35<sup>(b)</sup><br>|  | 409 | 367371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A, Class A, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 05/25/37<sup>(a)(b)</sup><br>|  | 875 | 847864 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust, Series 2006-3, <br> Class A1, (1-mo. CME Term SOFR + 0.45%), <br> 4.77%, 11/25/36<sup>(b)</sup><br>|  | 1649 | 1497430 |
| IndyMac Index Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR15, Class A1, (1-mo. CME <br> Term SOFR + 0.35%), 4.67%, 07/25/36<sup>(b)</sup><br>|  | 268 | 261878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR35, Class 2A1A, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 01/25/37<sup>(b)</sup><br>|  | 534 | 477407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR41, Class A3, (1-mo. CME <br> Term SOFR + 0.47%), 4.79%, 02/25/37<sup>(b)</sup><br>|  | 375 | 353185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR19, Class 3A1, 4.01%, <br> 09/25/37<sup>(b)</sup><br>|  | 2406 | 1564912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX5, Class 2A2, (1-mo. CME <br> Term SOFR + 0.59%), 4.91%, 08/25/37<sup>(b)</sup><br>|  | 494 | 451317 |
| JPMorgan Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A4, (1-mo. CME Term <br> SOFR + 0.53%), 4.85%, 03/25/37<sup>(b)</sup><br>|  | 578 | 478549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 4.83%, <br> 05/25/37<sup>(b)</sup><br>|  | 151 | 133852 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B3, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 3464 | 2786291 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B4, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 269 | 212008 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B5, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 202 | 148182 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B6, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 611 | 216965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class A5A, 2.50%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 8202 | 6634429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class B4, 3.19%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 1216 | 998081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class B5, 3.19%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 425 | 324875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class B6, 3.04%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 1458 | 706254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 21622 | 19439458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 10539 | 7058898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A5A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 4886 | 3952654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B1, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 3086 | 2629304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B2, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 725 | 610838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B3, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 1008 | 840486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B4, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 536 | 435609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B5, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 220 | 168380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B6, 3.13%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 721 | 341006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS1, Class B2, 8.07%, <br> 07/25/64<sup>(a)(b)</sup><br>|  | 507 | 500966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS2, Class B1, 7.72%, <br> 11/25/64<sup>(a)(b)</sup><br>|  | 2216 | 2220836 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| &nbsp;&nbsp;&nbsp; Jubilee Place 7 BV, Series 7, Class D, (3-mo. <br> EURIBOR + 1.90%), 3.90%, 09/18/62<sup>(b)(e)</sup><br>| EUR  | 185 | $215998 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, Series 2021-GS2, <br> Class A1, 5.75%, 04/25/61<sup>(a)(c)</sup><br>| USD  | 14133 | 14130145 |
| Lehman XS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16N, Class AF2, (1-mo. CME <br> Term SOFR + 2.01%), 6.33%, 09/25/47<sup>(b)</sup><br>|  | 1526 | 2059340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-20N, Class A1, (1-mo. CME Term <br> SOFR + 2.41%), 6.73%, 12/25/37<sup>(b)</sup><br>|  | 372 | 362127 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust, Series 2008-3, <br> Class A1, 4.26%, 08/25/37<sup>(a)(b)</sup><br>|  | 615 | 188285 |
| MCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Cert, 0.00%, <br> 09/25/31<sup>(d)</sup><br>|  | 16232 | 11178732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Note, 2.50%, <br> 09/25/31<br>|  | 12115 | 11636284 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Alternative Note Asset Trust, <br> Series 2007-OAR2, Class A2, (1-mo. CME <br> Term SOFR + 0.53%), 4.85%, 04/25/37<sup>(b)</sup><br>|  | 898 | 704597 |
| Merrill Lynch Mortgage Investors Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 5.21%, <br> 05/25/36<sup>(b)</sup><br>|  | 511 | 474547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AF2, Class AV1, (1-mo. CME <br> Term SOFR + 0.43%), 4.75%, 09/25/37<sup>(b)</sup><br>|  | 671 | 353220 |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM1, Class A3, 3.30%, <br> 08/25/49<sup>(a)(b)</sup><br>|  | 83 | 78125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class B1, 3.51%, <br> 04/25/65<sup>(a)(b)</sup><br>|  | 3310 | 2695311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 4.22%, <br> 12/25/66<sup>(a)(b)</sup><br>|  | 1000 | 833463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class M1, 4.22%, <br> 12/25/66<sup>(a)(b)</sup><br>|  | 3429 | 2979728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 7.09%, <br> 02/25/29<sup>(a)(c)</sup><br>|  | 5663 | 5681892 |
| &nbsp;&nbsp;&nbsp; Miltonia Mortgage Finance Srl, Series 1, Class B, <br> (3-mo. EURIBOR + 1.30%), 3.46%, <br> 04/28/62<sup>(b)(e)</sup><br>| EUR  | 1776 | 2062569 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Resecuritization Trust, <br> Series 2013-R7, Class 1B, (1-mo. CME Term <br> SOFR + 0.27%), 4.76%, 12/26/46<sup>(a)(b)</sup><br>| USD  | 633 | 586918 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class B3, 5.96%, <br> 06/25/44<sup>(a)(b)</sup><br>|  | 323 | 325383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM1, Class B1, 7.41%, <br> 09/25/68<sup>(a)(b)</sup><br>|  | 1302 | 1296143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.74%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 8001 | 8050212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.50%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 1220 | 1225621 |
| &nbsp;&nbsp;&nbsp; Mortgage Loan Resecuritization Trust, <br> Series 2009-RS1, Class A85, (1-mo. CME <br> Term SOFR + 0.34%), 4.78%, 04/16/36<sup>(a)(b)</sup><br>|  | 1328 | 1302960 |
| Mortimer PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MIX, Class C, (1-day SONIA + <br> 1.55%), 5.79%, 09/22/67<sup>(b)(e)</sup><br>| GBP  | 654 | 900256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MIX, Class D, (1-day SONIA + <br> 2.10%), 6.34%, 09/22/67<sup>(b)(e)</sup><br>|  | 357 | 490996 |
| NACC Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-R1, Class A1, 6.50%, 03/25/34<sup>(a)</sup> | USD  | 1418 | 1288177 |
| &nbsp;&nbsp;&nbsp; Series 2004-R1, Class A2, 7.50%, 03/25/34<sup>(a)</sup> |  | 325 | 304818 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1, 4.25%, <br> 12/25/57<sup>(a)(b)</sup><br>| USD  | 599 | $586924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-RPL1, Class B3, 3.85%, <br> 11/25/59<sup>(a)(b)</sup><br>|  | 6210 | 4727904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.17%, <br> 11/25/64<sup>(a)(b)</sup><br>|  | 781 | 767438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 0.00%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 12415 | 12494956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.47%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 679 | 685180 |
| New York Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-INV1, Class A1, 5.38%, <br> 06/25/69<sup>(a)(b)</sup><br>|  | 1212 | 1211330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RR1, Class A, 7.38%, <br> 05/25/64<sup>(a)(c)</sup><br>|  | 6747 | 6707579 |
| &nbsp;&nbsp;&nbsp; NLT Trust, Series 2021-INV2, Class B1, 3.32%, <br> 08/25/56<sup>(a)(b)</sup><br>|  | 910 | 688406 |
| &nbsp;&nbsp;&nbsp; NMLT Trust, Series 2021-INV1, Class B1, 3.61%, <br> 05/25/56<sup>(a)(b)</sup><br>|  | 1327 | 1030745 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-R1A, Class A, 7.00%, <br> 02/19/30<sup>(a)(b)</sup><br>|  | 223 | 220537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AF1, Class 1A4, 7.13%, <br> 05/25/36<sup>(c)</sup><br>|  | 502 | 89027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A4, (1-mo. CME Term <br> SOFR + 0.95%), 5.27%, 06/25/37<sup>(b)</sup><br>|  | 228 | 190600 |
| &nbsp;&nbsp;&nbsp; OBX Trust, Series 2025-NQM3, Class A1, 5.65%, <br> 12/01/64<sup>(a)(c)</sup><br>|  | 5223 | 5250928 |
| Pierpont BTL PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, (1-day SONIA + <br> 2.20%), 6.44%, 09/21/61<sup>(b)(e)</sup><br>| GBP  | 322 | 443606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, (1-day SONIA + <br> 1.85%), 6.08%, 03/21/62<sup>(b)(e)</sup><br>|  | 151 | 207351 |
| &nbsp;&nbsp;&nbsp; PRET LLC, Series 2024-RN2, Class A1, 7.13%, <br> 04/25/54<sup>(a)(c)</sup><br>| USD  | 2016 | 2028202 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, <br> 11/25/56<sup>(a)(b)</sup><br>|  | 1253 | 1109140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC1, Class A1A, 4.10%, <br> 04/25/57<sup>(a)(b)</sup><br>|  | 633 | 625370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC2, Class A1, 5.34%, <br> 08/25/57<sup>(a)(b)</sup><br>|  | 4668 | 4651611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AFC1, Class B1, 7.44%, <br> 02/25/58<sup>(a)(b)</sup><br>|  | 2349 | 2359108 |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.41%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 471 | 458577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 7.48%, <br> 12/25/68<sup>(a)(b)</sup><br>|  | 1346 | 1340902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 4795 | 4834452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1A, 6.65%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 983 | 998331 |
| &nbsp;&nbsp;&nbsp; Rain City Mortgage Trust, Series 2024-RTL1, <br> Class A1, 6.53%, 11/25/29<sup>(a)(b)</sup><br>|  | 1198 | 1206580 |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QA10, Class A2, (1-mo. CME <br> Term SOFR + 0.47%), 4.79%, 12/25/36<sup>(b)</sup><br>|  | 2299 | 2007626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QH9, Class A1, 6.10%, <br> 11/25/37<sup>(b)</sup><br>|  | 436 | 364842 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QO2, Class A1, (1-mo. CME Term <br> SOFR + 0.26%), 4.58%, 02/25/47<sup>(b)</sup><br>| USD  | 221 | $66931 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2024-CES8, <br> Class A1A, 5.49%, 11/25/44<sup>(a)(c)</sup><br>|  | 1982 | 1985581 |
| Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R2, Class 1AF1, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 06/25/35<sup>(a)(b)</sup><br>|  | 151 | 145404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R3, Class AF, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 09/25/35<sup>(a)(b)</sup><br>|  | 52 | 42644 |
| Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B2, 6.04%, 05/25/59<sup>(a)(b)</sup> |  | 2434 | 2402572 |
| &nbsp;&nbsp;&nbsp; Series 2019-3, Class B2, 5.66%, 09/25/59<sup>(a)(b)</sup> |  | 282 | 276993 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 3.57%, 05/25/60<sup>(a)(b)</sup> |  | 7854 | 7461336 |
| RFMSI Series Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA2, Class 2A1, 5.63%, <br> 08/25/36<sup>(b)</sup><br>|  | 4143 | 2938755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.54%, <br> 11/25/36<sup>(b)</sup><br>|  | 192 | 157911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SA4, Class 3A1, 5.83%, <br> 10/25/37<sup>(b)</sup><br>|  | 258 | 157958 |
| RMF Buyout Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M3, 3.69%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 3112 | 2942945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M6, 6.00%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 2267 | 2012302 |
| Saluda Grade Alternative Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL4, Class A1, 7.50%, <br> 02/25/30<sup>(a)(c)</sup><br>|  | 9935 | 9995627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 7.76%, <br> 04/25/30<sup>(a)(c)</sup><br>|  | 5768 | 5805620 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust, <br> Series 2018-1, Class BX, 3.50%, 05/25/57<sup>(b)</sup><br>|  | 518 | 229014 |
| Seasoned Loans Structured Transaction Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 4.75%, 09/25/60<sup>(a)(b)</sup> |  | 8832 | 8739084 |
| &nbsp;&nbsp;&nbsp; Series 2020-3, Class M1, 4.75%, 04/26/60<sup>(a)(b)</sup> |  | 376 | 371378 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust, Series 2007-3, <br> Class 2AA1, 4.50%, 07/20/37<sup>(b)</sup><br>|  | 648 | 511947 |
| SG Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup> |  | 1059 | 1056406 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class B1, 5.30%, 08/25/62<sup>(a)(b)</sup> |  | 2583 | 2526462 |
| &nbsp;&nbsp;&nbsp; Spruce Hill Mortgage Loan Trust, Series 2022-<br> SH1, Class A3, 4.10%, 07/25/57<sup>(a)(c)</sup><br>|  | 876 | 838938 |
| &nbsp;&nbsp;&nbsp; Stratton Mortgage Funding PLC, Series 2024-3, <br> Class C, (1-day SONIA + 1.50%), 5.74%, <br> 06/25/49<sup>(b)(e)</sup><br>| GBP  | 492 | 674572 |
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, <br> Series 2006-3, Class 4A, 4.08%, 04/25/36<sup>(b)</sup><br>| USD  | 496 | 259227 |
| Structured Asset Mortgage Investments II Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR4, Class 3A1, (1-mo. CME <br> Term SOFR + 0.49%), 4.81%, 06/25/36<sup>(b)</sup><br>|  | 1562 | 1356634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR5, Class 2A1, (1-mo. CME <br> Term SOFR + 0.53%), 4.85%, 05/25/46<sup>(b)</sup><br>|  | 281 | 197952 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust, <br> Series 2006-3, Class A1, 4.20%, 06/25/46<sup>(b)</sup><br>|  | 958 | 574057 |
| Together Asset-Backed Securitisation-1 PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE1, Class B, (1-day SONIA + <br> 1.50%), 5.72%, 01/15/57<sup>(b)(e)</sup><br>| GBP  | 860 | 1181294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE1, Class C, (1-day SONIA + <br> 1.80%), 6.02%, 01/15/57<sup>(b)(e)</sup><br>|  | 511 | 705555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE1, Class D, (1-day SONIA + <br> 2.40%), 6.62%, 01/15/57<sup>(b)(e)</sup><br>|  | 223 | 306389 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Toorak Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class B1, 3.29%, <br> 07/25/56<sup>(a)(b)</sup><br>| USD  | 937 | $765554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV2, Class B1, 4.10%, <br> 11/25/56<sup>(a)(b)</sup><br>|  | 3051 | 2454203 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, Series 2024-2, Class A1, <br> 6.33%, 10/25/31<sup>(a)(c)</sup><br>|  | 937 | 935069 |
| TVC DSCR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 21-1, Class A, 2.38%, 02/01/51<sup>(a)</sup> |  | 15094 | 13848671 |
| &nbsp;&nbsp;&nbsp; Series 21-1, Class CERT, 0.00%, 02/01/51 |  | 7160 | 6145670 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-INV3, Class B1, 3.73%, <br> 11/25/59<sup>(a)(b)</sup><br>|  | 800 | 779185 |
| &nbsp;&nbsp;&nbsp; Series 2020-4, Class A3, 3.32%, 05/25/65<sup>(a)(c)</sup> |  | 326 | 320207 |
| &nbsp;&nbsp;&nbsp; Series 2020-4, Class M1, 3.29%, 05/25/65<sup>(a)(b)</sup> |  | 3120 | 3058974 |
| &nbsp;&nbsp;&nbsp; Series 2020-5, Class B1, 3.71%, 05/25/65<sup>(a)(b)</sup> |  | 400 | 364521 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class B1, 3.20%, 06/25/66<sup>(a)(b)</sup> |  | 1668 | 1187769 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class B1, 4.05%, 10/25/66<sup>(a)(b)</sup> |  | 291 | 226315 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class M1, 2.94%, 10/25/66<sup>(a)(b)</sup> |  | 806 | 591738 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 4.01%, 01/25/67<sup>(a)(b)</sup> |  | 1354 | 1029088 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.06%, 02/25/67<sup>(a)(b)</sup> |  | 3879 | 3072319 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class B1, 4.77%, 04/25/67<sup>(a)(b)</sup> |  | 616 | 553089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-INV1, Class B1, 5.79%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 606 | 593520 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class B1, 7.48%, 03/25/68<sup>(a)(b)</sup> |  | 2041 | 2038760 |
| &nbsp;&nbsp;&nbsp; Series 2023-3, Class B1, 7.76%, 03/25/68<sup>(a)(b)</sup> |  | 543 | 543994 |
| &nbsp;&nbsp;&nbsp; Series 2024-7, Class B1, 6.50%, 09/25/69<sup>(a)(b)</sup> |  | 870 | 859773 |
| Visio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B1, 3.91%, 11/25/54<sup>(a)(b)</sup> |  | 906 | 813131 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class M1, 4.45%, 08/25/55<sup>(a)(b)</sup> |  | 1100 | 1055947 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 5.94%, 08/25/57<sup>(a)(b)</sup> |  | 2429 | 2244418 |
| Vista Point Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 2.50%, 04/25/65<sup>(a)(b)</sup> |  | 560 | 539324 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 4.90%, 04/25/65<sup>(a)(b)</sup> |  | 640 | 626308 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B2, 5.16%, 04/25/65<sup>(a)(b)</sup> |  | 500 | 476679 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 3.40%, 04/25/65<sup>(a)(b)</sup> |  | 1480 | 1404659 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through <br> Certificates Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-1, Class 4CB, 6.50%, 02/25/36 |  | 765 | 610908 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 6.00%, 04/25/36 |  | 1554 | 1461120 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A1, 7.00%, 05/25/36<sup>(c)</sup> |  | 695 | 611261 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A5, 6.85%, 05/25/36<sup>(c)</sup> |  | 269 | 237010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class A2A, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 12/25/36<sup>(b)</sup><br>|  | 609 | 500109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY3, Class 4A1, 5.10%, <br> 03/25/37<sup>(b)</sup><br>|  | 24 | 22476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.72%), <br> 5.12%, 12/25/46<sup>(b)</sup><br>|  | 222 | 179051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA3, Class 5A, (12-mo. Federal <br> Reserve Cumulative Average US + 1.25%), <br> 5.65%, 04/25/47<sup>(b)</sup><br>|  | 817 | 706326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.75%), <br> 5.15%, 06/25/47<sup>(b)</sup><br>|  | 2124 | 1762722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.80%), <br> 5.20%, 06/25/47<sup>(b)</sup><br>|  | 866 | 713987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OC2, Class A3, (1-mo. CME Term <br> SOFR + 0.73%), 5.05%, 06/25/37<sup>(b)</sup><br>|  | 842 | 774469 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Western Alliance Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M1, (SOFR (30-day) + <br> 3.15%), 7.46%, 07/25/59<sup>(a)(b)</sup><br>| USD  | 5763 | $5995130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M2, (SOFR (30-day) + <br> 3.70%), 8.01%, 07/25/59<sup>(a)(b)</sup><br>|  | 7587 | 7905297 |
| Winchester PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1, Class C, (1-day SONIA + 1.55%), <br> 5.85%, 10/21/56<sup>(b)(e)</sup><br>| GBP  | 425 | 581827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1, Class D, (1-day SONIA + 2.00%), <br> 6.30%, 10/21/56<sup>(b)(e)</sup><br>|  | 393 | 538952 |
|  |  |  | 1134584431 |
| **Commercial Mortgage-Backed Securities — 6.4%** | **Commercial Mortgage-Backed Securities — 6.4%** | **Commercial Mortgage-Backed Securities — 6.4%** | **Commercial Mortgage-Backed Securities — 6.4%** |
| 1211 Avenue of the Americas Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1211, Class C, 4.28%, <br> 08/10/35<sup>(a)(b)</sup><br>| USD  | 600 | 560256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1211, Class D, 4.28%, <br> 08/10/35<sup>(a)(b)</sup><br>|  | 4972 | 4592935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1211, Class E, 4.28%, <br> 08/10/35<sup>(a)(b)</sup><br>|  | 1110 | 1014274 |
| 1345 Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class A, (1-mo. CME Term <br> SOFR + 1.60%), 5.90%, 06/15/30<sup>(a)(b)</sup><br>|  | 2695 | 2699206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class E, (1-mo. CME Term <br> SOFR + 4.50%), 8.80%, 06/15/30<sup>(a)(b)</sup><br>|  | 4620 | 4633042 |
| 245 Park Avenue Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class D, 3.78%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 480 | 453146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class E, 3.78%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 2463 | 2302301 |
| 280 Park Avenue Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class A, (1-mo. CME Term <br> SOFR + 1.18%), 5.49%, 09/15/34<sup>(a)(b)</sup><br>|  | 951 | 942096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class B, (1-mo. CME Term <br> SOFR + 1.38%), 5.69%, 09/15/34<sup>(a)(b)</sup><br>|  | 997 | 977060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class D, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 09/15/34<sup>(a)(b)</sup><br>|  | 2920 | 2839700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class E, (1-mo. CME Term <br> SOFR + 2.42%), 6.73%, 09/15/34<sup>(a)(b)</sup><br>|  | 7007 | 6744406 |
| &nbsp;&nbsp;&nbsp; 3650R Commercial Mortgage Trust, Series 2022-<br> PF2, Class A5, 5.47%, 11/15/55<sup>(b)</sup><br>|  | 1000 | 1017839 |
| &nbsp;&nbsp;&nbsp; ACREC LLC, Series 2023-FL2, Class A, (1-mo. <br> CME Term SOFR + 2.23%), 6.54%, <br> 02/19/38<sup>(a)(b)</sup><br>|  | 3847 | 3849827 |
| &nbsp;&nbsp;&nbsp; Alen Mortgage Trust, Series 2021-ACEN, <br> Class A, (1-mo. CME Term SOFR + 1.26%), <br> 5.58%, 04/15/34<sup>(a)(b)</sup><br>|  | 1144 | 1095380 |
| Arbor Multifamily Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-MF1, Class E, 1.75%, 05/15/53<sup>(a)</sup> |  | 636 | 508302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF3, Class A5, 2.58%, <br> 10/15/54<sup>(a)</sup><br>|  | 679 | 600623 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Collateralized Loan Obligation Ltd., <br> Series 2025-BTR1, Class A, (1-mo. CME Term <br> SOFR + 1.93%), 6.23%, 01/20/41<sup>(a)(b)</sup><br>|  | 1120 | 1121291 |
| ARES Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 07/15/41<sup>(a)(b)</sup><br>|  | 8860 | 8873844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 10/15/34<sup>(a)(b)</sup><br>|  | 10370 | 10379700 |
| &nbsp;&nbsp;&nbsp; Ashford Hospitality Trust, Series 2018-ASHF, <br> Class D, (1-mo. CME Term SOFR + 2.27%), <br> 6.58%, 04/15/35<sup>(a)(b)</sup><br>|  | 1525 | 1500234 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Atrium Hotel Portfolio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ATRM, Class D, (1-mo. CME Term <br> SOFR + 2.25%), 6.56%, 12/15/36<sup>(a)(b)</sup><br>| USD  | 3269 | $3072859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class A, 5.59%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 7110 | 7249914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class E, 9.52%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 2226 | 2281654 |
| BAHA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class A, 6.17%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 27690 | 28665713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class B, 7.07%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 1001 | 1046022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class C, 7.77%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 2452 | 2558505 |
| &nbsp;&nbsp;&nbsp; Banc of America Merrill Lynch Commercial <br> Mortgage Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BHP, Class A, (1-mo. CME Term <br> SOFR + 2.35%), 6.66%, 08/15/39<sup>(a)(b)</sup><br>|  | 5800 | 5828939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class A, (1-mo. CME Term <br> SOFR + 1.85%), 6.16%, 02/15/42<sup>(a)(b)</sup><br>|  | 10950 | 10950383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class E, (1-mo. CME Term <br> SOFR + 5.25%), 9.56%, 02/15/42<sup>(a)(b)</sup><br>|  | 4465 | 4436355 |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3A, Class A1, (1-mo. CME Term <br> SOFR + 0.59%), 4.92%, 11/25/35<sup>(a)(b)</sup><br>|  | 1124 | 1081370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4A, Class A1, (1-mo. CME Term <br> SOFR + 0.56%), 4.88%, 01/25/36<sup>(a)(b)</sup><br>|  | 2312 | 2178493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4A, Class A2, (1-mo. CME Term <br> SOFR + 0.70%), 5.02%, 01/25/36<sup>(a)(b)</sup><br>|  | 35 | 32952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4A, Class M1, (1-mo. CME Term <br> SOFR + 0.79%), 5.11%, 01/25/36<sup>(a)(b)</sup><br>|  | 93 | 87862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A2, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 04/25/36<sup>(a)(b)</sup><br>|  | 119 | 111293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2A, Class A2, (1-mo. CME Term <br> SOFR + 0.53%), 4.85%, 07/25/36<sup>(a)(b)</sup><br>|  | 386 | 370115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3A, Class A1, (1-mo. CME Term <br> SOFR + 0.49%), 4.81%, 10/25/36<sup>(a)(b)</sup><br>|  | 153 | 146678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3A, Class A2, (1-mo. CME Term <br> SOFR + 0.56%), 4.88%, 10/25/36<sup>(a)(b)</sup><br>|  | 107 | 102216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4A, Class A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 12/25/36<sup>(a)(b)</sup><br>|  | 708 | 680345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 03/25/37<sup>(a)(b)</sup><br>|  | 550 | 519967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5A, Class A4, (1-mo. CME Term <br> SOFR + 2.36%), 6.68%, 10/25/37<sup>(a)(b)</sup><br>|  | 2824 | 1564505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6A, Class A4A, (1-mo. CME Term <br> SOFR + 1.61%), 6.68%, 12/25/37<sup>(a)(b)</sup><br>|  | 1396 | 1232171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class A4A, (1-mo. CME Term <br> SOFR + 3.86%), 8.18%, 04/25/38<sup>(a)(b)</sup><br>|  | 939 | 925496 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SRCH, Class A1, 3.31%, <br> 08/10/35<sup>(a)</sup><br>|  | 953 | 932763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CHRS, Class E, 4.41%, <br> 08/05/38<sup>(a)(b)</sup><br>|  | 640 | 532033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 5.23%, 03/15/37<sup>(a)(b)</sup><br>|  | 3309 | 3127530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class B, (1-mo. CME Term <br> SOFR + 1.17%), 5.48%, 03/15/37<sup>(a)(b)</sup><br>|  | 1166 | 1072984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5C23, Class D, 7.70%, <br> 12/15/56<sup>(a)(b)</sup><br>|  | 553 | 551621 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C34, Class A3, 5.66%, 05/15/58 |  | 1598 | 1666631 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; BDS Ltd., Series 2022-FL12, Class A, (1-mo. <br> CME Term SOFR + 2.14%), 6.45%, <br> 08/19/38<sup>(a)(b)</sup><br>| USD  | 1449 | $1449452 |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EYP, Class E, (1-mo. CME Term <br> SOFR + 3.81%), 8.13%, 10/15/35<sup>(a)(b)</sup><br>|  | 3978 | 49685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 11/15/41<sup>(a)(b)</sup><br>|  | 3690 | 3694612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class E, (1-mo. CME Term <br> SOFR + 3.64%), 7.95%, 11/15/41<sup>(a)(b)</sup><br>|  | 2290 | 2287594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VICT, Class A, (1-mo. CME Term <br> SOFR + 1.89%), 6.20%, 07/15/41<sup>(a)(b)</sup><br>|  | 4170 | 4180425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class A, (1-mo. CME <br> Term SOFR + 1.55%), 5.85%, 06/15/42<sup>(a)(b)</sup><br>|  | 10008 | 10014255 |
| &nbsp;&nbsp;&nbsp; BHMS, Series 2018-ATLS, Class A, (1-mo. CME <br> Term SOFR + 1.55%), 5.86%, 07/15/35<sup>(a)(b)</sup><br>|  | 3695 | 3693500 |
| &nbsp;&nbsp;&nbsp; BLP Commercial Mortgage Trust, Series 2023-<br> IND, Class A, (1-mo. CME Term SOFR + <br> 1.69%), 6.00%, 03/15/40<sup>(a)(b)</sup><br>|  | 1984 | 1985860 |
| &nbsp;&nbsp;&nbsp; BMP, Series 2024-MF23, Class E, (1-mo. CME <br> Term SOFR + 3.39%), 7.70%, 06/15/41<sup>(a)(b)</sup><br>|  | 2636 | 2627524 |
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, Series 2024-<br> BOCA, Class A, (1-mo. CME Term SOFR + <br> 1.92%), 6.23%, 08/15/41<sup>(a)(b)</sup><br>|  | 1392 | 1395480 |
| &nbsp;&nbsp;&nbsp; BPR Commercial Mortgage Trust, Series 2024-<br> PARK, Class B, 5.99%, 11/05/39<sup>(a)(b)</sup><br>|  | 1500 | 1524722 |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SSP, Class A, (1-mo. CME Term <br> SOFR + 3.00%), 7.31%, 05/15/39<sup>(a)(b)</sup><br>|  | 1270 | 1268811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-STON, Class A, 7.50%, <br> 12/05/39<sup>(a)</sup><br>|  | 1145 | 1192340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class A, 5.39%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 1880 | 1904160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class D, 7.23%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 320 | 326311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PMDW, Class A, 5.36%, <br> 11/05/41<sup>(a)(b)</sup><br>|  | 620 | 629412 |
| &nbsp;&nbsp;&nbsp; BSPDF Issuer LLC, Series 2025-FL2, Class A, <br> (1-mo. CME Term SOFR + 1.52%), 5.84%, <br> 12/15/42<sup>(a)(b)</sup><br>|  | 1339 | 1337017 |
| &nbsp;&nbsp;&nbsp; BSTN Commercial Mortgage Trust, Series 2025-<br> 1C, Class A, 5.55%, 06/15/44<sup>(a)(b)</sup><br>|  | 1144 | 1169659 |
| BWAY Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1515, Class A2, 3.45%, <br> 03/10/33<sup>(a)</sup><br>|  | 1926 | 1831760 |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class D, 3.63%, 03/10/33<sup>(a)</sup> |  | 1400 | 1265852 |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class E, 3.72%, 03/10/33<sup>(a)</sup> |  | 250 | 221175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1515, Class F, 4.06%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 250 | 216480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1535, Class A, 6.52%, <br> 05/05/42<sup>(a)(b)</sup><br>|  | 891 | 916968 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV2, Class C, 3.66%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 2550 | 2346292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV3, Class B, 3.66%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 3862 | 3590736 |
| &nbsp;&nbsp;&nbsp; Series 2020-VIV4, Class A, 2.84%, 03/09/44<sup>(a)</sup> |  | 4397 | 4012123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class A, (1-mo. CME Term <br> SOFR + 1.02%), 5.34%, 02/15/33<sup>(a)(b)</sup><br>|  | 14245 | 14150439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class B, (1-mo. CME Term <br> SOFR + 2.26%), 6.58%, 02/15/33<sup>(a)(b)</sup><br>|  | 8727 | 8682505 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class C, (1-mo. CME Term <br> SOFR + 4.36%), 8.68%, 02/15/33<sup>(a)(b)</sup><br>| USD  | 5842 | $5830405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SOAR, Class G, (1-mo. CME <br> Term SOFR + 2.91%), 7.23%, 06/15/38<sup>(a)(b)</sup><br>|  | 3573 | 3575024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CSMO, Class B, (1-mo. CME <br> Term SOFR + 3.14%), 7.45%, 06/15/27<sup>(a)(b)</sup><br>|  | 3905 | 3934287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-VLT3, Class A, (1-mo. CME Term <br> SOFR + 1.94%), 6.25%, 11/15/28<sup>(a)(b)</sup><br>|  | 1720 | 1720000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 6.07%, 12/09/40<sup>(a)(b)</sup><br>|  | 4114 | 4125724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class D, (1-mo. CME Term <br> SOFR + 3.59%), 7.90%, 12/09/40<sup>(a)(b)</sup><br>|  | 5463 | 5479250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIR2, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 10/15/41<sup>(a)(b)</sup><br>|  | 5909 | 5919604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 08/15/39<sup>(a)(b)</sup><br>|  | 11327 | 11369804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class B, (1-mo. CME Term <br> SOFR + 2.14%), 6.45%, 08/15/39<sup>(a)(b)</sup><br>|  | 97 | 97254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term <br> SOFR + 2.88%), 7.19%, 10/15/41<sup>(a)(b)</sup><br>|  | 8630 | 8683829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class B, (1-mo. CME Term <br> SOFR + 3.93%), 8.24%, 10/15/41<sup>(a)(b)</sup><br>|  | 2104 | 2109252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class D, (1-mo. CME Term <br> SOFR + 5.97%), 10.28%, 10/15/41<sup>(a)(b)</sup><br>|  | 469 | 470170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class E, (1-mo. CME Term <br> SOFR + 6.97%), 11.28%, 10/15/41<sup>(a)(b)</sup><br>|  | 522 | 519047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class B, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 12/15/39<sup>(a)(b)</sup><br>|  | 1640 | 1641599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-KING, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 05/15/34<sup>(a)(b)</sup><br>|  | 4333 | 4332957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MDHS, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 05/15/41<sup>(a)(b)</sup><br>|  | 13142 | 13158683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 02/15/39<sup>(a)(b)</sup><br>|  | 1077 | 1078735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class E, (1-mo. CME Term <br> SOFR + 3.74%), 8.05%, 02/15/39<sup>(a)(b)</sup><br>|  | 3385 | 3391730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PURE, Class A, (CORRA + <br> 1.90%), 4.66%, 11/15/41<sup>(a)(b)</sup><br>| CAD  | 1343 | 996439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 02/15/39<sup>(a)(b)</sup><br>| USD  | 2765 | 2768599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class D, (1-mo. CME Term <br> SOFR + 3.14%), 7.45%, 02/15/39<sup>(a)(b)</sup><br>|  | 8428 | 8451733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 8.50%, 02/15/39<sup>(a)(b)</sup><br>|  | 5019 | 4882525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 03/15/41<sup>(a)(b)</sup><br>|  | 180 | 180452 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-OC11, Class D, 4.08%, <br> 12/09/41<sup>(a)(b)</sup><br>|  | 4000 | 3739234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ARIA, Class A, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 10/15/36<sup>(a)(b)</sup><br>|  | 402 | 401623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AJV, (1-mo. CME <br> Term SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup><br>|  | 4964 | 4960887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup><br>|  | 964 | 963395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class FJV, (1-mo. CME <br> Term SOFR + 2.51%), 6.83%, 02/15/36<sup>(a)(b)</sup><br>|  | 6390 | 6346069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class FV, (1-mo. CME Term <br> SOFR + 2.51%), 6.83%, 02/15/36<sup>(a)(b)</sup><br>|  | 4055 | 4027392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class GJV, (1-mo. CME <br> Term SOFR + 3.11%), 7.43%, 02/15/36<sup>(a)(b)</sup><br>|  | 1244 | 1228711 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class GV, (1-mo. CME Term <br> SOFR + 3.11%), 7.43%, 02/15/36<sup>(a)(b)</sup><br>| USD  | 4206 | $4153738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFM1, Class F, (1-mo. CME Term <br> SOFR + 3.11%), 7.43%, 01/15/34<sup>(a)(b)</sup><br>|  | 1017 | 1015844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class F, (1-mo. CME Term <br> SOFR + 4.04%), 8.36%, 06/15/36<sup>(a)(b)</sup><br>|  | 1482 | 1444832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LBA6, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 01/15/39<sup>(a)(b)</sup><br>|  | 5143 | 5139786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LBA6, Class D, (1-mo. CME Term <br> SOFR + 2.00%), 6.31%, 01/15/39<sup>(a)(b)</sup><br>|  | 2890 | 2882775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class A, (1-mo. CME Term <br> SOFR + 0.85%), 5.16%, 01/15/39<sup>(a)(b)</sup><br>|  | 1547 | 1546033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, (1-mo. CME Term <br> SOFR + 1.28%), 5.59%, 01/15/39<sup>(a)(b)</sup><br>|  | 673 | 671738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class A, (1-mo. CME Term <br> SOFR + 2.69%), 7.00%, 05/15/38<sup>(a)(b)</sup><br>|  | 8160 | 8210891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class D, (1-mo. CME Term <br> SOFR + 4.39%), 8.70%, 05/15/38<sup>(a)(b)</sup><br>|  | 461 | 465322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 04/15/41<sup>(a)(b)</sup><br>|  | 4899 | 4909620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class D, (1-mo. CME Term <br> SOFR + 2.69%), 7.00%, 04/15/41<sup>(a)(b)</sup><br>|  | 5377 | 5385437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class E, (1-mo. CME Term <br> SOFR + 3.69%), 8.00%, 04/15/41<sup>(a)(b)</sup><br>|  | 3075 | 3058851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 06/15/37<sup>(a)(b)</sup><br>|  | 13906 | 13905865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 6.40%, 03/15/41<sup>(a)(b)</sup><br>|  | 3750 | 3750000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class C, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 03/15/41<sup>(a)(b)</sup><br>|  | 8022 | 7917278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class D, (1-mo. CME Term <br> SOFR + 5.39%), 9.70%, 03/15/41<sup>(a)(b)</sup><br>|  | 3845 | 3776777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 07/15/29<sup>(a)(b)</sup><br>|  | 18354 | 18347977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class E, (1-mo. CME Term <br> SOFR + 2.89%), 7.20%, 07/15/29<sup>(a)(b)</sup><br>|  | 3100 | 3082562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class F, (1-mo. CME Term <br> SOFR + 3.94%), 8.25%, 07/15/29<sup>(a)(b)</sup><br>|  | 7980 | 7952096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, <br> 06/13/47<sup>(a)(b)</sup><br>|  | 3018 | 3074176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LUNR, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.81%, 06/15/40<sup>(a)(b)</sup><br>|  | 1157 | 1158444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class E, (1-mo. CME Term <br> SOFR + 2.94%), 7.25%, 03/15/30<sup>(a)(b)</sup><br>|  | 10755 | 10540507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class E, (1-mo. CME Term <br> SOFR + 3.30%), 7.61%, 06/15/35<sup>(a)(b)</sup><br>|  | 698 | 698144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VLT6, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 03/15/42<sup>(a)(b)</sup><br>|  | 4517 | 4513663 |
| BXP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CC, Class D, 3.67%, <br> 08/13/37<sup>(a)(b)</sup><br>|  | 750 | 626404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CC, Class E, 3.67%, <br> 08/13/37<sup>(a)(b)</sup><br>|  | 1450 | 1163559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-GM, Class D, 3.54%, <br> 06/13/39<sup>(a)(b)</sup><br>|  | 590 | 560035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-GM, Class E, 3.54%, <br> 06/13/39<sup>(a)(b)</sup><br>|  | 1240 | 1164803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-601L, Class D, 2.87%, <br> 01/15/44<sup>(a)(b)</sup><br>|  | 2010 | 1572951 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; CALI Mortgage Trust, Series 2024-SUN, Class A, <br> (1-mo. CME Term SOFR + 1.89%), 6.20%, <br> 07/15/41<sup>(a)(b)</sup><br>| USD  | 4289 | $4294361 |
| &nbsp;&nbsp;&nbsp; Cassia SRL, Series 2022-1A, Class A, (3-mo. <br> EURIBOR + 2.50%), 4.56%, 05/22/34<sup>(a)(b)</sup><br>| EUR  | 7578 | 8945312 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-CD3, Class A4, 3.63%, 02/10/50 | USD  | 850 | 818125 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD5, Class B, 3.96%, 08/15/50<sup>(b)</sup> |  | 2091 | 2008131 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD6, Class B, 3.91%, 11/13/50<sup>(b)</sup> |  | 597 | 567031 |
| &nbsp;&nbsp;&nbsp; CENT Trust, Series 2023-CITY, Class A, (1-mo. <br> CME Term SOFR + 2.62%), 6.93%, <br> 09/15/38<sup>(a)(b)</sup><br>|  | 9482 | 9493615 |
| &nbsp;&nbsp;&nbsp; CFCRE Commercial Mortgage Trust, <br> Series 2016-C3, Class A3, 3.87%, 01/10/48<br>|  | 410 | 407873 |
| &nbsp;&nbsp;&nbsp; CFK Trust, Series 2019-FAX, Class D, 4.79%, <br> 01/15/39<sup>(a)(b)</sup><br>|  | 2643 | 2465088 |
| &nbsp;&nbsp;&nbsp; CFSP Mortgage Trust, Series 2024-AHP1, <br> Class A, 6.50%, 04/15/37<br>|  | 8574 | 8213478 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-P1, Class D, 3.23%, 09/15/48<sup>(a)</sup> |  | 1007 | 964770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-420K, Class E, 3.42%, <br> 11/10/42<sup>(a)(b)</sup><br>|  | 1540 | 1308833 |
| COAST Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class A, (1-mo. CME Term <br> SOFR + 2.59%), 6.90%, 08/15/36<sup>(a)(b)</sup><br>|  | 2681 | 2682902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class D, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 08/15/36<sup>(a)(b)</sup><br>|  | 4620 | 4581403 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC19, Class B, 3.83%, <br> 02/10/48<sup>(b)</sup><br>|  | 512 | 504250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-667M, Class D, 3.29%, <br> 10/10/36<sup>(a)(b)</sup><br>|  | 313 | 227097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CBM, Class A2, 5.87%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 830 | 844087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 06/15/41<sup>(a)(b)</sup><br>|  | 8360 | 8357384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class B, (1-mo. CME Term <br> SOFR + 2.59%), 6.90%, 06/15/41<sup>(a)(b)</sup><br>|  | 2829 | 2817507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class E, (1-mo. CME Term <br> SOFR + 4.49%), 8.80%, 06/15/41<sup>(a)(b)</sup><br>|  | 3312 | 3281762 |
| CONE Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DFW1, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 08/15/41<sup>(a)(b)</sup><br>|  | 3280 | 3267660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DFW1, Class E, (1-mo. CME Term <br> SOFR + 3.89%), 8.20%, 08/15/41<sup>(a)(b)</sup><br>|  | 3244 | 3219338 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CALI, Class C, 3.90%, <br> 11/10/32<sup>(a)(b)</sup><br>|  | 1729 | 519582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-PFHP, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 12/15/30<sup>(a)(b)</sup><br>|  | 505 | 503386 |
| &nbsp;&nbsp;&nbsp; Series 2017-TIME, Class A, 3.65%, 11/13/39<sup>(a)</sup> |  | 850 | 800693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FACT, Class E, (1-mo. CME Term <br> SOFR + 5.48%), 9.79%, 10/15/37<sup>(a)(b)</sup><br>|  | 2484 | 2297285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.58%, 11/15/38<sup>(a)(b)</sup><br>|  | 641 | 638596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 11/15/38<sup>(a)(b)</sup><br>|  | 1150 | 1146746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LION, Class A, (1-mo. CME Term <br> SOFR + 3.44%), 7.75%, 02/15/27<sup>(a)(b)(g)</sup><br>|  | 10100 | 10001722 |
| &nbsp;&nbsp;&nbsp; CRSO Trust, Series 2023-BRND, 7.12%, <br> 07/10/40<sup>(a)</sup><br>|  | 2271 | 2382302 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C5, Class B, 4.46%, 11/15/48<sup>(b)</sup> | USD  | 2410 | $2387382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CX12, Class C, 4.88%, <br> 08/15/51<sup>(b)</sup><br>|  | 570 | 522791 |
| &nbsp;&nbsp;&nbsp; CSTL Commercial Mortgage Trust, Series 2024-<br> GATE, Class A, 4.92%, 11/10/41<sup>(a)(b)</sup><br>|  | 8300 | 8293301 |
| DBGS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5BP, Class B, (1-mo. CME Term <br> SOFR + 1.08%), 5.39%, 06/15/33<sup>(a)(b)</sup><br>|  | 2890 | 2666025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SBL, Class A, (1-mo. CME Term <br> SOFR + 1.88%), 6.19%, 08/15/34<sup>(a)(b)</sup><br>|  | 5582 | 5582000 |
| &nbsp;&nbsp;&nbsp; DBSG Mortgage Trust, Series 2024-ALTA, <br> Class A, 6.14%, 06/10/37<sup>(a)(b)</sup><br>|  | 2584 | 2629112 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust, Series 2024-LCRS, <br> Class A, (1-mo. CME Term SOFR + 1.74%), <br> 6.05%, 04/15/37<sup>(a)(b)</sup><br>|  | 705 | 703458 |
| DC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class A, 5.93%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 830 | 838892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class F, 10.66%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 2180 | 2182885 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank JPMorgan Mortgage Trust, <br> Series 2016-C1, Class A4, 3.28%, 05/10/49<br>|  | 1430 | 1409272 |
| DK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.81%, 03/15/34<sup>(a)(b)</sup><br>|  | 4850 | 4857679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class E, (1-mo. CME Term <br> SOFR + 4.00%), 8.31%, 03/15/34<sup>(a)(b)</sup><br>|  | 13906 | 13930191 |
| &nbsp;&nbsp;&nbsp; Dwight Issuer LLC, Series 2025-FL1, Class A, <br> (1-mo. CME Term SOFR + 1.66%), 5.96%, <br> 09/18/42<sup>(a)(b)</sup><br>|  | 1148 | 1147186 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.99%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 4860 | 4911268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.99%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 4860 | 4896748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class E10, 8.05%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 6375 | 6392367 |
| &nbsp;&nbsp;&nbsp; ELP Commercial Mortgage Trust, Series 2021-<br> ELP, Class G, (1-mo. CME Term SOFR + <br> 3.23%), 7.54%, 11/15/38<sup>(a)(b)</sup><br>|  | 2485 | 2482274 |
| &nbsp;&nbsp;&nbsp; EQT Trust, Series 2024-EXTR, Class A, 5.33%, <br> 07/05/41<sup>(a)(b)</sup><br>|  | 1697 | 1734838 |
| Extended Stay America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class D, (1-mo. CME Term <br> SOFR + 2.36%), 6.68%, 07/15/38<sup>(a)(b)</sup><br>|  | 1780 | 1782010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class E, (1-mo. CME Term <br> SOFR + 2.96%), 7.28%, 07/15/38<sup>(a)(b)</sup><br>|  | 5304 | 5317449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class F, (1-mo. CME Term <br> SOFR + 3.81%), 8.13%, 07/15/38<sup>(a)(b)</sup><br>|  | 14743 | 14742624 |
| &nbsp;&nbsp;&nbsp; Fashion Show Mall LLC, Series 2024-SHOW, <br> Class A, 5.27%, 10/10/41<sup>(a)(b)</sup><br>|  | 1535 | 1550003 |
| Fontainebleau Miami Beach Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class F, (1-mo. CME Term <br> SOFR + 4.25%), 8.56%, 12/15/39<sup>(a)(b)</sup><br>|  | 422 | 421209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class G, (1-mo. CME Term <br> SOFR + 5.65%), 9.96%, 12/15/39<sup>(a)(b)</sup><br>|  | 2269 | 2266537 |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-KGX1, Class BFX, 3.72%, <br> 10/25/27<sup>(a)(b)</sup><br>|  | 1190 | 1117335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K74, Class B, 4.23%, <br> 02/25/51<sup>(a)(b)</sup><br>|  | 120 | 117843 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K80, Class B, 4.38%, <br> 08/25/50<sup>(a)(b)</sup><br>| USD  | 1043 | $1019429 |
| &nbsp;&nbsp;&nbsp; Grace Trust, Series 2020-GRCE, Class E, 2.77%, <br> 12/10/40<sup>(a)(b)</sup><br>|  | 1489 | 1261091 |
| &nbsp;&nbsp;&nbsp; Great Wolf Trust, Series 2024-WOLF, Class A, <br> (1-mo. CME Term SOFR + 1.54%), 5.85%, <br> 03/15/39<sup>(a)(b)</sup><br>|  | 2970 | 2974641 |
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, Series 2025-FL4, <br> Class A, (1-mo. CME Term SOFR + 1.48%), <br> 5.79%, 01/15/43<sup>(a)(b)</sup><br>|  | 2077 | 2078369 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-590M, Class E, 3.93%, <br> 10/10/35<sup>(a)(b)</sup><br>|  | 1100 | 1055781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GC32, Class C, 4.55%, <br> 07/10/48<sup>(b)</sup><br>|  | 1049 | 1018043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-GPTX, Class A, 2.86%, <br> 05/10/34<sup>(a)</sup><br>|  | 1943 | 1692507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class C, 3.93%, <br> 11/10/52<sup>(b)</sup><br>|  | 260 | 236785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DM, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 11/15/36<sup>(a)(b)</sup><br>|  | 3134 | 3110495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 6.40%, 03/15/28<sup>(a)(b)</sup><br>|  | 5374 | 5387435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class E, 7.68%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 15141 | 15233242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RVR, Class E, 7.72%, <br> 08/10/41<sup>(a)(b)</sup><br>|  | 1802 | 1792476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class A, (1-mo. CME Term <br> SOFR + 2.65%), 6.97%, 11/25/41<sup>(a)(b)</sup><br>|  | 8757 | 8772651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class C, (1-mo. CME Term <br> SOFR + 4.70%), 9.02%, 11/25/41<sup>(a)(b)</sup><br>|  | 5849 | 5828133 |
| &nbsp;&nbsp;&nbsp; GSAT Trust, Series 2025-BMF, Class A, (1-mo. <br> CME Term SOFR + 1.50%), 07/15/30<sup>(a)(b)(f)</sup><br>|  | 1936 | 1936605 |
| &nbsp;&nbsp;&nbsp; GWT, Series 2024-WLF2, Class A, (1-mo. CME <br> Term SOFR + 1.69%), 6.00%, 05/15/41<sup>(a)(b)</sup><br>|  | 16275 | 16316140 |
| HIH Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 10/15/41<sup>(a)(b)</sup><br>|  | 3281 | 3282946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class D, (1-mo. CME Term <br> SOFR + 3.64%), 7.95%, 10/15/41<sup>(a)(b)</sup><br>|  | 1241 | 1238316 |
| &nbsp;&nbsp;&nbsp; HILT Commercial Mortgage Trust, Series 2024-<br> ORL, Class D, (1-mo. CME Term SOFR + <br> 3.19%), 7.50%, 05/15/37<sup>(a)(b)</sup><br>|  | 6057 | 6045643 |
| &nbsp;&nbsp;&nbsp; HIT Trust, Series 2022-HI32, Class A, (1-mo. <br> CME Term SOFR + 2.39%), 6.70%, <br> 07/15/39<sup>(a)(b)</sup><br>|  | 980 | 981505 |
| &nbsp;&nbsp;&nbsp; HLTN Commercial Mortgage Trust, Series 2024-<br> DPLO, Class A, (1-mo. CME Term SOFR + <br> 1.64%), 5.95%, 06/15/41<sup>(a)(b)</sup><br>|  | 3176 | 3177985 |
| &nbsp;&nbsp;&nbsp; HMH Trust, Series 2017-NSS, Class A, 3.06%, <br> 07/05/31<sup>(a)</sup><br>|  | 2060 | 1751000 |
| &nbsp;&nbsp;&nbsp; HONO Mortgage Trust, Series 2021-LULU, <br> Class A, (1-mo. CME Term SOFR + 1.26%), <br> 5.58%, 10/15/36<sup>(a)(b)</sup><br>|  | 7608 | 7550940 |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.64%, 02/05/45<sup>(a)(b)</sup><br>|  | 425 | 436057 |
| HTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class A, 6.07%, <br> 05/10/39<sup>(a)(b)</sup><br>|  | 1790 | 1808323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class E, 10.60%, <br> 05/10/39<sup>(a)(b)</sup><br>|  | 4965 | 5105389 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Hudson Yards Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-30HY, Class A, 3.23%, <br> 07/10/39<sup>(a)</sup><br>| USD  | 195 | $183029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-55HY, Class F, 3.04%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 2975 | 2512097 |
| ILPT Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LPF2, Class A, (1-mo. CME Term <br> SOFR + 2.25%), 6.56%, 10/15/39<sup>(a)(b)</sup><br>|  | 8682 | 8670948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LPF2, Class A, 5.29%, <br> 07/15/42<sup>(a)(b)</sup><br>|  | 10261 | 10411510 |
| &nbsp;&nbsp;&nbsp; INCREF LLC, Series 2025-FL1, Class A, (1-mo. <br> CME Term SOFR + 1.73%), 6.05%, <br> 10/19/42<sup>(a)(b)</sup><br>|  | 4155 | 4163178 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, <br> (1-mo. CME Term SOFR + 1.74%), 6.05%, <br> 11/15/41<sup>(a)(b)</sup><br>|  | 4830 | 4827241 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2015-C33, Class D1, 4.28%, <br> 12/15/48<sup>(a)(b)</sup><br>|  | 785 | 711439 |
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, <br> Series 2018-C8, Class AS, 4.42%, 06/15/51<br>|  | 198 | 193636 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage <br> Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NINE, Class B, 2.95%, <br> 09/06/38<sup>(a)(b)</sup><br>|  | 3688 | 3568588 |
| &nbsp;&nbsp;&nbsp; Series 2018-AON, Class A, 4.13%, 07/05/31<sup>(a)</sup> |  | 1819 | 1668932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.57%, 06/15/35<sup>(a)(b)</sup><br>|  | 959 | 825662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-COR5, Class A3, 3.12%, <br> 06/13/52<br>|  | 1700 | 1625483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-MFP, Class E, (1-mo. CME Term <br> SOFR + 2.21%), 6.52%, 07/15/36<sup>(a)(b)</sup><br>|  | 2460 | 2340095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class A, (1-mo. CME Term <br> SOFR + 1.73%), 6.05%, 10/15/33<sup>(a)(b)</sup><br>|  | 687 | 683565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class D, (1-mo. CME Term <br> SOFR + 3.13%), 7.45%, 10/15/33<sup>(a)(b)</sup><br>|  | 1850 | 1781120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 5.48%, 04/15/38<sup>(a)(b)</sup><br>|  | 973 | 973325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term <br> SOFR + 2.81%), 7.13%, 04/15/38<sup>(a)(b)</sup><br>|  | 9318 | 9323824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term <br> SOFR + 3.31%), 7.63%, 04/15/38<sup>(a)(b)</sup><br>|  | 2750 | 2751719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NLP, Class F, (1-mo. CME Term <br> SOFR + 3.79%), 8.10%, 04/15/37<sup>(a)(b)</sup><br>|  | 4888 | 4620501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.57%, <br> 01/05/39<sup>(a)(b)</sup><br>|  | 3034 | 2496662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.35%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 8100 | 8162306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class D, 6.70%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 2260 | 2258035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class E, 7.50%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 6887 | 6873544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class F, 8.49%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 5900 | 5857983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-OMNI, Class A, 5.99%, <br> 10/05/39<sup>(a)(b)</sup><br>|  | 2310 | 2356664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.01%, 03/15/40<sup>(a)(b)</sup><br>|  | 10634 | 10634000 |
| JW Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class A, (1-mo. CME <br> Term SOFR + 1.62%), 5.93%, 06/15/39<sup>(a)(b)</sup><br>|  | 3715 | 3717316 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| JW Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class D, (1-mo. CME <br> Term SOFR + 3.19%), 7.50%, 06/15/39<sup>(a)(b)</sup><br>| USD  | 2148 | $2138868 |
| KSL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HT2, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 12/15/39<sup>(a)(b)</sup><br>|  | 8083 | 8067403 |
| &nbsp;&nbsp;&nbsp; Series 2025-MAK, Class A, 6.20%, 06/15/42<sup>(a)</sup> |  | 1333 | 1359266 |
| &nbsp;&nbsp;&nbsp; Series 2025-MAK, Class E, 8.40%, 06/15/42<sup>(a)</sup> |  | 2840 | 2862550 |
| &nbsp;&nbsp;&nbsp; Last Mile Logistics Pan Euro Finance DAC, <br> Series 1X, Class E, (3-mo. EURIBOR + <br> 2.70%), 4.83%, 08/17/33<sup>(b)(e)</sup><br>| EUR  | 2618 | 3046040 |
| LBA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 10/15/41<sup>(a)(b)</sup><br>| USD  | 7350 | 7356891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class D, (1-mo. CME Term <br> SOFR + 2.64%), 6.95%, 10/15/41<sup>(a)(b)</sup><br>|  | 825 | 826547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.90%, 06/15/39<sup>(a)(b)</sup><br>|  | 12850 | 12858011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class F, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 06/15/39<sup>(a)(b)</sup><br>|  | 1058 | 1052406 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Small Balance Commercial <br> Mortgage Trust, Series 2006-2A, Class M3, <br> (1-mo. CME Term SOFR + 0.56%), 4.88%, <br> 09/25/36<sup>(a)(b)</sup><br>|  | 920 | 874093 |
| &nbsp;&nbsp;&nbsp; LUX, Series 2023-LION, Class A, (1-mo. CME <br> Term SOFR + 2.69%), 7.00%, 08/15/40<sup>(a)(b)</sup><br>|  | 2294 | 2308865 |
| MCR Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HF1, Class A, (1-mo. CME Term <br> SOFR + 1.79%), 6.11%, 12/15/41<sup>(a)(b)</sup><br>|  | 3106 | 3107941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 6.07%, 02/15/37<sup>(a)(b)</sup><br>|  | 276 | 276093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class E, (1-mo. CME Term <br> SOFR + 4.65%), 8.97%, 02/15/37<sup>(a)(b)</sup><br>|  | 2415 | 2403379 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class A, 5.92%, 06/12/39<sup>(a)</sup> |  | 3570 | 3613121 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class E, 8.73%, 06/12/39<sup>(a)</sup> |  | 2080 | 2103590 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL14, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 6.06%, 03/19/39<sup>(a)(b)</sup><br>|  | 1770 | 1776654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL19, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 05/18/42<sup>(a)(b)</sup><br>|  | 1786 | 1790835 |
| &nbsp;&nbsp;&nbsp; MFT Trust, Series 2020-ABC, Class C, 3.59%, <br> 02/10/42<sup>(a)(b)</sup><br>|  | 1773 | 1113162 |
| MHC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 5.23%, 04/15/38<sup>(a)(b)</sup><br>|  | 32 | 31712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term <br> SOFR + 2.22%), 6.53%, 04/15/38<sup>(a)(b)</sup><br>|  | 3700 | 3706937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term <br> SOFR + 2.72%), 7.03%, 04/15/38<sup>(a)(b)</sup><br>|  | 471 | 471122 |
| &nbsp;&nbsp;&nbsp; MHP, Series 2021-STOR, Class G, (1-mo. CME <br> Term SOFR + 2.86%), 7.18%, 07/15/38<sup>(a)(b)</sup><br>|  | 2100 | 2098688 |
| &nbsp;&nbsp;&nbsp; MIC Trust (The), Series 2023-MIC, Class A, <br> 8.73%, 12/05/38<sup>(a)(b)</sup><br>|  | 1550 | 1690177 |
| &nbsp;&nbsp;&nbsp; MIRA Trust, Series 2023-MILE, Class A, 6.76%, <br> 06/10/38<sup>(a)</sup><br>|  | 3432 | 3571724 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust, Series 2015-C25, Class B, 4.66%, <br> 10/15/48<sup>(b)</sup><br>|  | 2910 | 2857457 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ASHF, Class F, (1-mo. CME Term <br> SOFR + 4.65%), 8.96%, 11/15/34<sup>(a)(b)</sup><br>|  | 1413 | 1334031 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ASHF, Class G, (1-mo. CME Term <br> SOFR + 7.20%), 11.51%, 11/15/34<sup>(a)(b)</sup><br>| USD  | 1612 | $1513857 |
| &nbsp;&nbsp;&nbsp; Series 2018-MP, Class E, 4.42%, 07/11/40<sup>(a)(b)</sup> |  | 2730 | 2012333 |
| &nbsp;&nbsp;&nbsp; Series 2019-H6, Class D, 3.00%, 06/15/52<sup>(a)</sup> |  | 630 | 504337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, <br> 09/24/57<sup>(a)(b)</sup><br>|  | 3150 | 3047160 |
| &nbsp;&nbsp;&nbsp; MSDB Trust, Series 2017-712F, Class B, 3.57%, <br> 07/11/39<sup>(a)(b)</sup><br>|  | 1650 | 1539457 |
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, Series 2022-<br> LPFL, Class A, (1-mo. CME Term SOFR + <br> 1.40%), 5.72%, 03/15/39<sup>(a)(b)</sup><br>|  | 1330 | 1329169 |
| Natixis Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-SOX, Class A, 4.40%, 06/17/38<sup>(a)</sup> |  | 4162 | 4095397 |
| &nbsp;&nbsp;&nbsp; Series 2019-LVL, Class D, 4.44%, 08/15/38<sup>(a)</sup> |  | 1550 | 1404350 |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class A, 4.88%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 5715 | 5703902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class E, 7.53%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 10742 | 10840309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class F, 8.44%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 11453 | 11626977 |
| &nbsp;&nbsp;&nbsp; NJ Trust, Series 2023-GSP, Class A, 6.70%, <br> 01/06/29<sup>(a)(b)</sup><br>|  | 5050 | 5311416 |
| &nbsp;&nbsp;&nbsp; NY Commercial Mortgage Trust, Series 2025-<br> 299P, Class B, 6.13%, 02/10/47<sup>(a)(b)</sup><br>|  | 908 | 939230 |
| NYCT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class A, (1-mo. CME Term <br> SOFR + 1.99%), 6.30%, 08/15/29<sup>(a)(b)</sup><br>|  | 1348 | 1354963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class D, (1-mo. CME Term <br> SOFR + 3.84%), 8.15%, 08/15/29<sup>(a)(b)</sup><br>|  | 2195 | 2171901 |
| &nbsp;&nbsp;&nbsp; Olympic Tower Mortgage Trust, Series 2017-OT, <br> Class E, 4.08%, 05/10/39<sup>(a)(b)</sup><br>|  | 2910 | 2184710 |
| &nbsp;&nbsp;&nbsp; One Bryant Park Trust, Series 2019-OBP, <br> Class A, 2.52%, 09/15/54<sup>(a)</sup><br>|  | 1888 | 1718838 |
| &nbsp;&nbsp;&nbsp; One Market Plaza Trust, Series 2017-1MKT, <br> Class D, 4.15%, 02/10/32<sup>(a)</sup><br>|  | 1754 | 1581442 |
| One New York Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class A, (1-mo. CME Term <br> SOFR + 1.06%), 5.38%, 01/15/36<sup>(a)(b)</sup><br>|  | 1815 | 1764052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class AJ, (1-mo. CME <br> Term SOFR + 1.36%), 5.68%, 01/15/36<sup>(a)(b)</sup><br>|  | 2857 | 2755869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 01/15/36<sup>(a)(b)</sup><br>|  | 2345 | 2241474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class D, (1-mo. CME Term <br> SOFR + 2.86%), 7.18%, 01/15/36<sup>(a)(b)</sup><br>|  | 960 | 896018 |
| &nbsp;&nbsp;&nbsp; OPEN Trust, Series 2023-AIR, Class A, (1-mo. <br> CME Term SOFR + 3.09%), 7.40%, <br> 11/15/40<sup>(a)(b)</sup><br>|  | 1464 | 1464865 |
| &nbsp;&nbsp;&nbsp; ORL Trust, Series 2024-GLKS, Class A, (1-mo. <br> CME Term SOFR + 1.49%), 5.80%, <br> 12/15/39<sup>(a)(b)</sup><br>|  | 4150 | 4148703 |
| &nbsp;&nbsp;&nbsp; PFP Ltd., Series 2022-9, Class A, (1-mo. CME <br> Term SOFR + 2.27%), 6.59%, 08/19/35<sup>(a)(b)</sup><br>|  | 1691 | 1693161 |
| &nbsp;&nbsp;&nbsp; PGA Trust, Series 2024-RSR2, Class A, (1-mo. <br> CME Term SOFR + 1.89%), 6.20%, <br> 06/15/39<sup>(a)(b)</sup><br>|  | 2559 | 2563094 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class D, 5.81%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 1700 | 1692031 |
| &nbsp;&nbsp;&nbsp; Ready Capital Mortgage Financing LLC, <br> Series 2023-FL11, Class A, (1-mo. CME Term <br> SOFR + 2.37%), 6.69%, 10/25/39<sup>(a)(b)</sup><br>|  | 1850 | 1846902 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-<br> mo. CME Term SOFR + 2.25%), 6.56%, <br> 01/19/37<sup>(a)(b)</sup><br>| USD  | 7241 | $7245881 |
| ROCK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, <br> 11/13/41<sup>(a)</sup><br>|  | 800 | 818364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class E, 8.82%, <br> 11/13/41<sup>(a)</sup><br>|  | 3231 | 3399262 |
| Sage AR Funding |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1X, Class C, (1-day SONIA + <br> 2.40%), 6.64%, 05/17/37<sup>(b)(e)</sup><br>| GBP  | 1666 | 2300878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1X, Class D, (1-day SONIA + <br> 3.90%), 8.15%, 05/17/37<sup>(b)(e)</sup><br>|  | 1435 | 1981209 |
| SCG Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class D, (1-mo. CME Term <br> SOFR + 2.15%), 6.46%, 03/15/35<sup>(a)(b)</sup><br>| USD  | 532 | 525362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class E, (1-mo. CME Term <br> SOFR + 2.95%), 7.26%, 03/15/35<sup>(a)(b)</sup><br>|  | 4046 | 3942780 |
| &nbsp;&nbsp;&nbsp; SDAL Trust, Series 2025-DAL, Class A, (1-mo. <br> CME Term SOFR + 2.44%), 6.75%, <br> 04/15/42<sup>(a)(b)</sup><br>|  | 1963 | 1966411 |
| SELF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 11/15/34<sup>(a)(b)</sup><br>|  | 3300 | 3321359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 8.50%, 11/15/34<sup>(a)(b)</sup><br>|  | 3381 | 3371886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class F, (1-mo. CME Term <br> SOFR + 5.19%), 9.50%, 11/15/34<sup>(a)(b)</sup><br>|  | 2890 | 2873741 |
| SG Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PREZ, Class D, 3.59%, <br> 09/15/39<sup>(a)(b)</sup><br>|  | 2200 | 1938311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PREZ, Class E, 3.59%, <br> 09/15/39<sup>(a)(b)</sup><br>|  | 1792 | 1502820 |
| SHR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class A, (1-mo. CME Term <br> SOFR + 1.95%), 6.26%, 10/15/41<sup>(a)(b)</sup><br>|  | 9897 | 9890814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class B, (1-mo. CME Term <br> SOFR + 2.45%), 6.76%, 10/15/41<sup>(a)(b)</sup><br>|  | 2553 | 2551404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class D, (1-mo. CME Term <br> SOFR + 3.60%), 7.91%, 10/15/41<sup>(a)(b)</sup><br>|  | 1783 | 1781886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class E, (1-mo. CME Term <br> SOFR + 4.45%), 8.76%, 10/15/41<sup>(a)(b)</sup><br>|  | 440 | 438380 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust, Series 2021-OVA, Class A, <br> 2.59%, 07/15/41<sup>(a)</sup><br>|  | 573 | 502575 |
| SREIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP, Class F, (1-mo. CME Term <br> SOFR + 2.74%), 7.05%, 11/15/38<sup>(a)(b)</sup><br>|  | 4530 | 4529744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class F, (1-mo. CME Term <br> SOFR + 2.73%), 7.05%, 11/15/36<sup>(a)(b)</sup><br>|  | 2091 | 2092607 |
| Taurus UK DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-UK2X, Class B, (1-day SONIA + <br> 2.00%), 6.24%, 02/18/35<sup>(b)(e)</sup><br>| GBP  | 1887 | 2583829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-UK2X, Class C, (1-day SONIA + <br> 2.50%), 6.74%, 02/18/35<sup>(b)(e)</sup><br>|  | 2332 | 3175658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-UK2X, Class D, (1-day SONIA + <br> 3.20%), 7.44%, 02/18/35<sup>(b)(e)</sup><br>|  | 5023 | 6909894 |
| &nbsp;&nbsp;&nbsp; TCO Commercial Mortgage Trust, Series 2024-<br> DPM, Class D, (1-mo. CME Term SOFR + <br> 2.74%), 7.05%, 12/15/39<sup>(a)(b)</sup><br>| USD  | 519 | 513827 |
| &nbsp;&nbsp;&nbsp; THPT Mortgage Trust, Series 2023-THL, Class A, <br> 7.23%, 12/10/34<sup>(a)(b)</sup><br>|  | 1784 | 1814676 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Thunder Logistics DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class B, (3-mo. EURIBOR + <br> 2.05%), 4.18%, 11/17/36<sup>(b)(e)</sup><br>| EUR  | 465 | $548028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class C, (3-mo. EURIBOR + <br> 2.55%), 4.68%, 11/17/36<sup>(b)(e)</sup><br>|  | 326 | 385437 |
| TTAN |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term <br> SOFR + 2.51%), 6.83%, 03/15/38<sup>(a)(b)</sup><br>| USD  | 753 | 753365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term <br> SOFR + 3.01%), 7.33%, 03/15/38<sup>(a)(b)</sup><br>|  | 3784 | 3787246 |
| &nbsp;&nbsp;&nbsp; TYSN Mortgage Trust, Series 2023-CRNR, <br> Class A, 6.80%, 12/10/33<sup>(a)(b)</sup><br>|  | 2230 | 2362162 |
| UBS Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-C7, Class A4, 3.68%, 12/15/50 |  | 880 | 862574 |
| &nbsp;&nbsp;&nbsp; Series 2018-C15, Class A4, 4.34%, 12/15/51 |  | 1500 | 1480603 |
| UK Logistics DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class A, (1-day SONIA + <br> 1.65%), 5.89%, 05/17/34<sup>(b)(e)</sup><br>| GBP  | 1165 | 1602336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2X, Class C, (1-day SONIA + <br> 2.10%), 6.34%, 02/17/35<sup>(b)(e)</sup><br>|  | 599 | 828782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2X, Class D, (1-day SONIA + <br> 3.10%), 7.34%, 02/17/35<sup>(b)(e)</sup><br>|  | 1382 | 1910612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1X, Class D, (1-day SONIA + <br> 4.00%), 8.34%, 05/17/35<sup>(b)(e)</sup><br>|  | 6259 | 8591365 |
| VEGAS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class C, 6.42%, <br> 07/10/36<sup>(a)(b)</sup><br>| USD  | 7390 | 7278324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class D, 6.42%, <br> 07/10/36<sup>(a)(b)</sup><br>|  | 16670 | 15736102 |
| &nbsp;&nbsp;&nbsp; Series 2024-TI, Class A, 5.52%, 11/10/39<sup>(a)</sup> |  | 2460 | 2492903 |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-2, Class M3, 4.24%, 11/25/47<sup>(a)(b)</sup> |  | 212 | 197464 |
| &nbsp;&nbsp;&nbsp; Series 2017-2, Class M4, 5.00%, 11/25/47<sup>(a)(b)</sup> |  | 128 | 115221 |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class M2, 4.26%, 04/25/48<sup>(a)</sup> |  | 109 | 103077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class AFX, 2.61%, <br> 02/25/50<sup>(a)(b)</sup><br>|  | 2700 | 2448510 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class M1, 2.80%, 02/25/50<sup>(a)(b)</sup> |  | 482 | 360175 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class M2, 2.98%, 02/25/50<sup>(a)(b)</sup> |  | 561 | 420542 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 2.52%, 12/26/51<sup>(a)(b)</sup> |  | 8173 | 7280536 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class M4, 4.48%, 12/26/51<sup>(a)(b)</sup> |  | 972 | 790992 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class M4, 5.20%, 02/25/52<sup>(a)(b)</sup> |  | 632 | 503688 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M3, 5.74%, 04/25/52<sup>(a)(b)</sup> |  | 1921 | 1852621 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M2, 6.97%, 08/25/52<sup>(a)(b)</sup> |  | 827 | 837673 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M3, 7.53%, 08/25/52<sup>(a)(b)</sup> |  | 565 | 575274 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M4, 7.53%, 08/25/52<sup>(a)(b)</sup> |  | 1026 | 963334 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 6.22%, 05/25/53<sup>(a)(b)</sup> |  | 2329 | 2333995 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class M1, 7.03%, 05/25/53<sup>(a)(b)</sup> |  | 1518 | 1521450 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.55%, 01/25/54<sup>(a)(b)</sup> |  | 5349 | 5413479 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M2, 7.23%, 01/25/54<sup>(a)(b)</sup> |  | 569 | 572294 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M3, 8.44%, 01/25/54<sup>(a)(b)</sup> |  | 579 | 592107 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class A, 5.49%, 10/25/54<sup>(a)(b)</sup> |  | 1941 | 1937008 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M2, 5.96%, 10/25/54<sup>(a)(b)</sup> |  | 777 | 766400 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M3, 6.76%, 10/25/54<sup>(a)(b)</sup> |  | 1184 | 1175576 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M4, 9.53%, 10/25/54<sup>(a)(b)</sup> |  | 774 | 765704 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M2, 6.55%, 12/25/54<sup>(a)(b)</sup> |  | 432 | 432107 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M3, 6.92%, 12/25/54<sup>(a)(b)</sup> |  | 655 | 653083 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M4, 9.67%, 12/25/54<sup>(a)(b)</sup> |  | 615 | 613113 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class M3, 7.33%, 02/25/55<sup>(a)(b)</sup> |  | 2414 | 2432886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class M4, 10.15%, <br> 02/25/55<sup>(a)(b)</sup><br>|  | 836 | 841775 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class M3, 7.38%, 06/25/55<sup>(a)(b)</sup> |  | 1606 | 1621200 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MC1, Class A1, 8.16%, <br> 05/25/55<sup>(a)(c)</sup><br>| USD  | 3288 | $3288058 |
| &nbsp;&nbsp;&nbsp; VNDO Trust, Series 2016-350P, Class D, 4.03%, <br> 01/10/35<sup>(a)(b)</sup><br>|  | 3390 | 3297721 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C32, Class A3FL, (1-mo. CME <br> Term SOFR + 1.53%), 5.85%, 01/15/59<sup>(b)</sup><br>|  | 1765 | 1760966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C34, Class A3FL, (1-mo. CME <br> Term SOFR + 1.15%), 5.47%, 06/15/49<sup>(a)(b)</sup><br>|  | 1830 | 1818470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1745, Class A, 3.87%, <br> 06/15/36<sup>(a)(b)</sup><br>|  | 472 | 429518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-AUS, Class A, 4.19%, <br> 08/17/36<sup>(a)(b)</sup><br>|  | 1680 | 1645575 |
| &nbsp;&nbsp;&nbsp; Series 2019-C49, Class D, 3.00%, 03/15/52<sup>(a)</sup> |  | 514 | 443415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 5.48%, <br> 07/15/35<sup>(a)(b)</sup><br>|  | 2829 | 2845959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class B, 6.22%, <br> 07/15/43<sup>(a)</sup><br>|  | 4292 | 4413068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class C, 6.43%, <br> 07/15/43<sup>(a)</sup><br>|  | 2732 | 2747358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class D, 7.08%, <br> 07/15/43<sup>(a)</sup><br>|  | 1160 | 1164257 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.45%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 2278 | 2306659 |
| WHARF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DC, Class A, 5.35%, <br> 07/15/40<sup>(a)(b)</sup><br>|  | 4623 | 4712925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DC, Class E, 7.72%, <br> 07/15/40<sup>(a)(b)</sup><br>|  | 2708 | 2774087 |
| WMRK Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class A, (1-mo. CME <br> Term SOFR + 2.79%), 7.10%, 11/15/27<sup>(a)(b)</sup><br>|  | 6274 | 6274000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class B, (1-mo. CME <br> Term SOFR + 3.44%), 7.75%, 11/15/27<sup>(a)(b)</sup><br>|  | 2500 | 2500000 |
|  |  |  | 1200260025 |
| **Interest Only Collateralized Mortgage Obligations — 0.1%** | **Interest Only Collateralized Mortgage Obligations — 0.1%** | **Interest Only Collateralized Mortgage Obligations — 0.1%** | **Interest Only Collateralized Mortgage Obligations — 0.1%** |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust, Series 2021-E, <br> Class XS, 0.00%, 12/25/60<sup>(a)(b)</sup><br>|  | 95809 | 3398769 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class XS, 0.82%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 47865 | 446709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class XS, 2.45%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 34800 | 1457634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class XS, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 42106 | 1355482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class XS, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 56873 | 2619688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class XS, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 54725 | 2339844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class XS2, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 42921 | 1201729 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class A2X, 0.50%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 46377 | 1297431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class A5X, 0.50%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 6624 | 185304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV5, Class AX1, 0.19%, <br> 12/25/51<sup>(a)(b)</sup><br>|  | 89640 | 969005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A2X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 24222 | 687297 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>| USD  | 13860 | $255636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 6756 | 286560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A5X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 2637 | 74834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class AX1, 0.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 47476 | 742369 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust, <br> Series 2017-3, Class BIO, 1.42%, <br> 07/25/56<sup>(a)(b)</sup><br>|  | 2580 | 291117 |
| &nbsp;&nbsp;&nbsp; Voyager OPTONE Delaware Trust, Series 2009-1, <br> Class SAA7, 2.76%, 02/25/38<sup>(a)(b)</sup><br>|  | 11445 | 2497163 |
|  |  |  | 20106571 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp; 245 Park Avenue Trust, Series 2017-245P, <br> Class XA, 0.27%, 06/05/37<sup>(a)(b)</sup><br>|  | 13000 | 40583 |
| &nbsp;&nbsp;&nbsp; BANK, Series 2019-BN20, Class XB, 0.46%, <br> 09/15/62<sup>(b)</sup><br>|  | 39279 | 560704 |
| &nbsp;&nbsp;&nbsp; Bank of America Merrill Lynch Commercial <br> Mortgage Trust, Series 2017-BNK3, Class XB, <br> 0.73%, 02/15/50<sup>(b)</sup><br>|  | 11850 | 95567 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SRCH, Class XA, 1.01%, <br> 08/10/35<sup>(a)(b)</sup><br>|  | 15138 | 201644 |
| &nbsp;&nbsp;&nbsp; Series 2020-C7, Class XB, 1.08%, 04/15/53<sup>(b)</sup> |  | 1596 | 68199 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-B9, Class XA, 1.18%, 03/15/52<sup>(b)</sup> |  | 12397 | 371887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B17, Class XB, 0.62%, <br> 03/15/53<sup>(b)</sup><br>|  | 7100 | 136362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B23, Class XA, 1.36%, <br> 02/15/54<sup>(b)</sup><br>|  | 27114 | 1357710 |
| &nbsp;&nbsp;&nbsp; BMO Mortgage Trust, Series 2023-C5, Class XA, <br> 0.94%, 06/15/56<sup>(b)</sup><br>|  | 14238 | 664909 |
| CFCRE Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C3, Class XD, 1.87%, <br> 01/10/48<sup>(a)(b)</sup><br>|  | 5497 | 45751 |
| &nbsp;&nbsp;&nbsp; Series 2016-C4, Class XB, 0.86%, 05/10/58<sup>(b)</sup> |  | 5810 | 22862 |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, <br> Series 2020-420K, Class X, 0.91%, <br> 11/10/42<sup>(a)(b)</sup><br>|  | 46500 | 1731395 |
| Commercial Mortgage Pass-Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class XA, 0.86%, <br> 08/10/48<sup>(b)</sup><br>|  | 1325 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-COR3, Class XD, 1.75%, <br> 05/10/51<sup>(a)(b)</sup><br>|  | 3200 | 134895 |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CX10, Class XB, 0.32%, <br> 11/15/50<sup>(b)</sup><br>|  | 12490 | 74948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C16, Class XA, 1.69%, <br> 06/15/52<sup>(b)</sup><br>|  | 29415 | 1437081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C17, Class XA, 1.46%, <br> 09/15/52<sup>(b)</sup><br>|  | 9408 | 392334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C17, Class XB, 0.67%, <br> 09/15/52<sup>(b)</sup><br>|  | 19090 | 367099 |
| &nbsp;&nbsp;&nbsp; DBGS Mortgage Trust, Series 2019-1735, <br> Class X, 0.43%, 04/10/37<sup>(a)(b)</sup><br>|  | 21535 | 225127 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank JPMorgan Mortgage Trust, <br> Series 2017-C6, Class XD, 1.00%, <br> 06/10/50<sup>(a)(b)</sup><br>|  | 5780 | 94756 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP10, 0.24%, <br> 06/10/39<sup>(a)(b)</sup><br>| USD  | 51484 | $109228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP15, 1.61%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 46635 | 657064 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust, Series 2019-KW08, <br> Class X2A, 0.00%, 01/25/29<sup>(a)</sup><br>|  | 150211 | 390669 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class XA, 0.93%, <br> 11/10/52<sup>(b)</sup><br>|  | 7682 | 221213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GSA2, Class XA, 1.77%, <br> 12/12/53<sup>(a)(b)</sup><br>|  | 17517 | 1187665 |
| JPMBB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class XA, 0.55%, <br> 09/15/47<sup>(b)</sup><br>|  | 123 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C23, Class XA, 0.51%, <br> 09/15/47<sup>(b)</sup><br>|  | 3600 | 33 |
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, <br> Series 2016-C4, Class XC, 0.75%, <br> 12/15/49<sup>(a)(b)</sup><br>|  | 4940 | 39375 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage <br> Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-LC11, Class XB, 0.59%, <br> 04/15/46<sup>(b)</sup><br>|  | 3059 | 9284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-JP3, Class XC, 0.75%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 13040 | 87028 |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust, <br> Series 2013-GCP, Class XA, 1.30%, <br> 02/15/36<sup>(a)(b)</sup><br>|  | 3457 | 89361 |
| &nbsp;&nbsp;&nbsp; LSTAR Commercial Mortgage Trust, <br> Series 2017-5, Class X, 1.00%, 03/10/50<sup>(a)(b)</sup><br>|  | 2350 | 22567 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-TWA, <br> Class XA, 0.92%, 06/12/39<sup>(a)</sup><br>|  | 16557 | 206226 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C19, Class XF, 1.38%, <br> 12/15/47<sup>(a)(b)</sup><br>|  | 4370 | 49332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C26, Class XD, 1.39%, <br> 10/15/48<sup>(a)(b)</sup><br>|  | 4490 | 35497 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-UBS9, Class XD, 1.74%, <br> 03/15/49<sup>(a)(b)</sup><br>|  | 13984 | 306167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H1, Class XD, 2.30%, <br> 06/15/50<sup>(a)(b)</sup><br>|  | 3293 | 117624 |
| &nbsp;&nbsp;&nbsp; Series 2019-H6, Class XB, 0.86%, 06/15/52<sup>(b)</sup> |  | 23510 | 587404 |
| &nbsp;&nbsp;&nbsp; Series 2019-L2, Class XA, 1.16%, 03/15/52<sup>(b)</sup> |  | 8005 | 242014 |
| &nbsp;&nbsp;&nbsp; MSWF Commercial Mortgage Trust, <br> Series 2023-2, Class XA, 1.14%, 12/15/56<sup>(b)</sup><br>|  | 56204 | 3315652 |
| &nbsp;&nbsp;&nbsp; Olympic Tower Mortgage Trust, Series 2017-OT, <br> Class XA, 0.51%, 05/10/39<sup>(a)(b)</sup><br>|  | 36697 | 209628 |
| One Market Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XCP, 0.00%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 44225 | 137707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XNCP, 0.22%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 8845 | 23138 |
| UBS Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C17, Class XA, 1.58%, <br> 10/15/52<sup>(b)</sup><br>|  | 18405 | 896015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C18, Class XA, 1.11%, <br> 12/15/52<sup>(b)</sup><br>|  | 32935 | 1031996 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-NXS4, Class XA, 1.14%, <br> 12/15/48<sup>(b)</sup><br>| USD  | 1937 | $393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-BNK1, Class XD, 1.38%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 4420 | 53798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C50, Class XA, 1.57%, <br> 05/15/52<sup>(b)</sup><br>|  | 21096 | 847885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class X, 0.31%, <br> 07/15/43<sup>(a)(b)</sup><br>|  | 33871 | 307484 |
|  |  |  | 19205283 |
| **Principal Only Collateralized Mortgage Obligations — 0.0%** | **Principal Only Collateralized Mortgage Obligations — 0.0%** | **Principal Only Collateralized Mortgage Obligations — 0.0%** | **Principal Only Collateralized Mortgage Obligations — 0.0%** |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust, <br> Series 2017-3, Class B, 0.00%, 07/25/56<sup>(a)(d)</sup><br>|  | 1492 | 225419 |
| **Total Non-Agency Mortgage-Backed Securities — 12.7%** <br>**(Cost: $2,420,191,163)** | **Total Non-Agency Mortgage-Backed Securities — 12.7%** <br>**(Cost: $2,420,191,163)** | **Total Non-Agency Mortgage-Backed Securities — 12.7%** <br>**(Cost: $2,420,191,163)** | 2374381729 |
| **Preferred Securities** | **Preferred Securities** | **Preferred Securities** | **Preferred Securities** |
| **Capital Trusts — 0.2%** | **Capital Trusts — 0.2%** | **Capital Trusts — 0.2%** | **Capital Trusts — 0.2%** |
| **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** |
| Bangkok Bank PCL, 5.00%<sup>(e)(m)</sup> |  | 500 | 498400 |
| Barclays PLC, 4.38%<sup>(m)</sup> |  | 462 | 430048 |
| BNP Paribas SA, 4.63%<sup>(a)(m)</sup> |  | 462 | 448733 |
| Krung Thai Bank PCL, 4.40%<sup>(e)(m)</sup> |  | 500 | 492250 |
| Rizal Commercial Banking Corp., 6.50%<sup>(e)(m)</sup> |  | 500 | 498750 |
|  |  |  | 2368181 |
| **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** |
| UBS Group AG, 4.88%<sup>(a)(m)</sup> |  | 483 | 469788 |
| **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** | **Construction Materials — 0.0%** |
| Cemex SAB de CV, 7.20%<sup>(a)(m)</sup> |  | 6903 | 6982385 |
| **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** | **Electric Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc., Series B, 7.00%, <br> 06/01/54<br>|  | 6582 | 7062038 |
| PG&E Corp., 7.38%, 03/15/55 |  | 24263 | 22977550 |
|  |  |  | 30039588 |
| **Energy Equipment & Services — 0.0%** | **Energy Equipment & Services — 0.0%** | **Energy Equipment & Services — 0.0%** | **Energy Equipment & Services — 0.0%** |
| Venture Global LNG, Inc., 9.00%<sup>(a)(m)</sup> |  | 1775 | 1725653 |
| **Media — 0.0%** | **Media — 0.0%** | **Media — 0.0%** | **Media — 0.0%** |
| Paramount Global, 6.38%, 03/30/62 |  | 1698 | 1668345 |
| **Total Capital Trusts — 0.2%** | **Total Capital Trusts — 0.2%** | **Total Capital Trusts — 0.2%** | 43253940 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Preferred Stocks — 0.4%** | **Preferred Stocks — 0.4%** | **Preferred Stocks — 0.4%** |
| **Aerospace & Defense — 0.0%** | **Aerospace & Defense — 0.0%** | **Aerospace & Defense — 0.0%** |
| Boeing Co. (The), 6.00%<sup>(p)</sup> | 38550 | 2621400 |
| **Financial Services — 0.0%** | **Financial Services — 0.0%** | **Financial Services — 0.0%** |
| &nbsp;&nbsp;&nbsp; SCI PH Parent, Inc., Series A, (Acquired <br> 02/10/23, cost $1,875,000), 12.50%<sup>(g)(i)</sup><br>| 1875 | 2404819 |
| **Household Durables — 0.1%** | **Household Durables — 0.1%** | **Household Durables — 0.1%** |
| &nbsp;&nbsp;&nbsp; Dream Finders Homes, Inc. (Preference), <br> 9.00%<sup>(g)(m)</sup><br>| 15124 | 14897140 |
| Lessen Holdings, Inc., Series B, 0.00%<sup>(g)</sup> | 143367 | 420065 |
|  |  | 15317205 |
| **IT Services — 0.1%** | **IT Services — 0.1%** | **IT Services — 0.1%** |
| Veritas NewCo. |  |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)</sup> | 13357 | 300532 |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares*<br>| *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
| Veritas NewCo. |  |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)</sup> | 9228 | $207630 |
| X.AI Holdings Corp., Series C, 0.00%<sup>(g)</sup> | 363422 | 12054708 |
|  |  | 12562870 |
| **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** |
| Insight M, Inc., 0.00%<sup>(g)</sup> | 3271821 | 744339 |
| **Software — 0.1%** | **Software — 0.1%** | **Software — 0.1%** |
| &nbsp;&nbsp;&nbsp; Versa Networks, Inc., Series E, (12.66% Cash or <br> 12.66% PIK), (Acquired 10/14/22, cost <br> $12,017,972), 12.00%<sup>(g)(i)(o)</sup><br>| 4118274 | 21044380 |
| **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** |
| Davidson Homes, Inc., 12.00%<sup>(g)</sup> | 18658 | 19279871 |
| **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** | **Textiles, Apparel & Luxury Goods — 0.0%** |
| Cap Hill Brands, 0.00%<sup>(g)</sup> | 2670520 | 80116 |
| **Total Preferred Stocks — 0.4%** | **Total Preferred Stocks — 0.4%** | 74055000 |
| **Total Preferred Securities — 0.6%** <br>**(Cost: $108,063,585)** | **Total Preferred Securities — 0.6%** <br>**(Cost: $108,063,585)** | 117308940 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 0.0%** | **Agency Obligations — 0.0%** | **Agency Obligations — 0.0%** | **Agency Obligations — 0.0%** |
| Fannie Mae, 6.63%, 11/15/30 | USD  | 1450 | 1640561 |
| **Collateralized Mortgage Obligations — 1.1%** | **Collateralized Mortgage Obligations — 1.1%** | **Collateralized Mortgage Obligations — 1.1%** | **Collateralized Mortgage Obligations — 1.1%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae, Series 2003-W5, Class A, (1-mo. <br> CME Term SOFR + 0.11%), 4.66%, <br> 04/25/33<sup>(b)</sup><br>|  | 1 | 724 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5513, Class FD, (SOFR (30-day) + <br> 1.35%), 5.66%, 01/25/55<sup>(b)</sup><br>|  | 58387 | 58507407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5516, Class FC, (SOFR (30-day) + <br> 1.40%), 5.71%, 03/25/55<sup>(b)</sup><br>|  | 137848 | 138191598 |
|  |  |  | 196699729 |
| **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae, Series 2006-M2, Class A2A, 5.27%, <br> 10/25/32<sup>(b)</sup><br>|  | 125 | 125467 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P015, Class A1, 4.45%, <br> 11/25/32<sup>(b)</sup><br>|  | 2111 | 2067995 |
| &nbsp;&nbsp;&nbsp; Series KJ48, Class A2, 5.03%, 10/25/31 |  | 2327 | 2383554 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-118, Class BA, 3.75%, 05/16/65<sup>(b)</sup> |  | 1361 | 1243490 |
| &nbsp;&nbsp;&nbsp; Series 2023-119, Class AD, 2.25%, 04/16/65 |  | 2525 | 2038185 |
| &nbsp;&nbsp;&nbsp; Series 2023-50, Class AC, 3.25%, 09/16/63<sup>(b)</sup> |  | 1108 | 1005560 |
|  |  |  | 8864251 |
| **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae, Series 2020-32, Class PI, 4.00%, <br> 05/25/50<br>|  | 4727 | 1010234 |
| &nbsp;&nbsp;&nbsp; Freddie Mac, Series 5112, Class KI, 3.50%, <br> 06/25/51<br>|  | 19383 | 3600197 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-58, Class IY, 3.00%, 02/20/51 |  | 36095 | 6019989 |
| &nbsp;&nbsp;&nbsp; Series 2021-67, Class QI, 3.00%, 04/20/51 |  | 3262 | 560289 |
| &nbsp;&nbsp;&nbsp; Series 2021-76, Class JI, 3.00%, 08/20/50 |  | 3351 | 574480 |
| &nbsp;&nbsp;&nbsp; Series 2021-78, Class IP, 3.00%, 05/20/51 |  | 33503 | 5655748 |
| &nbsp;&nbsp;&nbsp; Series 2021-83, Class PI, 3.00%, 05/20/51 |  | 8627 | 1469882 |
| &nbsp;&nbsp;&nbsp; Series 2021-96, Class MI, 3.00%, 06/20/51 |  | 5849 | 1005661 |
| &nbsp;&nbsp;&nbsp; Series 2021-97, Class LI, 3.00%, 08/20/50 |  | 43117 | 7174324 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-78, Class IO, 3.00%, 08/20/51 | USD  | 7313 | $1243116 |
| &nbsp;&nbsp;&nbsp; Series 2022-85, Class IK, 3.00%, 05/20/51 |  | 21389 | 3677824 |
|  |  |  | 31991744 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series K121, Class X1, 1.11%, 10/25/30<sup>(b)</sup> |  | 13528 | 574283 |
| &nbsp;&nbsp;&nbsp; Series KL06, Class XFX, 1.46%, 12/25/29<sup>(b)</sup> |  | 6648 | 331148 |
| &nbsp;&nbsp;&nbsp; Series KW09, Class X1, 0.92%, 05/25/29<sup>(b)</sup> |  | 34391 | 762734 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-30, Class IO, 0.53%, 09/16/53<sup>(b)</sup> |  | 2368 | 34271 |
| &nbsp;&nbsp;&nbsp; Series 2016-36, Class IO, 0.66%, 08/16/57<sup>(b)</sup> |  | 577 | 16155 |
| &nbsp;&nbsp;&nbsp; Series 2016-96, Class IO, 0.77%, 12/16/57<sup>(b)</sup> |  | 3054 | 115088 |
|  |  |  | 1833679 |
| **Mortgage-Backed Securities — 46.2%** | **Mortgage-Backed Securities — 46.2%** | **Mortgage-Backed Securities — 46.2%** | **Mortgage-Backed Securities — 46.2%** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/35 - 03/01/51 |  | 217795 | 178708167 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/31 - 03/01/52 |  | 584211 | 479148467 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 - 02/01/52 |  | 425979 | 364462256 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 - 05/01/52 |  | 126272 | 114558069 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/28 - 01/01/51 |  | 104588 | 96033012 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/31 - 04/01/52 |  | 89470 | 84856775 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/25 - 07/01/52 |  | 120872 | 118104565 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/32 - 04/01/53 |  | 53833 | 53497919 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 - 06/01/53 |  | 146545 | 147229288 |
| &nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 |  | 5495 | 5696990 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/34 - 08/01/53 |  | 113410 | 116060596 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/40 - 07/01/54 |  | 89700 | 92923224 |
| Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/01/36 - 10/01/50 |  | 35577 | 29442040 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/35 - 02/01/52 |  | 367828 | 301948185 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/27 - 04/01/52 |  | 266474 | 225427771 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 - 08/01/52 |  | 236624 | 209592626 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/31 - 06/01/50 |  | 63562 | 59865504 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 - 06/01/52 |  | 100289 | 95420780 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 - 08/01/52 |  | 71183 | 69187718 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 - 11/01/53 |  | 111289 | 109779750 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 - 08/01/53 |  | 44337 | 44732622 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/52 - 06/01/53 |  | 45136 | 46155416 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/53 - 07/01/54 |  | 14224 | 14831158 |
| Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 - 07/15/55<sup>(r)</sup> |  | 203847 | 166021370 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/51 - 07/15/55<sup>(r)</sup> |  | 204609 | 173890440 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/44 - 07/15/55<sup>(r)</sup> |  | 148590 | 131643919 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/42 - 07/15/55<sup>(r)</sup> |  | 182415 | 166273454 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/39 - 07/15/55<sup>(r)</sup> |  | 100026 | 93574584 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/39 - 07/15/55<sup>(r)</sup> |  | 89709 | 86005259 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/33 - 07/15/55<sup>(r)</sup> |  | 113717 | 111751599 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/55<sup>(r)</sup> |  | 126056 | 126221422 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/55<sup>(r)</sup> |  | 79938 | 81105676 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/55<sup>(r)</sup> |  | 39017 | 40052105 |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/40 - 07/01/55<sup>(r)</sup> |  | 92419 | 73785153 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/40 - 07/01/55<sup>(r)</sup> |  | 20737 | 18186390 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/40 - 07/01/55<sup>(r)</sup> |  | 47994 | 41531445 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/55<sup>(r)</sup> |  | 157397 | 141677614 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/40 - 07/01/55<sup>(r)</sup> |  | 39160 | 36622480 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 - 07/01/55<sup>(r)</sup> |  | 554793 | 531714930 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/55<sup>(r)</sup> |  | 278017 | 272428903 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/55<sup>(r)</sup> |  | 1352868 | 1352558491 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/55<sup>(r)</sup> | USD  | 1832603 | $1862149765 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/55<sup>(r)</sup> |  | 91322 | 94226497 |
|  |  |  | 8659084394 |
| **Total U.S. Government Sponsored Agency Securities — 47.5%** <br>**(Cost: $9,160,983,540)** | **Total U.S. Government Sponsored Agency Securities — 47.5%** <br>**(Cost: $9,160,983,540)** | **Total U.S. Government Sponsored Agency Securities — 47.5%** <br>**(Cost: $9,160,983,540)** | 8900114358 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/39 |  | 7796 | 7766865 |
| &nbsp;&nbsp;&nbsp; 4.63%, 02/15/40 - 11/15/44 |  | 36278 | 35750250 |
| &nbsp;&nbsp;&nbsp; 1.13%, 05/15/40 - 08/15/40 |  | 14792 | 9148217 |
| &nbsp;&nbsp;&nbsp; 3.88%, 08/15/40 - 02/15/43<sup>(s)</sup> |  | 116397 | 104412020 |
| &nbsp;&nbsp;&nbsp; 1.38%, 11/15/40 - 08/15/50 |  | 35293 | 18466301 |
| &nbsp;&nbsp;&nbsp; 4.25%, 11/15/40 |  | 33097 | 31726386 |
| &nbsp;&nbsp;&nbsp; 1.88%, 02/15/41 - 11/15/51 |  | 135903 | 82941599 |
| &nbsp;&nbsp;&nbsp; 3.75%, 08/15/41 - 11/15/43 |  | 66843 | 59072977 |
| &nbsp;&nbsp;&nbsp; 2.38%, 02/15/42 - 05/15/51 |  | 72964 | 48757426 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/15/42 - 08/15/52 |  | 334832 | 248003121 |
| &nbsp;&nbsp;&nbsp; 3.63%, 08/15/43 - 05/15/53 |  | 158930 | 131309435 |
| &nbsp;&nbsp;&nbsp; 3.13%, 08/15/44 - 05/15/48 |  | 64699 | 50183273 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/44 - 08/15/53 |  | 128577 | 116178119 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/15/45 |  | 83945 | 59095969 |
| &nbsp;&nbsp;&nbsp; 2.75%, 11/15/47 |  | 84374 | 59997824 |
| &nbsp;&nbsp;&nbsp; 2.88%, 05/15/49 |  | 27897 | 20025905 |
| &nbsp;&nbsp;&nbsp; 2.25%, 08/15/49 - 02/15/52 |  | 76317 | 47361866 |
| &nbsp;&nbsp;&nbsp; 1.63%, 11/15/50 |  | 29156 | 15360639 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/15/51 |  | 27897 | 16083274 |
| &nbsp;&nbsp;&nbsp; 4.75%, 05/15/55<sup>(s)</sup> |  | 163460 | 162540538 |
| U.S. Treasury Notes |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/15/26 |  | 91501 | 91823577 |
| &nbsp;&nbsp;&nbsp; 4.38%, 12/15/26 - 08/31/28 |  | 92410 | 94102175 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/27 - 02/15/34 |  | 164855 | 164790884 |
| &nbsp;&nbsp;&nbsp; 4.25%, 03/15/27 - 05/15/35 |  | 379397 | 380916952 |
| &nbsp;&nbsp;&nbsp; 0.50%, 04/30/27 - 05/31/27 |  | 115438 | 108700517 |
| &nbsp;&nbsp;&nbsp; 2.38%, 05/15/27 - 03/31/29 |  | 91166 | 87233996 |
| &nbsp;&nbsp;&nbsp; 2.25%, 08/15/27 |  | 16447 | 15953590 |
| &nbsp;&nbsp;&nbsp; 0.38%, 09/30/27 |  | 36576 | 33961387 |
| &nbsp;&nbsp;&nbsp; 3.88%, 11/30/27 - 11/30/29 |  | 155252 | 155894120 |
| &nbsp;&nbsp;&nbsp; 1.25%, 03/31/28 - 09/30/28 |  | 223447 | 207952325 |
| &nbsp;&nbsp;&nbsp; 1.13%, 08/31/28 |  | 63183 | 58340616 |
| &nbsp;&nbsp;&nbsp; 3.75%, 12/31/28 - 05/31/30 |  | 178406 | 178336109 |
| &nbsp;&nbsp;&nbsp; 2.88%, 04/30/29 - 05/15/32 |  | 99441 | 96237125 |
| &nbsp;&nbsp;&nbsp; 3.25%, 06/30/29 |  | 74119 | 72764503 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/31/30 |  | 35119 | 34709897 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/15/30 |  | 25743 | 23295404 |
| &nbsp;&nbsp;&nbsp; 4.88%, 10/31/30 |  | 26721 | 28049638 |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/30/31 |  | 65840 | 64739238 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/31/31 |  | 63703 | 65683456 |
| **Total U.S. Treasury Obligations — 17.5%** <br>**(Cost: $3,505,107,445)** | **Total U.S. Treasury Obligations — 17.5%** <br>**(Cost: $3,505,107,445)** | **Total U.S. Treasury Obligations — 17.5%** <br>**(Cost: $3,505,107,445)** | 3287667513 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Warrants**<sup>(h)</sup> | **Warrants**<sup>(h)</sup> | **Warrants**<sup>(h)</sup> |
| **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** |
| &nbsp;&nbsp;&nbsp; New York Community Bancorp, Inc., <br> (Issued/Exercisable 03/07/24, 1 Share for <br> 1 Warrant, Expires 12/31/49, Strike Price <br> USD 2,485.52) (Acquired 03/07/24, cost <br> $0)<sup>(g)(i)</sup><br>| 948 | 1810358 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares*<br>| *Value* |
| **Beverages — 0.0%** | **Beverages — 0.0%** | **Beverages — 0.0%** |
| &nbsp;&nbsp;&nbsp; Cirkul, (Issued/Exercisable 05/01/25, 1 Share for <br> 1 Warrant, Expires 04/25/35, Strike Price USD <br> 35.41)<sup>(g)</sup><br>| 11359 | $52365 |
| &nbsp;&nbsp;&nbsp; Cirkul, (Issued/Exercisable 05/01/25, 1 Share for <br> 1 Warrant, Expires 04/25/35, Strike Price USD <br> 0.01)<sup>(g)</sup><br>| 11075 | 151506 |
|  |  | 203871 |
| **Capital Markets — 0.0%** | **Capital Markets — 0.0%** | **Capital Markets — 0.0%** |
| &nbsp;&nbsp;&nbsp; Crown PropTech Acquisitions, <br> (Issued/Exercisable 01/25/21, 1 Share for <br> 1 Warrant, Expires 02/01/26, Strike Price USD <br> 11.50)<sup>(g)</sup><br>| 214560 | 54584 |
| &nbsp;&nbsp;&nbsp; Crown PropTech Acquisitions, <br> (Issued/Exercisable 12/25/21, 1 Share for <br> 1 Warrant, Expires 12/31/27, Strike Price USD <br> 11.50)<br>| 128396 | 321 |
|  |  | 54905 |
| **Hotels, Restaurants & Leisure — 0.0%** | **Hotels, Restaurants & Leisure — 0.0%** | **Hotels, Restaurants & Leisure — 0.0%** |
| &nbsp;&nbsp;&nbsp; Sonder Holdings, Inc., (Issued/Exercisable <br> 04/11/25, 1 Share for 1 Warrant, Expires <br> 04/11/30, Strike Price USD 1.00)<sup>(g)</sup><br>| 262154 | 495472 |
| &nbsp;&nbsp;&nbsp; Sonder Holdings, Inc., (Issued/Exercisable <br> 12/30/24, 1 Share for 1 Warrant, Expires <br> 12/30/29, Strike Price USD 0.01)<sup>(g)</sup><br>| 26279 | 70690 |
|  |  | 566162 |
| **Machinery — 0.0%** | **Machinery — 0.0%** | **Machinery — 0.0%** |
| &nbsp;&nbsp;&nbsp; Palladyne AI Corp., (Issued/Exercisable 01/11/22, <br> 1 Share for 1 Warrant, Expires 01/31/26, Strike <br> Price USD 69.00)<br>| 72998 | 27885 |
| &nbsp;&nbsp;&nbsp; Palladyne AI Corp., (Issued/Exercisable 12/21/20, <br> 1 Share for 1 Warrant, Expires 06/15/27, Strike <br> Price USD 11.50)<br>| 267474 | 102175 |
|  |  | 130060 |
| **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** | **Oil, Gas & Consumable Fuels — 0.0%** |
| &nbsp;&nbsp;&nbsp; Insight M, Inc., (Issued/Exercisable 01/25/24, <br> 1 Share for 1 Warrant, Expires 12/31/49, Strike <br> Price USD 0.34)<sup>(g)</sup><br>| 3390177 | 332915 |
| **Passenger Airlines — 0.0%** | **Passenger Airlines — 0.0%** | **Passenger Airlines — 0.0%** |
| &nbsp;&nbsp;&nbsp; Volato Group, Inc., (Issued/Exercisable 12/08/23, <br> 1 Share for 1 Warrant, Expires 12/03/28, Strike <br> Price USD 11.50) (Acquired 12/03/21, cost <br> $73,612)<sup>(i)</sup><br>| 73612 | 1877 |
| **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** | **Real Estate Management & Development — 0.0%** |
| &nbsp;&nbsp;&nbsp; Offerpad Solutions, Inc., (Issued <br> 10/13/20/Exercisable 10/23/21, 1 Share for <br> 1 Warrant, Expires 09/01/26, Strike Price USD <br> 11.50)<br>| 111610 | 525 |
| **Software — 0.0%** | **Software — 0.0%** | **Software — 0.0%** |
| &nbsp;&nbsp;&nbsp; Aurora Innovation, Inc., (Issued <br> 05/04/21/Exercisable 05/04/22, 1 Share for <br> 1 Warrant, Expires 12/31/28, Strike Price USD <br> 11.50)<br>| 16026 | 13939 |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares*<br>| *Value* |
| **Software (continued)** | **Software (continued)** | **Software (continued)** |
| &nbsp;&nbsp;&nbsp; Latch, Inc., (Issued 12/29/20/Exercisable <br> 11/13/21, 1 Share for 1 Warrant, Expires <br> 06/04/26, Strike Price USD 11.50)<sup>(g)</sup><br>| 49166 | $5 |
| &nbsp;&nbsp;&nbsp; Versa Networks, Inc., Series E, <br> (Issued/Exercisable 10/05/22, 1 Share for <br> 1 Warrant, Expires 10/07/32, Strike Price USD <br> 0.01) (Acquired 10/14/22, cost $0)<sup>(g)(i)</sup><br>| 507586 | 2050648 |
|  |  | 2064592 |
| **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** | **Specialty Retail — 0.0%** |
| &nbsp;&nbsp;&nbsp; Davidson Homes, (Issued/Exercisable 05/16/24, <br> 1 Share for 1 Warrant, Expires 05/16/34, Strike <br> Price USD 8.46) - Class A<sup>(g)</sup><br>| 129494 | 524451 |
| &nbsp;&nbsp;&nbsp; EVgo, Inc., (Issued 11/10/20/Exercisable <br> 10/02/21, 1 Share for 1 Warrant, Expires <br> 09/15/25, Strike Price USD 11.50)<br>| 75790 | 16674 |
|  |  | 541125 |
| **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** | **Trading Companies & Distributors — 0.0%** |
| &nbsp;&nbsp;&nbsp; Lavoro Ltd., (Issued 12/27/22/Exercisable <br> 12/27/23, 1 Share for 1 Warrant, Expires <br> 12/27/27, Strike Price USD 11.50)<br>| 79561 | 2864 |
| **Total Warrants — 0.0%** <br>**(Cost: $1,433,474)** | **Total Warrants — 0.0%** <br>**(Cost: $1,433,474)** | 5709254 |
| **Total Long-Term Investments — 124.4%** <br>**(Cost: $23,917,463,602)** | **Total Long-Term Investments — 124.4%** <br>**(Cost: $23,917,463,602)** | 23331168963 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 2.2%** | **Money Market Funds — 2.2%** | **Money Market Funds — 2.2%** |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institutional, SL Agency <br> Shares, 4.47%<sup>(q)(t)(u)</sup><br>| 13143369 | 13148626 |
| &nbsp;&nbsp;&nbsp; BlackRock Liquidity Funds, T-Fund, Institutional <br> Shares, 4.20%<sup>(q)(t)</sup><br>| 389556556 | 389556556 |
| **Total Short-Term Securities — 2.2%** <br>**(Cost: $402,704,961)** | **Total Short-Term Securities — 2.2%** <br>**(Cost: $402,704,961)** | 402705182 |
| **Options Purchased — 0.1%** <br>**(Cost: $21,891,578)** | **Options Purchased — 0.1%** <br>**(Cost: $21,891,578)** | 20424513 |
| **Total Investments Before Options Written and TBA Sale** <br> **Commitments — 126.7%** <br>**(Cost: $24,342,060,141)** | **Total Investments Before Options Written and TBA Sale** <br> **Commitments — 126.7%** <br>**(Cost: $24,342,060,141)** | 23754298658 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **TBA Sale Commitments**<sup>(r)</sup> | **TBA Sale Commitments**<sup>(r)</sup> | **TBA Sale Commitments**<sup>(r)</sup> | **TBA Sale Commitments**<sup>(r)</sup> |
| **Mortgage-Backed Securities — (7.9)%** | **Mortgage-Backed Securities — (7.9)%** | **Mortgage-Backed Securities — (7.9)%** | **Mortgage-Backed Securities — (7.9)%** |
| Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/15/55 | USD  | (2651)<br>| (2158444)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 07/15/55 |  | (2387)<br>| (2027612)<br>|
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/55 |  | (1562)<br>| (1381369)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/55 |  | (70489)<br>| (64076863)<br>|
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/55 |  | (20115)<br>| (18699312)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/55 |  | (715)<br>| (684296)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/55 |  | (887)<br>| (871165)<br>|
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/55 |  | (964)<br>| (965265)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/55 |  | (627)<br>| (636159)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/55 |  | (313)<br>| (321304)<br>|
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/40 |  | (7425)<br>| (6596656)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/40 - 07/01/55 | USD  | (11769)<br>| $(9624637)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/40 - 07/01/55 |  | (6253)<br>| (5242383)<br>|
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/40 - 07/01/55 |  | (64830)<br>| (56101375)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/40 - 07/01/55 |  | (5495)<br>| (5117664)<br>|
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/40 - 07/01/55 |  | (1923)<br>| (1793708)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 - 07/01/55 |  | (703598)<br>| (672900775)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/55 |  | (65566)<br>| (64248134)<br>|
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/55 |  | (2131)<br>| (2130512)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/55 |  | (504425)<br>| (512557764)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/55 |  | (43643)<br>| (45060377)<br>|
| **Total TBA Sale Commitments — (7.9)%** <br>**(Proceeds: $(1462106491))** | **Total TBA Sale Commitments — (7.9)%** <br>**(Proceeds: $(1462106491))** | **Total TBA Sale Commitments — (7.9)%** <br>**(Proceeds: $(1462106491))** | (1473195774)<br>|
| **Options Written — (0.0)%** <br>**(Premiums Received: $(7686459))** | **Options Written — (0.0)%** <br>**(Premiums Received: $(7686459))** | **Options Written — (0.0)%** <br>**(Premiums Received: $(7686459))** | (2665651)<br>|
| **Total Investments Net of Options Written and TBA Sale** <br> **Commitments — 118.8%** <br>**(Cost: $22,872,267,191)** | **Total Investments Net of Options Written and TBA Sale** <br> **Commitments — 118.8%** <br>**(Cost: $22,872,267,191)** | **Total Investments Net of Options Written and TBA Sale** <br> **Commitments — 118.8%** <br>**(Cost: $22,872,267,191)** | 22278437233 |
| **Liabilities in Excess of Other Assets — (18.8)%** | **Liabilities in Excess of Other Assets — (18.8)%** | **Liabilities in Excess of Other Assets — (18.8)%** | (3528837990)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $18749599243 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(c)</sup> Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. 

<sup>(d)</sup> Zero-coupon bond.

<sup>(e)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. 

<sup>(f)</sup> When-issued security.

<sup>(g)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. 

<sup>(h)</sup> Non-income producing security.

<sup>(i)</sup> Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $67,812,578, representing 0.4% of its net assets as of period end, and an original cost of $50,846,283. 

<sup>(j)</sup> All or a portion of this security is on loan.

<sup>(k)</sup> All or a portion of the security is held by a wholly-owned subsidiary.

<sup>(l)</sup> Investment does not issue shares.

<sup>(m)</sup> Perpetual security with no stated maturity date.

<sup>(n)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(o)</sup> Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. 

<sup>(p)</sup> Convertible security.

<sup>(q)</sup> Affiliate of the Fund.

<sup>(r)</sup> Represents or includes a TBA transaction.

<sup>(s)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. 

<sup>(t)</sup> Annualized 7-day yield as of period end.

<sup>(u)</sup> All or a portion of this security was purchased with the cash collateral from loaned securities. 

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Fund during the period ended June 30, 2025 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*09/30/24*<br>| *Purchases* <br>*at Cost*<br>| *Proceeds* <br>*from Sales*<br>| *Net* <br>*Realized* <br>*Gain* <br>*(Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*06/30/25*<br>| *Par/Shares* <br>*Held at* <br>*06/30/25*<br>| *Income* | *Capital* <br>*Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| &nbsp;&nbsp;&nbsp; BlackRock Capital <br> Finance LP, <br> Series 1997-R2, <br> Class AP<br>| &nbsp;&nbsp; $—<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; 830 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| &nbsp;&nbsp;&nbsp; BlackRock Cash <br> Funds: Institutional, <br> SL Agency Shares<br>| &nbsp;&nbsp; 11651570<br>| &nbsp;&nbsp; 1501236 <br><sup>(a)</sup><br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (3706)<br>| &nbsp;&nbsp; (474)<br>| &nbsp;&nbsp; 13148626 | &nbsp;&nbsp; 13143369 | &nbsp;&nbsp; 29574 <br><sup>(b)</sup><br>| &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; BlackRock Liquidity <br> Funds, T-Fund, <br> Institutional Shares<br>| &nbsp;&nbsp; 1075080828<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (685524272 )<sup>(a)</sup><br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 389556556 | &nbsp;&nbsp; 389556556 | &nbsp;&nbsp; 18671609 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; iShares 0-5 Year High <br> Yield Corporate Bond <br> ETF<br>| &nbsp;&nbsp; —<br>| &nbsp;&nbsp; 51526050 | &nbsp;&nbsp; (3731305)<br>| &nbsp;&nbsp; (134464)<br>| &nbsp;&nbsp; 44233 | &nbsp;&nbsp; 47704514 | &nbsp;&nbsp; 1105807 | &nbsp;&nbsp; 1795040 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; iShares AAA CLO <br> Active ETF<br>| &nbsp;&nbsp; —<br>| &nbsp;&nbsp; 10352000 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 32000 | &nbsp;&nbsp; 10384000 | &nbsp;&nbsp; 200000 | &nbsp;&nbsp; 388294 | &nbsp;&nbsp; 3675 |
| &nbsp;&nbsp;&nbsp; iShares iBoxx $ Investment Grade <br> Corporate Bond ETF<br>| &nbsp;&nbsp; 5087376<br>| &nbsp;&nbsp; 152074784 | &nbsp;&nbsp; (149835577)<br>| &nbsp;&nbsp; (351884)<br>| &nbsp;&nbsp; 188315 | &nbsp;&nbsp; 7163014 | &nbsp;&nbsp; 65350 | &nbsp;&nbsp; 189579 | &nbsp;&nbsp; — |
|  |  |  |  | &nbsp;&nbsp; $(490054)<br>| &nbsp;&nbsp; $264074 | &nbsp;&nbsp; $467956710 |  | &nbsp;&nbsp; $21074096 | &nbsp;&nbsp; $3675 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Represents net amount purchased (sold).

<sup>(b)</sup> All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of collateral investment fees, and other payments to and from borrowers of securities. 

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp; *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro-Bobl | 1497 | 09/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; $207516 | &nbsp;&nbsp;&nbsp;&nbsp; $(251401)<br>|
| &nbsp;&nbsp;&nbsp; Euro-Bund | 47 | 09/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; 7206 | &nbsp;&nbsp;&nbsp;&nbsp; (28944)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 3508 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 404626 | &nbsp;&nbsp;&nbsp;&nbsp; 13797303 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 1453 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 162918 | &nbsp;&nbsp;&nbsp;&nbsp; 2667005 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 24225 | 09/30/25 | &nbsp;&nbsp;&nbsp;&nbsp; 5039936 | &nbsp;&nbsp;&nbsp;&nbsp; 21675723 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 10424 | 09/30/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1136379 | &nbsp;&nbsp;&nbsp;&nbsp; 12622221 |
| &nbsp;&nbsp;&nbsp; 3-month SOFR | 11494 | 03/17/26 | &nbsp;&nbsp;&nbsp;&nbsp; 2768043 | &nbsp;&nbsp;&nbsp;&nbsp; 1786332 |
| &nbsp;&nbsp;&nbsp; 3-month SOFR | 184 | 09/15/26 | &nbsp;&nbsp;&nbsp;&nbsp; 44540 | &nbsp;&nbsp;&nbsp;&nbsp; 11246 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 52279485 |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro-BTP Italian Government Bond | 51 | 09/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; 7269 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp; Euro-Buxl | 455 | 09/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; 63641 | &nbsp;&nbsp;&nbsp;&nbsp; 1113001 |
| &nbsp;&nbsp;&nbsp; 10-Year Australian Treasury Bonds | 668 | 09/15/25 | &nbsp;&nbsp;&nbsp;&nbsp; 50392 | &nbsp;&nbsp;&nbsp;&nbsp; (482014)<br>|
| &nbsp;&nbsp;&nbsp; 10-Year Canadian Bond | 89 | 09/18/25 | &nbsp;&nbsp;&nbsp;&nbsp; 7974 | &nbsp;&nbsp;&nbsp;&nbsp; (50286)<br>|
| &nbsp;&nbsp;&nbsp; E-mini Russell 2000 Index | 197 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 61599 | &nbsp;&nbsp;&nbsp;&nbsp; (2166536)<br>|
| &nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 286 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 31341 | &nbsp;&nbsp;&nbsp;&nbsp; (1045643)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Bonds | 498 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 59246 | &nbsp;&nbsp;&nbsp;&nbsp; (2083044)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 16247 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1856220 | &nbsp;&nbsp;&nbsp;&nbsp; (37787391)<br>|
| &nbsp;&nbsp;&nbsp; Long Gilt | 15 | 09/26/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1915 | &nbsp;&nbsp;&nbsp;&nbsp; 3990 |
| &nbsp;&nbsp;&nbsp; 3-month EURIBOR | 36 | 06/15/26 | &nbsp;&nbsp;&nbsp;&nbsp; 10411 | &nbsp;&nbsp;&nbsp;&nbsp; (574)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (42498000)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $9781485 |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| PLN | 89386049 | USD | 23727405 | State Street Bank and Trust Co. | 07/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1065087 |
| EUR | 250295 | USD | 285096 | HSBC Bank PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10071 |
| EUR | 273409 | USD | 311100 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11325 |
| EUR | 196618 | USD | 223723 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8144 |
| EUR | 137761 | USD | 156751 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5706 |
| EUR | 253935 | USD | 288942 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10518 |
| EUR | 104010 | USD | 118349 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4308 |
| EUR | 125447 | USD | 142741 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5196 |
| EUR | 347320 | USD | 395200 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14386 |
| EUR | 238553 | USD | 271438 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9881 |
| EUR | 98431 | USD | 112001 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4077 |
| EUR | 1006097 | USD | 1144793 | Morgan Stanley & Co. International PLC | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41672 |
| EUR | 3629 | USD | 4132 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 |
| EUR | 20187 | USD | 22990 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 |
| CZK | 326219969 | USD | 14869970 | State Street Bank and Trust Co. | 07/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682465 |
| TRY | 41769370 | USD | 982000 | Barclays Bank PLC | 07/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39538 |
| PEN | 8493140 | USD | 2316732 | Citigroup Global Markets, Inc. | 08/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78641 |
| TRY | 37438000 | USD | 848617 | UBS AG | 09/03/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38821 |
| NGN | 624560400 | USD | 393300 | Citigroup Global Markets, Inc. | 09/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3549 |
| NGN | 624561988 | USD | 393301 | Citigroup Global Markets, Inc. | 09/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3549 |
| NGN | 646610250 | USD | 391885 | Morgan Stanley & Co. International PLC | 09/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18975 |
| BRL | 224773404 | USD | 39663562 | Barclays Bank PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 903409 |
| BRL | 26303710 | USD | 4654700 | Citigroup Global Markets, Inc. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92578 |
| CNH | 19270000 | USD | 2702678 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6325 |
| CZK | 43583000 | USD | 2041467 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39898 |
| GBP | 46805000 | USD | 64115314 | NatWest Markets PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163959 |
| HUF | 186138000 | USD | 534465 | Morgan Stanley & Co. International PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11926 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Forward Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement*<br> *Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| MXN | 353492172 | USD | 18483007 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $199195 |
| MXN | 355437595 | USD | 18665000 | Goldman Sachs Bank USA | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120018 |
| SGD | 1288000 | USD | 1013582 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5195 |
| USD | 4939889 | COP | 20367161000 | Bank of New York Mellon | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8398 |
| USD | 7443423 | COP | 30562694000 | Bank of New York Mellon | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43293 |
| USD | 7432914 | COP | 30480152000 | Bank of New York Mellon | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52770 |
| USD | 75276127 | JPY | 10696551000 | JPMorgan Chase Bank N.A. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338225 |
| USD | 1994558 | JPY | 284429000 | RBC Capital Markets LLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1905 |
| ZAR | 97304000 | USD | 5432385 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32462 |
| TRY | 43487691 | USD | 935000 | UBS AG | 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51957 |
| EGP | 82817000 | USD | 1478083 | Societe Generale | 12/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77998 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $4206383 |
| USD | 19025418 | PLN | 74240509 | BNP Paribas S.A. | 07/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1566243)<br>|
| USD | 3999196 | PLN | 15145540 | Toronto-Dominion Bank | 07/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (201636)<br>|
| USD | 388143 | EUR | 340808 | Credit Agricole Corporate & Investment Bank | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13763)<br>|
| USD | 253973 | EUR | 223000 | Credit Agricole Corporate & Investment Bank | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9006)<br>|
| USD | 1018349 | EUR | 894150 | Credit Agricole Corporate & Investment Bank | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (36100)<br>|
| USD | 38281 | EUR | 33612 | Credit Agricole Corporate & Investment Bank | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1357)<br>|
| USD | 285097 | EUR | 250295 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10070)<br>|
| USD | 220355 | EUR | 193449 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7775)<br>|
| USD | 114657 | EUR | 100658 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4046)<br>|
| USD | 106140 | EUR | 93194 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3762)<br>|
| USD | 288310 | EUR | 253154 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10228)<br>|
| USD | 203372 | EUR | 178573 | Deutsche Bank AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7215)<br>|
| USD | 107810 | EUR | 94836 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4028)<br>|
| USD | 3602 | EUR | 3169 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (135)<br>|
| USD | 17680 | EUR | 15553 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (661)<br>|
| USD | 5953 | EUR | 5237 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (222)<br>|
| USD | 127261 | EUR | 111946 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4754)<br>|
| USD | 4125 | EUR | 3629 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (154)<br>|
| USD | 7403 | EUR | 6512 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (277)<br>|
| USD | 118397 | EUR | 104149 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4423)<br>|
| USD | 165558 | EUR | 145634 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (6185)<br>|
| USD | 3812 | EUR | 3353 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (142)<br>|
| USD | 888 | EUR | 781 | UBS AG | 07/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (33)<br>|
| USD | 5157228 | CZK | 113259686 | HSBC Bank PLC | 07/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (242393)<br>|
| USD | 9700234 | CZK | 212960283 | Toronto-Dominion Bank | 07/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (452581)<br>|
| USD | 982000 | TRY | 43099980 | Barclays Bank PLC | 07/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (72080)<br>|
| USD | 2306790 | PEN | 8493140 | Citigroup Global Markets, Inc. | 08/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (88583)<br>|
| USD | 839078 | TRY | 37438000 | Barclays Bank PLC | 09/03/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (48359)<br>|
| USD | 1178486 | NGN | 2045851696 | Morgan Stanley & Co. International PLC | 09/04/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (121460)<br>|
| CAD | 7662000 | USD | 5674345 | RBC Capital Markets LLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (25526)<br>|
| NOK | 40317000 | USD | 4073995 | JPMorgan Chase Bank N.A. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (72118)<br>|
| USD | 2296008 | AUD | 3549000 | NatWest Markets PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (43568)<br>|
| USD | 1069537 | AUD | 1645000 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (14882)<br>|
| USD | 56930 | AUD | 88000 | Toronto-Dominion Bank | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1082)<br>|
| USD | 2469906 | AUD | 3807000 | UBS AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (39749)<br>|
| USD | 8247715 | BRL | 46560000 | Bank of New York Mellon | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (155406)<br>|
| USD | 77914399 | BRL | 441540900 | Barclays Bank PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1774641)<br>|
| USD | 7487281 | COP | 31507975000 | JPMorgan Chase Bank N.A. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (141729)<br>|
| USD | 49011937 | EUR | 42089390 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (825907)<br>|
| USD | 197051638 | EUR | 169244700 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3350198)<br>|
| USD | 112134873 | EUR | 96408000 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2021377)<br>|
| USD | 22288688 | EUR | 19213000 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (461333)<br>|
| USD | 286270 | EUR | 250295 | HSBC Bank PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10104)<br>|
| USD | 2952024 | EUR | 2581053 | HSBC Bank PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (104188)<br>|
| USD | 20041533 | EUR | 17184683 | Standard Chartered Bank | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (306767)<br>|
| USD | 42838110 | EUR | 36706634 | State Street Bank and Trust Co. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (626039)<br>|
| USD | 20041533 | EUR | 17184683 | Toronto-Dominion Bank | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (306767)<br>|
| USD | 1364008 | GBP | 1012000 | Deutsche Bank AG | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (25814)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Forward Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement*<br> *Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 48792650 | GBP | 36049000 | JPMorgan Chase Bank N.A. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(714957)<br>|
| USD | 2873780 | GBP | 2112644 | NatWest Markets PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27602)<br>|
| USD | 99220825 | GBP | 72966200 | NatWest Markets PLC | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (986723)<br>|
| USD | 935000 | TRY | 43914613 | Barclays Bank PLC | 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (61646)<br>|
| USD | 1475976 | EGP | 82817000 | Citigroup Global Markets, Inc. | 12/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (80105)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(15095899)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(10889516)<br>|

---

**Exchange-Traded Options Purchased** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF | &nbsp;&nbsp; 1867 | &nbsp;&nbsp;&nbsp;&nbsp; 07/18/25 | USD | 198.00 | USD | 40288 | &nbsp;&nbsp;&nbsp;&nbsp; $67212 |

---

**OTC Barrier Options Purchased** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp;&nbsp; *Type of* <br>*Option*<br>| *Counterparty* | &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | *Barrier* <br>*Price/Range* | *Barrier* <br>*Price/Range* | *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; EUR Currency | One-Touch | HSBC Bank PLC | &nbsp;&nbsp;&nbsp;&nbsp; 07/24/25 | &nbsp;&nbsp;&nbsp;&nbsp; USD | 1.00 | &nbsp;&nbsp;&nbsp; USD | 1.00 | &nbsp;&nbsp;&nbsp; EUR | 2221 | &nbsp;&nbsp;&nbsp; $41 |
| &nbsp;&nbsp;&nbsp; USD Currency | One-Touch | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| &nbsp;&nbsp;&nbsp;&nbsp; 07/24/25 | &nbsp;&nbsp;&nbsp;&nbsp; CAD | 1.34 | &nbsp;&nbsp;&nbsp; CAD | 1.34 | &nbsp;&nbsp;&nbsp; USD | 372 | &nbsp;&nbsp;&nbsp; 39472 |
| &nbsp;&nbsp;&nbsp; USD Currency | Under-and-In | Barclays Bank PLC | &nbsp;&nbsp;&nbsp;&nbsp; 11/20/25 | &nbsp;&nbsp;&nbsp;&nbsp; JPY | 150.00 | &nbsp;&nbsp;&nbsp; JPY | 155.00 | &nbsp;&nbsp;&nbsp; USD | 198796 | &nbsp;&nbsp;&nbsp; 299312 |
|  |  |  |  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp; $338825 |

---

**OTC Options Purchased** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | &nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; EUR Currency | Barclays Bank PLC | 07/15/25 | USD | 1.02 | EUR | 6848 | $1 |
| &nbsp;&nbsp;&nbsp; EUR Currency | UBS AG | 07/15/25 | USD | 1.06 | EUR | 4565 | 3 |
| &nbsp;&nbsp;&nbsp; USD Currency | Morgan Stanley & Co. International PLC | 08/14/25 | MXN | 19.10 | USD | 280420 | 6281487 |
|  |  |  |  |  |  |  | $6281491 |

---

**OTC Interest Rate Swaptions Purchased** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Expiration* <br>*Date*<br>| *Exercise* <br>*Rate*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | *Value* |
| Call |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 03/31/37<br>| 1-day SOFR, 4.45% | Annual | 3.93% | Annual | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 03/29/27 | 3.93<br> %<br>| USD | 50246 | $2191284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 03/31/37<br>| 1-day SOFR, 4.45% | Annual | 4.00% | Annual | BNP Paribas S.A. | 03/29/27 | 4.00<br> %<br>| USD | 15969 | 747325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 04/14/37<br>| 1-day SOFR, 4.45% | Annual | 4.05% | Annual | Citibank N.A. | 04/12/27 | 4.05<br> %<br>| USD | 18451 | 904234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 06/06/37<br>| 1-day SOFR, 4.45% | Annual | 4.00% | Annual | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> International<br>| 06/04/27 | 4.00<br> %<br>| USD | 78187 | 3671499 |
|  |  |  |  |  |  |  |  |  |  | $7514342 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**OTC Interest Rate Swaptions Purchased (continued)**

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Expiration*<br> *Date*<br>| *Exercise*<br> *Rate*<br>| &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | *Value* |
| Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30-Year Interest Rate <br> Swap, 08/15/55<br>| 4.35% | Annual | 1-day SOFR, 4.45% | Annual | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> International<br>| 08/13/25 | 4.35<br> %<br>| USD | 269390 | $548702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 03/31/37<br>| 3.93% | Annual | 1-day SOFR, 4.45% | Annual | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 03/29/27 | 3.93<br> %<br>| USD | 50246 | 1770543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 03/31/37<br>| 4.00% | Annual | 1-day SOFR, 4.45% | Annual | BNP Paribas S.A. | 03/29/27 | 4.00<br> %<br>| USD | 15969 | 525715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 04/14/37<br>| 4.05% | Annual | 1-day SOFR, 4.45% | Annual | Citibank N.A. | 04/12/27 | 4.05<br> %<br>| USD | 18451 | 591135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate <br> Swap, 06/06/37<br>| 4.00% | Annual | 1-day SOFR, 4.45% | Annual | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> International<br>| 06/04/27 | 4.00<br> %<br>| USD | 78187 | 2786548 |
|  |  |  |  |  |  |  |  |  |  | 6222643 |
|  |  |  |  |  |  |  |  |  |  | $13736985 |

---

**Exchange-Traded Options Written** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF | &nbsp;&nbsp; 1867 | &nbsp;&nbsp;&nbsp;&nbsp; 07/18/25 | USD | 189.00 | USD | 40288 | &nbsp;&nbsp;&nbsp;&nbsp; $(28005)<br>|
| &nbsp;&nbsp;&nbsp; CME 3-Month SOFR Futures | &nbsp;&nbsp; 7820 | &nbsp;&nbsp;&nbsp;&nbsp; 10/10/25 | USD | 96.00 | USD | 188334925 | &nbsp;&nbsp;&nbsp;&nbsp; (879750)<br>|
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $(907755)<br>|

---

**OTC Barrier Options Written** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp;&nbsp;&nbsp; *Type of* <br>*Option*<br>| *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Exercise* <br>*Price* | &nbsp;&nbsp; *Barrier* <br>*Price/Range* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; USD Currency | One-Touch | Barclays Bank PLC | &nbsp;&nbsp;&nbsp;&nbsp; 07/24/25<br> &nbsp;&nbsp;&nbsp;&nbsp; CAD | 1.34<br> &nbsp;&nbsp;&nbsp; CAD | 1.34 | &nbsp;&nbsp;&nbsp; USD | 372 | &nbsp;&nbsp;&nbsp; $(39472)<br>|

---

**OTC Options Written** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | &nbsp;&nbsp; *Expiration* <br>*Date*<br>| *Exercise Price* | *Exercise Price* | *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; EUR Currency | UBS AG | 07/15/25 | USD | 1.06 | EUR | 4565 | $(3) |
| &nbsp;&nbsp;&nbsp; EUR Currency | UBS AG | 07/15/25 | USD | 1.02 | EUR | 6848 | (1) |
| &nbsp;&nbsp;&nbsp; USD Currency | Morgan Stanley & Co. International PLC | 08/14/25 | MXN | 18.50 | USD | 280420 | (1508477) |
|  |  |  |  |  |  |  | $(1508481) |

---

**OTC Interest Rate Swaptions Written** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Expiration* <br>*Date*<br>| *Exercise* <br>*Rate*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | *Value* |
| Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, <br> 08/15/30<br>| 1-day SOFR, 4.45% | Annual | 4.03% | Annual | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> International<br>| 08/13/25 | 4.03<br> %<br>| USD | 1037650 | $(209943)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate* <br>*Paid by* <br>*the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| &nbsp;&nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | &nbsp;&nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Received)*<br>| &nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| ITRAXX.EUR.43.V1 | 1.00<br> % <br>| Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/30 | EUR | 17284 | &nbsp;&nbsp;&nbsp;&nbsp; $(440250)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(364236)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(76014)<br>|
| ITRAXX.EUR.43.V1 | 5.00 | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/30 | EUR | 6582 | &nbsp;&nbsp;&nbsp;&nbsp; (733695)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (521053)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (212642)<br>|
| ITRAXX.FINSR.43.V1 | 1.00 | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp; 06/20/30 | EUR | 54428 | &nbsp;&nbsp;&nbsp;&nbsp; (1256631)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (988905)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (267726)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $(2430576)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(1874194)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(556382)<br>|

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp; *Financing* <br>*Rate* <br>*Received* <br>*by* <br>*the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Credit* <br>*Rating*<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<sup>(b)</sup>  | &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<sup>(b)</sup>  | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CDX.NA.HY.44.V1 | &nbsp;&nbsp;&nbsp;&nbsp; 5.00<br> %<br>| Quarterly | &nbsp;&nbsp;&nbsp; 06/20/30 | &nbsp;&nbsp;&nbsp; B+ | USD | 796613 | &nbsp;&nbsp;&nbsp; $61139594 | &nbsp;&nbsp;&nbsp; $37838342 | &nbsp;&nbsp;&nbsp; $23301252 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

**Centrally Cleared Inflation Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Termination* <br>*Date* | *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Termination* <br>*Date* | *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)* | *Unrealized* <br>*Appreciation* <br>*(Depreciation)* |
| 2.69% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 31766 | $51245 | $4484 | $46761 |
| 2.69% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 31766 | 45219 | 3586 | 41633 |
| 2.73% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 62740 | (48083)<br>|  | (48083)<br>|
| 2.79% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 62573 | (222546)<br>|  | (222546)<br>|
| 2.83% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 43233 | (247152)<br>|  | (247152)<br>|
| 2.83% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 62573 | (363284)<br>|  | (363284)<br>|
| 2.84% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 31287 | (183634)<br>|  | (183634)<br>|
| 2.84% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 31286 | (184424)<br>|  | (184424)<br>|
| 2.87% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/28 | USD | 62573 | (477164)<br>|  | (477164)<br>|
| 2.53% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 25412 | 43686 | (4607)<br>| 48293 |
| 2.54% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 25413 | 37506 | (3686)<br>| 41192 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Centrally Cleared Inflation Swaps (continued)**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Termination*<br> *Date* | *Notional*<br> *Amount*<br> *(000)* | *Notional*<br> *Amount*<br> *(000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Termination*<br> *Date* | *Notional*<br> *Amount*<br> *(000)* | *Notional*<br> *Amount*<br> *(000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| 2.56% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 48430 | $11948 | $— | $11948 |
| 2.64% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 50058 | (181771)<br>|  | (181771)<br>|
| 2.65% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 33389 | (132663)<br>|  | (132663)<br>|
| 2.67% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 32765 | (164622)<br>|  | (164622)<br>|
| 2.68% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 25029 | (143509)<br>|  | (143509)<br>|
| 2.69% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 25029 | (144734)<br>|  | (144734)<br>|
| 2.69% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 50058 | (295593)<br>|  | (295593)<br>|
| 2.72% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/29 | USD | 50058 | (383854)<br>|  | (383854)<br>|
| 2.43% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/30 | USD | 57750 | 74178 |  | 74178 |
| 2.43% | At Termination | &nbsp;&nbsp;&nbsp; U.S. CPI Urban <br> Consumers NAS <br> (CPURNSA)<br>| At Termination | 04/15/30 | USD | 28448 | 35211 |  | 35211 |
|  |  |  |  |  |  |  | $(2874040)<br>| $(223)<br>| $(2873817)<br>|

---

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |  |
| *Rate* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Effective* <br>*Date*<br>| &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| &nbsp;&nbsp;&nbsp; 1-day Overnight <br> Fed Funds <br> Effective Rate, <br> 4.33%<br>| At Termination | 4.27% | At Termination | 07/30/25<sup>(a)</sup> <br>| 09/17/25 | USD | 14348264 | &nbsp;&nbsp; $50624 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $50624 |
| &nbsp;&nbsp;&nbsp; 1-day Overnight <br> Fed Funds <br> Effective Rate, <br> 4.33%<br>| At Termination | 4.29% | At Termination | 07/30/25<sup>(a)</sup> <br>| 09/17/25 | USD | 7173056 | &nbsp;&nbsp; 170384 | &nbsp;&nbsp; — | &nbsp;&nbsp; 170384 |
| &nbsp;&nbsp;&nbsp; 1-day Overnight <br> Fed Funds <br> Effective Rate, <br> 4.33%<br>| At Termination | 4.31% | At Termination | 07/30/25<sup>(a)</sup> <br>| 09/17/25 | USD | 7147510 | &nbsp;&nbsp; 367342 | &nbsp;&nbsp; — | &nbsp;&nbsp; 367342 |
| &nbsp;&nbsp;&nbsp; 1-day Overnight <br> Fed Funds <br> Effective Rate, <br> 4.33%<br>| At Termination | 4.31% | At Termination | 07/30/25<sup>(a)</sup> <br>| 09/17/25 | USD | 7186474 | &nbsp;&nbsp; 359655 | &nbsp;&nbsp; — | &nbsp;&nbsp; 359655 |
| &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 3.80% | At Termination | N/A | 05/16/26 | USD | 369112 | &nbsp;&nbsp; (721062)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (721062)<br>|
| &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 3.90% | At Termination | N/A | 05/16/26 | USD | 283259 | &nbsp;&nbsp; (273601)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (273601)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |  |
| *Rate* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Effective*<br> *Date*<br>| &nbsp;&nbsp; *Termination*<br> *Date*<br>| &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)*<br>| *Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| 3.79% | At Termination | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | N/A | 05/16/26 | USD | 369112 | &nbsp;&nbsp; $744027 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $744027 |
| 3.81% | At Termination | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | N/A | 05/16/26 | USD | 283259 | &nbsp;&nbsp; 514183 | &nbsp;&nbsp; 154531 | &nbsp;&nbsp; 359652 |
| &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 3.78% | At Termination | 08/26/25<sup>(a)</sup> <br>| 08/26/26 | USD | 19254 | &nbsp;&nbsp; 19012 | &nbsp;&nbsp; — | &nbsp;&nbsp; 19012 |
| 3.82% | At Termination | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 08/26/25<sup>(a)</sup> <br>| 08/26/26 | USD | 19254 | &nbsp;&nbsp; (25161)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (25161)<br>|
| 1.00% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 03/12/26<sup>(a)</sup> <br>| 03/12/27 | JPY | 25830724 | &nbsp;&nbsp; (364142)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (364142)<br>|
| 1.02% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 03/12/26<sup>(a)</sup> <br>| 03/12/27 | JPY | 58560835 | &nbsp;&nbsp; (909783)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (909783)<br>|
| 1.03% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 03/12/26<sup>(a)</sup> <br>| 03/12/27 | JPY | 63212579 | &nbsp;&nbsp; (1016929)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (1016929)<br>|
| 0.68% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 04/21/26<sup>(a)</sup> <br>| 04/21/27 | JPY | 23843630 | &nbsp;&nbsp; 211706 | &nbsp;&nbsp; — | &nbsp;&nbsp; 211706 |
| 0.69% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 04/21/26<sup>(a)</sup> <br>| 04/21/27 | JPY | 24122377 | &nbsp;&nbsp; 210873 | &nbsp;&nbsp; — | &nbsp;&nbsp; 210873 |
| &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 3.21% | At Termination | 04/30/26<sup>(a)</sup> <br>| 04/30/27 | USD | 78906 | &nbsp;&nbsp; 48776 | &nbsp;&nbsp; — | &nbsp;&nbsp; 48776 |
| 3.22% | At Termination | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 04/30/26<sup>(a)</sup> <br>| 04/30/27 | USD | 39453 | &nbsp;&nbsp; (26789)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (26789)<br>|
| 3.27% | At Termination | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| At Termination | 04/30/26<sup>(a)</sup> <br>| 04/30/27 | USD | 39453 | &nbsp;&nbsp; (45357)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (45357)<br>|
| 0.70% | At Termination | &nbsp;&nbsp;&nbsp; 1-Day TONA, <br> 0.48%<br>| At Termination | 05/11/26<sup>(a)</sup> <br>| 05/11/27 | JPY | 19040597 | &nbsp;&nbsp; 161991 | &nbsp;&nbsp; — | &nbsp;&nbsp; 161991 |
| 3.92% | Annual | &nbsp;&nbsp;&nbsp; 1-day SOFR, <br> 4.45%<br>| Annual | 09/30/25<sup>(a)</sup> <br>| 11/15/53 | USD | 5424 | &nbsp;&nbsp; 4678 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4678 |
| 2.49% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 02/19/54 | EUR | 41301 | &nbsp;&nbsp; 2758503 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2758503 |
| 2.51% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 02/20/54 | EUR | 41301 | &nbsp;&nbsp; 2600687 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2600687 |
| 2.51% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 02/20/54 | EUR | 40708 | &nbsp;&nbsp; 2490551 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2490551 |
| 2.51% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 03/01/54 | EUR | 20868 | &nbsp;&nbsp; 1276559 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1276559 |
| 2.46% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 03/22/54 | EUR | 8764 | &nbsp;&nbsp; 654116 | &nbsp;&nbsp; — | &nbsp;&nbsp; 654116 |
| 2.54% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 04/22/54 | EUR | 33918 | &nbsp;&nbsp; 1795144 | &nbsp;&nbsp; (71710)<br>| &nbsp;&nbsp; 1866854 |
| 2.43% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 06/19/54 | EUR | 3577 | &nbsp;&nbsp; 287124 | &nbsp;&nbsp; — | &nbsp;&nbsp; 287124 |
| 2.43% | Semi-Annual | &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | N/A | 06/20/54 | EUR | 8082 | &nbsp;&nbsp; 648485 | &nbsp;&nbsp; — | &nbsp;&nbsp; 648485 |
| &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | 2.44% | Semi-Annual | N/A | 06/24/54 | EUR | 5548 | &nbsp;&nbsp; (428073)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (428073)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Centrally Cleared Interest Rate Swaps (continued)**

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |  |
| *Rate* | *Frequency* | *Rate* | *Frequency* | &nbsp;&nbsp; *Effective*<br> *Date*<br>| &nbsp;&nbsp; *Termination*<br> *Date*<br>| &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | &nbsp;&nbsp; *Notional*<br> *Amount*<br> *(000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)*<br>| *Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | 2.26% | Semi-Annual | N/A | 10/22/54 | EUR | 5070 | &nbsp;&nbsp; $(545547)<br>| &nbsp;&nbsp; $(24132)<br>| &nbsp;&nbsp; $(521415)<br>|
| &nbsp;&nbsp;&nbsp; 6-month <br> EURIBOR, <br> 2.05%<br>| Annual | 2.18% | Semi-Annual | N/A | 11/07/54 | EUR | 4871 | &nbsp;&nbsp; (615484)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (615484)<br>|
|  |  |  |  |  |  |  |  | &nbsp;&nbsp; $10402492 | &nbsp;&nbsp; $58689 | &nbsp;&nbsp; $10343803 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Forward Swap.

**OTC Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp; *Financing* <br>*Rate* <br>*Paid* <br>*by the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| Caterpillar, Inc. | &nbsp;&nbsp;&nbsp;&nbsp; 1.00<br> % <br>| Quarterly | Deutsche Bank AG | 06/20/27 | USD | 4300 | &nbsp;&nbsp; $(73287)<br>| &nbsp;&nbsp; $(40758)<br>| &nbsp;&nbsp; $(32529)<br>|
| BorgWarner, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | BNP Paribas S.A. | 12/20/27 | USD | 1000 | &nbsp;&nbsp; (16094)<br>| &nbsp;&nbsp; 6866 | &nbsp;&nbsp; (22960)<br>|
| Pitney Bowes, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Bank of America N.A. | 12/20/27 | USD | 620 | &nbsp;&nbsp; 2068 | &nbsp;&nbsp; 81396 | &nbsp;&nbsp; (79328)<br>|
| Pitney Bowes, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Citibank N.A. | 12/20/27 | USD | 250 | &nbsp;&nbsp; 834 | &nbsp;&nbsp; 33756 | &nbsp;&nbsp; (32922)<br>|
| Pitney Bowes, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Citibank N.A. | 12/20/27 | USD | 380 | &nbsp;&nbsp; 1268 | &nbsp;&nbsp; 52865 | &nbsp;&nbsp; (51597)<br>|
| Pitney Bowes, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 780 | &nbsp;&nbsp; 2602 | &nbsp;&nbsp; 134594 | &nbsp;&nbsp; (131992)<br>|
| Simon Property Group LP | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Goldman Sachs International | 12/20/27 | USD | 3640 | &nbsp;&nbsp; (59441)<br>| &nbsp;&nbsp; 27970 | &nbsp;&nbsp; (87411)<br>|
| Credit Suisse Group AG | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Barclays Bank PLC | 06/20/28 | EUR | 1350 | &nbsp;&nbsp; (32185)<br>| &nbsp;&nbsp; 53224 | &nbsp;&nbsp; (85409)<br>|
| Credit Suisse Group AG | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | EUR | 3500 | &nbsp;&nbsp; (83444)<br>| &nbsp;&nbsp; 76043 | &nbsp;&nbsp; (159487)<br>|
| Deutsche Bank AG | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | BNP Paribas S.A. | 06/20/28 | EUR | 4400 | &nbsp;&nbsp; (97619)<br>| &nbsp;&nbsp; 221052 | &nbsp;&nbsp; (318671)<br>|
| Deutsche Bank AG | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Goldman Sachs International | 06/20/28 | EUR | 4400 | &nbsp;&nbsp; (97619)<br>| &nbsp;&nbsp; 154016 | &nbsp;&nbsp; (251635)<br>|
| Boeing Co. (The) | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Deutsche Bank AG | 12/20/28 | USD | 4700 | &nbsp;&nbsp; (66934)<br>| &nbsp;&nbsp; (15950)<br>| &nbsp;&nbsp; (50984)<br>|
| Boeing Co. (The) | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | USD | 4700 | &nbsp;&nbsp; (68708)<br>| &nbsp;&nbsp; 44776 | &nbsp;&nbsp; (113484)<br>|
| American Electric Power Co., Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Bank of America N.A. | 12/20/29 | USD | 39219 | &nbsp;&nbsp; (1138714)<br>| &nbsp;&nbsp; (975756)<br>| &nbsp;&nbsp; (162958)<br>|
| American Express Co. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Goldman Sachs International | 12/20/29 | USD | 19990 | &nbsp;&nbsp; (601179)<br>| &nbsp;&nbsp; (507557)<br>| &nbsp;&nbsp; (93622)<br>|
| Dominion Energy, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1.00 | Quarterly | Goldman Sachs International | 12/20/29 | USD | 19396 | &nbsp;&nbsp; (559228)<br>| &nbsp;&nbsp; (467379)<br>| &nbsp;&nbsp; (91849)<br>|
| CMBX.NA.9.AAA | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | 2175 | &nbsp;&nbsp; (1632)<br>| &nbsp;&nbsp; 21529 | &nbsp;&nbsp; (23161)<br>|
| CMBX.NA.9.AAA | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | 46 | &nbsp;&nbsp; (34)<br>| &nbsp;&nbsp; 496 | &nbsp;&nbsp; (530)<br>|
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 2080 | &nbsp;&nbsp; 354640 | &nbsp;&nbsp; 61868 | &nbsp;&nbsp; 292772 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | Goldman Sachs International | 09/17/58 | USD | 3544 | &nbsp;&nbsp; 604252 | &nbsp;&nbsp; 248421 | &nbsp;&nbsp; 355831 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | 204 | &nbsp;&nbsp; 34782 | &nbsp;&nbsp; 9935 | &nbsp;&nbsp; 24847 |
| CMBX.NA.6.AAA | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 7 | &nbsp;&nbsp; (1)<br>| &nbsp;&nbsp; (2)<br>| &nbsp;&nbsp; 1 |
|  |  |  |  |  |  |  | &nbsp;&nbsp; $(1895673)<br>| &nbsp;&nbsp; $(778595)<br>| &nbsp;&nbsp; $(1117078)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate* <br>*Received* <br>*by* <br>*the Fund*<br>| &nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | *Termination* <br>*Date*<br>| *Credit* <br>*Rating*<sup>(a)</sup> <br>| *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| Vistra Operations Co. LLC | 5.00<br> % <br>| Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | BB+ | USD | 1015 | $23949 | $8434 | $15515 |
| PacifiCorp | 0.13 | Monthly | JPMorgan Chase Bank N.A. | 09/29/27 | A | USD | 6915 | (3909)<br>| (4061)<br>| 152 |
| CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 906 | (154473)<br>| (91235)<br>| (63238)<br>|
| CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | N/R | USD | 1310 | (223355)<br>| (128476)<br>| (94879)<br>|
| CMBX.NA.9.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 09/17/58 | N/R | USD | 121 | (20630)<br>| (24013)<br>| 3383 |
| CMBX.NA.9.BBB- | 3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | N/R | USD | 231 | (39385)<br>| (11811)<br>| (27574)<br>|
| CMBX.NA.9.BBB- | 3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | N/R | USD | 1060 | (180730)<br>| (45082)<br>| (135648)<br>|
| CMBX.NA.9.BBB- | 3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | N/R | USD | 1200 | (204600)<br>| (1310)<br>| (203290)<br>|
| CMBX.NA.9.BBB- | 3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | N/R | USD | 1000 | (170500)<br>| (231799)<br>| 61299 |
| CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 60 | (11295)<br>| (4358)<br>| (6937)<br>|
|  |  |  |  |  |  |  |  | $(984928)<br>| $(533711)<br>| $(451217)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement.

**OTC Total Return Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  |  |  |  |  |  |  |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Termination* <br>*Date*<br>| *Notional* <br>*Amount* <br>*(000)* | *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| 0.00% | Quarterly | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> Intraday Delta <br> Replication VVol <br> Series 5 Excess <br> Return Strategy<br>| Quarterly | Goldman Sachs International | 11/06/25 | USD | 90403 | &nbsp;&nbsp; $52050 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $52050 |
| 0.00% | Quarterly | &nbsp;&nbsp;&nbsp; Goldman Sachs <br> Systematic Skew <br> U.S. Series 10 <br> Excess Return <br> Strategy<br>| Quarterly | Goldman Sachs International | 12/06/25 | USD | 13709 | &nbsp;&nbsp; 18795 | &nbsp;&nbsp; — | &nbsp;&nbsp; 18795 |
|  |  |  |  |  |  |  |  | &nbsp;&nbsp; $70845 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $70845 |

---

**Equity Swap Contracts** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment* <br>*Frequency*<br>| *Value/ Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> | Long Contracts<sup>(a)</sup> |
| Accenture PLC, Class A | Citibank N.A. | USD  | 1850128 | &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $2990 |
| Accor SA | Citibank N.A. |  | 712247 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 47675 |
| Ackermans & van Haaren NV | Barclays Bank PLC |  | 2165142 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 36468 |
| Adecco Group AG, Registered Shares | Barclays Bank PLC |  | 684190 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 39901 |
| Adobe, Inc. | Merrill Lynch International |  | 2735403 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (65931)<br>|
| Air Water, Inc. | Barclays Bank PLC |  | 1521829 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19671 |
| Airbus SE | Barclays Bank PLC |  | 1298336 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 82388 |
| Airtac International Group | Merrill Lynch International |  | 1246984 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3485 |
| Alcon AG | Barclays Bank PLC |  | 820523 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13097 |
| Alfresa Holdings Corp. | Merrill Lynch International |  | 1258974 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7656 |
| Alimentation Couche-Tard, Inc. | JPMorgan Chase Bank N.A. |  | 1532015 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| COBRO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (60655)<br>|
| Allianz SE, Registered Shares | Citibank N.A. |  | 1861326 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 46092 |
| Alps Alpine Co. Ltd. | JPMorgan Chase Bank N.A. |  | 744104 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 64868 |
| Altria Group, Inc. | JPMorgan Chase Bank N.A. |  | 1423320 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (10337)<br>|
| AMC Networks, Inc., Class A | Barclays Bank PLC |  | 284125 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; - |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) |
| AMC Networks, Inc., Class A | JPMorgan Chase Bank N.A. | USD  | 723094 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(51420)<br>|
| Amentum Holdings, Inc. | Merrill Lynch International |  | 113 | &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (91)<br>|
| Argenx SE | Barclays Bank PLC |  | 603817 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5124 |
| Asahi Intecc Co. Ltd. | Citibank N.A. |  | 944084 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (7539)<br>|
| Asahi Kasei Corp. | Merrill Lynch International |  | 2587595 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 188723 |
| Ashtead Group PLC | Barclays Bank PLC |  | 647850 | &nbsp;&nbsp; 04/01/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 51124 |
| Asia Cement Corp. | Merrill Lynch International |  | 1456826 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8686)<br>|
| ASPEED Technology, Inc. | Merrill Lynch International |  | 941736 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34008 |
| AT&T Inc. | JPMorgan Chase Bank N.A. |  | 1660456 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 64368 |
| Atlas Arteria Ltd. | JPMorgan Chase Bank N.A. |  | 1000065 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (39200)<br>|
| Axfood AB | JPMorgan Chase Bank N.A. |  | 1486404 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24297 |
| B&M European Value Retail SA | Merrill Lynch International |  | 546914 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 32978 |
| Ball Corp. | Citibank N.A. |  | 1195948 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (12449)<br>|
| Banco Bilbao Vizcaya Argentaria SA | Merrill Lynch International |  | 1022339 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (10673)<br>|
| Banco de Sabadell SA | JPMorgan Chase Bank N.A. |  | 1655587 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (63493)<br>|
| Banco do Brasil SA | Merrill Lynch International |  | 1568910 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13117 |
| Bankinter SA | Merrill Lynch International |  | 2993591 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (40669)<br>|
| Barrick Mining Corp. | JPMorgan Chase Bank N.A. |  | 1108131 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| COBRO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 22330 |
| BB Seguridade Participacoes SA | Merrill Lynch International |  | 1739213 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2428 |
| BCE, Inc. | Barclays Bank PLC |  | 1273701 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| CABROVER | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5932 |
| Beiersdorf AG | Merrill Lynch International |  | 1844085 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (59174)<br>|
| Belimo Holding AG, Registered Shares | Merrill Lynch International |  | 819711 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4270)<br>|
| Best Buy Co., Inc. | Merrill Lynch International |  | 678684 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (34236)<br>|
| BHP Group Ltd. | JPMorgan Chase Bank N.A. |  | 1274059 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5805 |
| BOC Hong Kong Holdings Ltd. | Merrill Lynch International |  | 1260594 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15567)<br>|
| Bollore SE | Barclays Bank PLC |  | 1004726 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5338 |
| Booking Holdings, Inc. | Citibank N.A. |  | 1066684 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 91164 |
| Bradespar SA, Preference Shares, NVS | JPMorgan Chase Bank N.A. |  | 1213998 | &nbsp;&nbsp; 02/10/26 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8346)<br>|
| British Land Co. PLC (The) | Barclays Bank PLC |  | 1491778 | &nbsp;&nbsp; 04/01/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4279)<br>|
| Bunzl PLC | Citibank N.A. |  | 2089063 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1378 |
| Caixa Seguridade Participacoes S/A | Merrill Lynch International |  | 806564 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2192)<br>|
| Canadian National Railway Co. | JPMorgan Chase Bank N.A. |  | 2013582 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| COBRO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13004)<br>|
| Canon, Inc. | Barclays Bank PLC |  | 1057305 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (7370)<br>|
| CarMax, Inc. | Merrill Lynch International |  | 1616814 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 29830 |
| CF Industries Holdings, Inc. | Merrill Lynch International |  | 1470804 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (127604)<br>|
| Chroma ATE, Inc. | Merrill Lynch International |  | 1175476 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 293188 |
| CITIC Ltd. | Merrill Lynch International |  | 1392811 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (36601)<br>|
| Citigroup, Inc. | Barclays Bank PLC |  | 1333248 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 96768 |
| CK Hutchison Holdings Ltd. | JPMorgan Chase Bank N.A. |  | 681227 | &nbsp;&nbsp; 02/10/26 | 0.15<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 33064 |
| Coca-Cola Bottlers Japan Holdings, Inc. | Citibank N.A. |  | 859053 | &nbsp;&nbsp; 02/26/26 | 0.24<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19403)<br>|
| Coloplast A/S, Class B | Merrill Lynch International |  | 2191309 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1W CIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (106365)<br>|
| COMSYS Holdings Corp. | JPMorgan Chase Bank N.A. |  | 1301394 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 14344 |
| Costco Wholesale Corp. | Barclays Bank PLC |  | 2410752 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (34896)<br>|
| Dai-ichi Life Holdings, Inc. | Merrill Lynch International |  | 941372 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11235 |
| Daiichi Sankyo Co. Ltd. | Barclays Bank PLC |  | 698934 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7693 |
| Danaher Corp. | Merrill Lynch International |  | 844662 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (14994)<br>|
| Dassault Systemes SE | JPMorgan Chase Bank N.A. |  | 1029891 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (40495)<br>|
| DaVita, Inc. | Barclays Bank PLC |  | 927112 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 41548 |
| Dexcom, Inc. | Citibank N.A. |  | 638720 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 59600 |
| D'ieteren Group | Barclays Bank PLC |  | 1108074 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 54812 |
| Domino's Pizza Enterprises Ltd. | Merrill Lynch International |  | 1174069 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (62484)<br>|
| DuPont de Nemours, Inc. | Citibank N.A. |  | 1051900 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24963 |
| Dyno Nobel Ltd. | JPMorgan Chase Bank N.A. |  | 1122534 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4438)<br>|
| Eagle Bancorp, Inc. | JPMorgan Chase Bank N.A. |  | 304626 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 31014 |
| eBay, Inc. | Merrill Lynch International |  | 929149 | &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1601 |
| Elia Group SA/NV | Merrill Lynch International |  | 673281 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 31235 |
| Elisa Oyj | Barclays Bank PLC |  | 1264051 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 8765 |
| Endeavour Group Ltd./Australia | Merrill Lynch International |  | 2159375 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11198 |
| ENEOS Holdings, Inc. | Barclays Bank PLC |  | 1690937 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16023)<br>|
| Eneva SA | JPMorgan Chase Bank N.A. |  | 2169217 | &nbsp;&nbsp; 02/10/26 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 4281 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) |
| Engie SA | Barclays Bank PLC | USD  | 1180940 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $13003 |
| EOG Resources, Inc. | Barclays Bank PLC |  | 2216703 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (39801)<br>|
| Erie Indemnity Co., Class A, NVS | Citibank N.A. |  | 1033878 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28187)<br>|
| Evolution AB | Citibank N.A. |  | 1040857 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 79009 |
| EXEO Group, Inc. | Citibank N.A. |  | 1905710 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7659 |
| Experian PLC | JPMorgan Chase Bank N.A. |  | 1175305 | &nbsp;&nbsp; 02/11/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5562 |
| FactSet Research Systems, Inc. | Merrill Lynch International |  | 1348160 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 83136 |
| Fair Isaac Corp. | Citibank N.A. |  | 376250 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (10658)<br>|
| FDJ UNITED | Citibank N.A. |  | 1252637 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 30522 |
| Federal Realty Investment Trust | Merrill Lynch International |  | 1386780 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9425)<br>|
| Ferrovial SE | Merrill Lynch International |  | 10195 | &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 104 |
| Fifth Third Bancorp | Citibank N.A. |  | 1413280 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34496 |
| FinecoBank Banca Fineco SpA | Citibank N.A. |  | 1005368 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 6201 |
| FirstRand Ltd. | Merrill Lynch International |  | 1353294 | &nbsp;&nbsp; 02/15/28 | 0.85<br> %<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11663 |
| Fiserv, Inc. | Citibank N.A. |  | 1773616 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19448 |
| Flagstar Financial, Inc. | JPMorgan Chase Bank N.A. |  | 3335976 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (351896)<br>|
| Fortinet, Inc. | JPMorgan Chase Bank N.A. |  | 1582621 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 56039 |
| Fox Corp., Class A, NVS | JPMorgan Chase Bank N.A. |  | 2020542 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 69750 |
| Fresnillo PLC | JPMorgan Chase Bank N.A. |  | 1638952 | &nbsp;&nbsp; 02/11/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 88349 |
| GCC SAB de CV | JPMorgan Chase Bank N.A. |  | 762804 | &nbsp;&nbsp; 02/10/26 | 0.50<br> %<br>| TIIEFONDEO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (21298)<br>|
| GE Vernova, Inc. | JPMorgan Chase Bank N.A. |  | 587109 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 47871 |
| Geberit AG, Registered Shares | Barclays Bank PLC |  | 1331376 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7451 |
| Gecina SA | Merrill Lynch International |  | 1092908 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25089)<br>|
| Geely Automobile Holdings Ltd. | Merrill Lynch International |  | 510229 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28505)<br>|
| Gen Digital, Inc. | Citibank N.A. |  | 1227306 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 25134 |
| General Electric Co. | Barclays Bank PLC |  | 842554 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 32572 |
| Genius Electronic Optical Co. Ltd. | Merrill Lynch International |  | 924740 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 64220 |
| Gerdau SA, Preference Shares, NVS | Merrill Lynch International |  | 875730 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (42026)<br>|
| Glencore PLC | Barclays Bank PLC |  | 924702 | &nbsp;&nbsp; 04/01/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (5094)<br>|
| GQG Partners, Inc., CDI | JPMorgan Chase Bank N.A. |  | 626787 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 61324 |
| &nbsp;&nbsp;&nbsp; Grupo Aeroportuario del Pacifico SAB de CV, <br> Class B<br>| JPMorgan Chase Bank N.A. |  | 936166 | &nbsp;&nbsp; 02/10/26 | 0.50<br> %<br>| TIIEFONDEO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 27594 |
| GSK PLC | Citibank N.A. |  | 1049576 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (10454)<br>|
| Gunma Bank Ltd. (The) | Barclays Bank PLC |  | 1080535 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 18210 |
| H World Group Ltd., ADR | Barclays Bank PLC |  | 735515 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6235)<br>|
| Haier Smart Home Co. Ltd., Class H | Merrill Lynch International |  | 789255 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (12233)<br>|
| Harmony Gold Mining Co. Ltd. | Merrill Lynch International |  | 834695 | &nbsp;&nbsp; 02/15/28 | 0.85<br> %<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (44383)<br>|
| Henderson Land Development Co. Ltd. | JPMorgan Chase Bank N.A. |  | 745584 | &nbsp;&nbsp; 02/10/26 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 83247 |
| HOCHTIEF AG | Merrill Lynch International |  | 727231 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 42481 |
| HP, Inc. | Citibank N.A. |  | 1329396 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 30580 |
| Huntington Ingalls Industries, Inc. | JPMorgan Chase Bank N.A. |  | 1094736 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 64272 |
| IDP Education Ltd. | JPMorgan Chase Bank N.A. |  | 746485 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7021 |
| ING Groep NV | JPMorgan Chase Bank N.A. |  | 2078740 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5633 |
| Inpex Corp. | Citibank N.A. |  | 920755 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (54662)<br>|
| Intermediate Capital Group PLC | Merrill Lynch International |  | 886494 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13792)<br>|
| International Games System Co. Ltd. | Merrill Lynch International |  | 765877 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (31983)<br>|
| Invesco Ltd. | Merrill Lynch International |  | 888317 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 56306 |
| Investor AB, B Shares | Citibank N.A. |  | 1893036 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 53878 |
| Jabil, Inc. | JPMorgan Chase Bank N.A. |  | 1417032 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 284148 |
| Japan Exchange Group, Inc. | Barclays Bank PLC |  | 1172012 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (51632)<br>|
| Japan Post Bank Co. Ltd. | JPMorgan Chase Bank N.A. |  | 3184956 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34110 |
| Japan Post Holdings Co. Ltd. | Citibank N.A. |  | 1364707 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1470 |
| Japan Tobacco, Inc. | Citibank N.A. |  | 2119714 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (66392)<br>|
| JD.com, Inc., Class A | Merrill Lynch International |  | 833763 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17148)<br>|
| Johnson & Johnson | Citibank N.A. |  | 2073084 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19591 |
| Kamigumi Co. Ltd. | Barclays Bank PLC |  | 1337018 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (5962)<br>|
| Kansai Paint Co. Ltd. | Barclays Bank PLC |  | 1040595 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 32952 |
| Kawasaki Kisen Kaisha Ltd. | Barclays Bank PLC |  | 749023 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 150 |
| KDDI Corp. | JPMorgan Chase Bank N.A. |  | 852024 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 15091 |
| Keyence Corp. | Barclays Bank PLC |  | 1204958 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34509 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) |
| Kinden Corp. | Barclays Bank PLC | USD  | 1185865 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $21591 |
| Komatsu Ltd. | Citibank N.A. |  | 1658942 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 122709 |
| Kongsberg Gruppen ASA | Citibank N.A. |  | 777987 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| NOWA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5311 |
| Koninklijke Vopak NV | Barclays Bank PLC |  | 919626 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (744)<br>|
| KT&G Corp. | JPMorgan Chase Bank N.A. |  | 1324726 | &nbsp;&nbsp; 02/10/26 | 0.35<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 43879 |
| &nbsp;&nbsp;&nbsp; Kuehne + Nagel International AG, Registered <br> Shares<br>| Merrill Lynch International |  | 1436348 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (72128)<br>|
| Kuraray Co. Ltd. | Barclays Bank PLC |  | 1650212 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34697 |
| Kyushu Electric Power Co., Inc. | Barclays Bank PLC |  | 903963 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 45554 |
| Kyushu Financial Group, Inc. | Merrill Lynch International |  | 1058993 | &nbsp;&nbsp; 03/15/28 | 0.20<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5341 |
| Las Vegas Sands Corp. | Citibank N.A. |  | 1511335 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 55025 |
| Lendlease Corp. Ltd. | JPMorgan Chase Bank N.A. |  | 2076649 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (114850)<br>|
| Live Nation Entertainment, Inc. | Barclays Bank PLC |  | 770770 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 758 |
| Lockheed Martin Corp. | Citibank N.A. |  | 3112443 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (55719)<br>|
| Logitech International SA, Registered Shares | Citibank N.A. |  | 796652 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 28577 |
| LVMH Moet Hennessy Louis Vuitton SE | Barclays Bank PLC |  | 1960415 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23909)<br>|
| LY Corp. | Citibank N.A. |  | 910889 | &nbsp;&nbsp; 02/26/26 | 0.15<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 9394 |
| Macquarie Group Ltd. | JPMorgan Chase Bank N.A. |  | 1302680 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 66012 |
| Magellan Financial Group Ltd. | Merrill Lynch International |  | 1146753 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 16679 |
| MarketAxess Holdings, Inc. | Barclays Bank PLC |  | 1259705 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13333 |
| Masco Corp. | Citibank N.A. |  | 767990 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17202 |
| Match Group, Inc. | Barclays Bank PLC |  | 1869240 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (3484)<br>|
| Merck KGaA | Citibank N.A. |  | 1146399 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7561 |
| MGM China Holdings Ltd. | Merrill Lynch International |  | 1044988 | &nbsp;&nbsp; 02/15/28 | 0.15<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 190123 |
| MGM Resorts International | Citibank N.A. |  | 594511 | &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 436 |
| Mirvac Group | Merrill Lynch International |  | 1272676 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (63011)<br>|
| MISUMI Group, Inc. | JPMorgan Chase Bank N.A. |  | 1194659 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 32986 |
| Mitsubishi UFJ Financial Group, Inc. | Barclays Bank PLC |  | 1056819 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 12054 |
| Mitsui Mining & Smelting Co. Ltd. | Barclays Bank PLC |  | 1033733 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 78491 |
| Morinaga & Co. Ltd. | Merrill Lynch International |  | 1177213 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 16103 |
| Mosaic Co. (The) | Citibank N.A. |  | 1160488 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 14168 |
| Mr. Price Group Ltd. | JPMorgan Chase Bank N.A. |  | 1790064 | &nbsp;&nbsp; 02/11/26 | 0.40<br> %<br>| 1D RAONON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (72514)<br>|
| MSCI, Inc. | Citibank N.A. |  | 1387800 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 54050 |
| Murata Manufacturing Co. Ltd. | Citibank N.A. |  | 1411005 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 52283 |
| NatWest Group PLC | Barclays Bank PLC |  | 814277 | &nbsp;&nbsp; 04/01/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7409 |
| NAVER Corp. | Merrill Lynch International |  | 667125 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 167871 |
| NetEase, Inc. | Merrill Lynch International |  | 901855 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 25203 |
| Nichirei Corp. | Citibank N.A. |  | 1728109 | &nbsp;&nbsp; 02/26/26 | 0.24<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2361 |
| Nihon Kohden Corp. | Barclays Bank PLC |  | 1424819 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11636 |
| Nippon Yusen KK | Barclays Bank PLC |  | 1084056 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 20375 |
| Nissan Chemical Corp. | Citibank N.A. |  | 1803510 | &nbsp;&nbsp; 02/26/26 | 0.23<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 72090 |
| Northrop Grumman Corp. | Merrill Lynch International |  | 1044792 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5166 |
| Novartis AG, Registered Shares | Barclays Bank PLC |  | 1252880 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 9442 |
| Novo Nordisk A/S, Class B | JPMorgan Chase Bank N.A. |  | 779649 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| DESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (121355)<br>|
| NXP Semiconductors NV | Citibank N.A. |  | 1481238 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 48192 |
| Obayashi Corp. | Barclays Bank PLC |  | 862926 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15940)<br>|
| Olympus Corp. | Citibank N.A. |  | 1469653 | &nbsp;&nbsp; 02/26/26 | 0.19<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (141657)<br>|
| Orange SA | Barclays Bank PLC |  | 2371689 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 35888 |
| Orsted AS | Merrill Lynch International |  | 568889 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1W CIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17483)<br>|
| Otis Worldwide Corp. | Citibank N.A. |  | 1238142 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 39216 |
| Partners Group Holding AG | Merrill Lynch International |  | 2813900 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 64417 |
| Paychex, Inc. | Barclays Bank PLC |  | 2003782 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3566 |
| PayPal Holdings, Inc. | Merrill Lynch International |  | 932154 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 26574 |
| PepsiCo, Inc. | Barclays Bank PLC |  | 1678170 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 38350 |
| Philip Morris International, Inc. | Barclays Bank PLC |  | 1072710 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16356)<br>|
| PNC Financial Services Group, Inc. (The) | Barclays Bank PLC |  | 1879800 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 58968 |
| Porto Seguro SA | Merrill Lynch International |  | 1235252 | &nbsp;&nbsp; 02/15/28 | 0.40<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 30830 |
| Powszechny Zaklad Ubezpieczen SA | Merrill Lynch International |  | 1163475 | &nbsp;&nbsp; 02/15/28 | 0.45<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 81607 |
| Principal Financial Group, Inc. | Citibank N.A. |  | 2196172 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 59640 |
| Progressive Corp. (The) | Merrill Lynch International |  | 1838367 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2967 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) | Long Contracts<sup>(a)</sup> (continued) |
| Prosus NV | Barclays Bank PLC | USD  | 1941055 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $230 |
| Realtek Semiconductor Corp. | JPMorgan Chase Bank N.A. |  | 1242817 | &nbsp;&nbsp; 02/10/26 | 0.35<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 38969 |
| Rightmove PLC | Merrill Lynch International |  | 793941 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17816 |
| Rolls-Royce Holdings PLC | Citibank N.A. |  | 1210907 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 107732 |
| Sampo Oyj, A Shares | Barclays Bank PLC |  | 1336118 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (491)<br>|
| Santen Pharmaceutical Co. Ltd. | Merrill Lynch International |  | 793890 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8970)<br>|
| Santos Ltd. | JPMorgan Chase Bank N.A. |  | 532568 | &nbsp;&nbsp; 02/10/26 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 80018 |
| SEEK Ltd. | Merrill Lynch International |  | 1221561 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3354 |
| SGS SA, Registered Shares | Citibank N.A. |  | 915967 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (12300)<br>|
| Shenzhou International Group Holdings Ltd. | JPMorgan Chase Bank N.A. |  | 704824 | &nbsp;&nbsp; 02/10/26 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 22856 |
| Shimizu Corp. | Citibank N.A. |  | 1518720 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 14889 |
| SHO-BOND Holdings Co. Ltd. | Barclays Bank PLC |  | 1545812 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 15543 |
| Siemens Energy AG | Barclays Bank PLC |  | 740582 | &nbsp;&nbsp; 04/01/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 100961 |
| Singapore Technologies Engineering Ltd. | JPMorgan Chase Bank N.A. |  | 1058998 | &nbsp;&nbsp; 02/10/26 | 0.30<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17224)<br>|
| Skanska AB, B Shares | JPMorgan Chase Bank N.A. |  | 1683894 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (78896)<br>|
| Sodexo SA | Citibank N.A. |  | 600861 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2295 |
| Steel Dynamics, Inc. | Merrill Lynch International |  | 801498 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 4965 |
| Swire Pacific Ltd., Class A | Merrill Lynch International |  | 1079171 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (20515)<br>|
| Symrise AG | Merrill Lynch International |  | 1124479 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (107294)<br>|
| T Rowe Price Group, Inc. | Citibank N.A. |  | 982892 | &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1408 |
| Takashimaya Co. Ltd. | JPMorgan Chase Bank N.A. |  | 1332107 | &nbsp;&nbsp; 02/10/26 | 0.19<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 37964 |
| TC Energy Corp. | Citibank N.A. |  | 1171153 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 29807 |
| Techtronic Industries Co. Ltd. | Merrill Lynch International |  | 691597 | &nbsp;&nbsp; 02/15/28 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (18524)<br>|
| Teck Resources Ltd., Class B | Merrill Lynch International |  | 1506867 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| CABROVER | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 54141 |
| Telenor ASA | Barclays Bank PLC |  | 1690271 | &nbsp;&nbsp; 05/04/26 | 0.28<br> %<br>| NOWA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 25785 |
| Telix Pharmaceuticals Ltd. | Merrill Lynch International |  | 616660 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28771)<br>|
| Textron, Inc. | Barclays Bank PLC |  | 2890750 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 104067 |
| Toei Animation Co. Ltd. | Citibank N.A. |  | 722100 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3036 |
| TOTO Ltd. | Merrill Lynch International |  | 1148827 | &nbsp;&nbsp; 03/15/28 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (575)<br>|
| Toyota Tsusho Corp. | Citibank N.A. |  | 976877 | &nbsp;&nbsp; 02/26/26 | 0.25<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 42429 |
| TPG Telecom Ltd. | Merrill Lynch International |  | 2576052 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (51758)<br>|
| Tractor Supply Co. | Merrill Lynch International |  | 1024391 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 20455 |
| TransDigm Group, Inc. | Citibank N.A. |  | 1323612 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 44964 |
| Transurban Group | Merrill Lynch International |  | 3981468 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (144667)<br>|
| Trend Micro, Inc./Japan | Barclays Bank PLC |  | 1053659 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11495 |
| Unimicron Technology Corp. | JPMorgan Chase Bank N.A. |  | 1619 | &nbsp;&nbsp; 02/10/26 | 0.35<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5 |
| Universal Health Services, Inc., Class B | Barclays Bank PLC |  | 850248 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 37387 |
| Universal Music Group NV | Citibank N.A. |  | 1146481 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 8403 |
| UOL Group Ltd. | JPMorgan Chase Bank N.A. |  | 1368674 | &nbsp;&nbsp; 02/10/26 | 0.30<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 26253 |
| Ushio, Inc. | Barclays Bank PLC |  | 739784 | &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; - | 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 31637 |
| Valero Energy Corp. | JPMorgan Chase Bank N.A. |  | 825946 | &nbsp;&nbsp; 02/09/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19426)<br>|
| Valterra Platinum Ltd. | Merrill Lynch International |  | 679205 | &nbsp;&nbsp; 02/15/28 | 0.85<br> %<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 77755 |
| VeriSign, Inc. | Citibank N.A. |  | 820381 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17139 |
| Verizon Communications, Inc. | Barclays Bank PLC |  | 1957032 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 42042 |
| Vestas Wind Systems A/S | JPMorgan Chase Bank N.A. |  | 1085225 | &nbsp;&nbsp; 02/11/26 | 0.26<br> %<br>| DESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (146415)<br>|
| Viatris, Inc. | Barclays Bank PLC |  | 1382370 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 12496 |
| Vivendi SE | Merrill Lynch International |  | 1441926 | &nbsp;&nbsp; 02/15/28 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16913)<br>|
| Vonovia SE | Citibank N.A. |  | 1028432 | &nbsp;&nbsp; 02/26/26 | 0.26<br> %<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (3829)<br>|
| Walgreens Boots Alliance, Inc. | JPMorgan Chase Bank N.A. |  | 713658 | &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 398 |
| Weichai Power Co. Ltd., Class H | Merrill Lynch International |  | 606251 | &nbsp;&nbsp; 02/15/28 | 0.15<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23950)<br>|
| Wells Fargo & Co. | Barclays Bank PLC |  | 1147449 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 46339 |
| Western Digital Corp. | Citibank N.A. |  | 665446 | &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 50 |
| WH Group Ltd. | JPMorgan Chase Bank N.A. |  | 818554 | &nbsp;&nbsp; 02/10/26 | 0.30<br> %<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19464 |
| Workday, Inc., Class A | Merrill Lynch International |  | 1027058 | &nbsp;&nbsp; 02/15/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19058)<br>|
| Worley Ltd. | Merrill Lynch International |  | 1236045 | &nbsp;&nbsp; 02/15/28 | 0.25<br> %<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (43415)<br>|
| Yamaha Corp. | Citibank N.A. |  | 1304414 | &nbsp;&nbsp; 02/26/26 | 0.15<br> %<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 60757 |
| Yum China Holdings, Inc. | Citibank N.A. |  | 861616 | &nbsp;&nbsp; 02/24/28 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 14700 |
| Zimmer Biomet Holdings, Inc. | Barclays Bank PLC |  | 1436550 | &nbsp;&nbsp; 03/24/26 | 0.20<br> %<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4553)<br>|
| Total long positions of equity swaps | Total long positions of equity swaps | Total long positions of equity swaps | Total long positions of equity swaps | Total long positions of equity swaps |  |  |  | &nbsp;&nbsp; 2811956 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> | Short Contracts<sup>(b)</sup> |
| Abbott Laboratories | Citibank N.A. | USD  | (1425882)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(29425)<br>|
| ABN AMRO Bank NV | Barclays Bank PLC |  | (1418063)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23691)<br>|
| AddTech AB, B Shares | JPMorgan Chase Bank N.A. |  | (826881)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.26)%<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 35957 |
| Aeon Co. Ltd. | Merrill Lynch International |  | (1773620)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.64)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24265 |
| AGC, Inc. | Barclays Bank PLC |  | (882019)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 4882 |
| AGC, Inc. | Merrill Lynch International |  | (533595)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (314)<br>|
| Airtel Africa PLC | Citibank N.A. |  | (1428216)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (70526)<br>|
| Akamai Technologies, Inc. | Citibank N.A. |  | (669553)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (431)<br>|
| Alexandria Real Estate Equities, Inc. | Merrill Lynch International |  | (1656192)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 228 |
| Alfa SAB de CV, Class A | Merrill Lynch International |  | (1241552)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.50)%<br>| TIIEFONDEO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 29748 |
| Alstom SA | JPMorgan Chase Bank N.A. |  | (765333)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (46932)<br>|
| Amadeus IT Group SA | Merrill Lynch International |  | (1447480)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2820 |
| America Movil SAB de CV | JPMorgan Chase Bank N.A. |  | (750699)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.50)%<br>| TIIEFONDEO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (36545)<br>|
| AMETEK, Inc. | Barclays Bank PLC |  | (1506880)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (31280)<br>|
| Anheuser-Busch InBev SA/NV | Citibank N.A. |  | (922431)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.05)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 48667 |
| Ansell Ltd. | JPMorgan Chase Bank N.A. |  | (1754798)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 44170 |
| Aozora Bank Ltd. | Barclays Bank PLC |  | (791468)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (1.50)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16020)<br>|
| Aozora Bank Ltd. | JPMorgan Chase Bank N.A. |  | (102102)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (1.39)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (1460)<br>|
| AppLovin Corp., Class A | Citibank N.A. |  | (638577)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26575)<br>|
| Arkema SA | Barclays Bank PLC |  | (1586987)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (89262)<br>|
| Asics Corp. | Merrill Lynch International |  | (526510)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (42149)<br>|
| Aspen Pharmacare Holdings Ltd. | Merrill Lynch International |  | (1316496)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.35)%<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 10484 |
| Atlantic Union Bankshares Corp. | JPMorgan Chase Bank N.A. |  | (245079)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 157 |
| AutoZone, Inc. | Merrill Lynch International |  | (1080951)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (32718)<br>|
| Axon Enterprise, Inc. | Barclays Bank PLC |  | (626592)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (35760)<br>|
| Bachem Holding AG | Merrill Lynch International |  | (948623)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (70954)<br>|
| Bank of Montreal | Citibank N.A. |  | (1721417)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (73877)<br>|
| Bank of Queensland Ltd. | JPMorgan Chase Bank N.A. |  | (1256589)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 45339 |
| Barratt Redrow PLC | Citibank N.A. |  | (1902487)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 20132 |
| Barry Callebaut AG, Registered Shares | Barclays Bank PLC |  | (1003844)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 20082 |
| BASF SE | Barclays Bank PLC |  | (2426426)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (41604)<br>|
| Baxter International, Inc. | JPMorgan Chase Bank N.A. |  | (1073580)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19836 |
| BE Semiconductor Industries NV | Merrill Lynch International |  | (1241677)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 384 |
| Bendigo & Adelaide Bank Ltd. | JPMorgan Chase Bank N.A. |  | (1644059)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24426 |
| Berkshire Hathaway, Inc., Class B | Citibank N.A. |  | (1755972)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7200 |
| BKW AG | Barclays Bank PLC |  | (2052159)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13137 |
| Brookfield Asset Management Ltd., Class A | Citibank N.A. |  | (2571520)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (40900)<br>|
| Brown-Forman Corp., Class B | Citibank N.A. |  | (985056)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15996)<br>|
| BT Group PLC | Citibank N.A. |  | (1005729)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13028)<br>|
| Builders FirstSource, Inc. | Barclays Bank PLC |  | (643302)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13176 |
| Canadian Pacific Kansas City Ltd. | Merrill Lynch International |  | (993381)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.20)%<br>| CABROVER | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24190 |
| CapitaLand Investment Ltd./Singapore | Merrill Lynch International |  | (1662037)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (58852)<br>|
| Central Japan Railway Co. | Barclays Bank PLC |  | (785814)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23422)<br>|
| CH Robinson Worldwide, Inc. | Merrill Lynch International |  | (1033790)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (21660)<br>|
| Challenger Ltd. | JPMorgan Chase Bank N.A. |  | (970107)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (24001)<br>|
| China Everbright Bank Co. Ltd., Class H | Merrill Lynch International |  | (923961)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2363)<br>|
| China Life Insurance Co. Ltd., Class H | Merrill Lynch International |  | (1311700)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (37148)<br>|
| Church & Dwight Co., Inc. | Barclays Bank PLC |  | (1182790)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 10248 |
| Cigna Group (The) | Citibank N.A. |  | (923101)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2522)<br>|
| Coinbase Global, Inc., Class A | Citibank N.A. |  | (645939)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (90090)<br>|
| Commerzbank AG | Barclays Bank PLC |  | (925162)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 42797 |
| Commonwealth Bank of Australia | JPMorgan Chase Bank N.A. |  | (1161898)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (18672)<br>|
| Community Financial System, Inc. | JPMorgan Chase Bank N.A. |  | (400775)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2799 |
| Constellation Energy Corp. | Barclays Bank PLC |  | (788025)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (18875)<br>|
| Continental AG | Barclays Bank PLC |  | (663195)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (116)<br>|
| ConvaTec Group PLC | Barclays Bank PLC |  | (1994937)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 8471 |
| Corning, Inc. | Merrill Lynch International |  | (807402)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28779)<br>|
| Cosan SA | Merrill Lynch International |  | (853960)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 10396 |
| CoStar Group, Inc. | Citibank N.A. |  | (1512756)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6804)<br>|
| Credit Agricole SA | Citibank N.A. |  | (1289191)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (48332)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) |
| CVB Financial Corp. | JPMorgan Chase Bank N.A. | USD  | (361281)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(11879)<br>|
| Dai Nippon Printing Co. Ltd. | Barclays Bank PLC |  | (493604)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19475)<br>|
| Dai Nippon Printing Co. Ltd. | Merrill Lynch International |  | (550332)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17394)<br>|
| Daito Trust Construction Co. Ltd. | Barclays Bank PLC |  | (111385)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2467 |
| Daito Trust Construction Co. Ltd. | Merrill Lynch International |  | (990591)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 10324 |
| Danone SA | JPMorgan Chase Bank N.A. |  | (2689133)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 160792 |
| Davide Campari-Milano NV | Merrill Lynch International |  | (916237)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4077)<br>|
| Demant A/S | Merrill Lynch International |  | (694313)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1W CIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 29986 |
| Denka Co. Ltd. | Barclays Bank PLC |  | (2303307)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (123215)<br>|
| Deutsche Post AG | Barclays Bank PLC |  | (993634)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 11653 |
| DiaSorin SpA | Citibank N.A. |  | (1027824)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 34692 |
| Disco Corp. | Barclays Bank PLC |  | (725343)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (104139)<br>|
| DMG Mori Co. Ltd. | Barclays Bank PLC |  | (131188)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9175)<br>|
| DMG Mori Co. Ltd. | Merrill Lynch International |  | (747238)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (48918)<br>|
| Dollar Tree, Inc. | Citibank N.A. |  | (954845)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13965 |
| Dollarama, Inc. | Merrill Lynch International |  | (776038)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.20)%<br>| CABROVER | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1091 |
| Domain Holdings Australia Ltd. | JPMorgan Chase Bank N.A. |  | (1275894)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8794)<br>|
| Dover Corp. | Barclays Bank PLC |  | (2432161)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (78090)<br>|
| DWS Group GmbH & Co. KGaA | Merrill Lynch International |  | (1235622)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (68890)<br>|
| Ecolab, Inc. | Citibank N.A. |  | (2101005)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (27571)<br>|
| Elevance Health, Inc. | Citibank N.A. |  | (1154502)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (51274)<br>|
| Endesa SA | Merrill Lynch International |  | (1530223)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2851)<br>|
| Energisa S/A | Merrill Lynch International |  | (997214)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28682)<br>|
| Engie Brasil Energia SA | Merrill Lynch International |  | (716768)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (15.00)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (85518)<br>|
| Eurofins Scientific SE | Barclays Bank PLC |  | (1396347)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (21833)<br>|
| Evolution Mining Ltd. | JPMorgan Chase Bank N.A. |  | (1090499)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 57050 |
| Expand Energy Corp. | Citibank N.A. |  | (2586885)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 96063 |
| Exxon Mobil Corp. | Citibank N.A. |  | (1676100)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 59100 |
| Far EasTone Telecommunications Co. Ltd. | JPMorgan Chase Bank N.A. |  | (3095)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.35)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 29 |
| Fastenal Co. | JPMorgan Chase Bank N.A. |  | (1087151)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3551 |
| FedEx Corp. | Citibank N.A. |  | (1479298)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; - | 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1783 |
| Food & Life Cos. Ltd. | Merrill Lynch International |  | (1206108)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (77654)<br>|
| Formosa Chemicals & Fibre Corp. | JPMorgan Chase Bank N.A. |  | (242938)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.63)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17068 |
| Formosa Plastics Corp. | JPMorgan Chase Bank N.A. |  | (854843)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.19)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 10700 |
| Fresenius SE & Co. KGaA | Citibank N.A. |  | (1333401)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; - | 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (30347)<br>|
| Fujitsu Ltd. | Barclays Bank PLC |  | (515053)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23505)<br>|
| Fujitsu Ltd. | Merrill Lynch International |  | (1508437)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15053)<br>|
| Genting Singapore Ltd. | Merrill Lynch International |  | (1633504)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23497)<br>|
| Genuine Parts Co. | Citibank N.A. |  | (897546)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (148)<br>|
| Georg Fischer AG, Registered Shares | Barclays Bank PLC |  | (1332661)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (58699)<br>|
| GoDaddy, Inc., Class A | Barclays Bank PLC |  | (815120)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13156)<br>|
| Great-West Lifeco, Inc. | Merrill Lynch International |  | (867728)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; - | CABROVER | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 599 |
| Grupo Carso SAB de CV | Merrill Lynch International |  | (460619)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.50)%<br>| TIIEFONDEO | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (12704)<br>|
| Hang Lung Properties Ltd. | Merrill Lynch International |  | (1004552)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (79978)<br>|
| Hankyu Hanshin Holdings, Inc. | Barclays Bank PLC |  | (1089346)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (719)<br>|
| Hannover Rueck SE | Merrill Lynch International |  | (1686938)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 16837 |
| Harmonic Drive Systems, Inc. | Barclays Bank PLC |  | (474313)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (33227)<br>|
| Heidelberg Materials AG | Citibank N.A. |  | (715617)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (85072)<br>|
| Heineken NV | Citibank N.A. |  | (751344)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 9779 |
| Heiwa Corp. | Barclays Bank PLC |  | (860031)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.71)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8906)<br>|
| Heiwa Corp. | Merrill Lynch International |  | (113607)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (3029)<br>|
| Hikari Tsushin, Inc. | Barclays Bank PLC |  | (669532)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9580)<br>|
| Hikari Tsushin, Inc. | Merrill Lynch International |  | (116001)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2106)<br>|
| Honda Motor Co. Ltd. | Barclays Bank PLC |  | (244503)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2467 |
| Honda Motor Co. Ltd. | Merrill Lynch International |  | (609641)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19499 |
| Host Hotels & Resorts, Inc. | Citibank N.A. |  | (1701583)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 44239 |
| House Foods Group, Inc. | Merrill Lynch International |  | (509047)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6415)<br>|
| Howden Joinery Group PLC | Citibank N.A. |  | (1328216)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (28832)<br>|
| Hua Nan Financial Holdings Co. Ltd. | JPMorgan Chase Bank N.A. |  | (845444)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.36)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (24956)<br>|
| Hubbell, Inc. | Barclays Bank PLC |  | (1026194)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (35672)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) |
| Ibiden Co. Ltd. | Merrill Lynch International | USD  | (650001)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(39221)<br>|
| IHI Corp. | Merrill Lynch International |  | (727008)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13127 |
| IMI PLC | Citibank N.A. |  | (1498827)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (52154)<br>|
| Informa PLC | Barclays Bank PLC |  | (1285867)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26070)<br>|
| Ingersoll Rand, Inc. | JPMorgan Chase Bank N.A. |  | (1185132)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3976 |
| Innolux Corp. | JPMorgan Chase Bank N.A. |  | (73658)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.24)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1391 |
| Insignia Financial Ltd. | JPMorgan Chase Bank N.A. |  | (519592)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9566)<br>|
| Intel Corp. | Merrill Lynch International |  | (713456)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (57104)<br>|
| Intercontinental Exchange, Inc. | Barclays Bank PLC |  | (1815273)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (37774)<br>|
| International Paper Co. | Barclays Bank PLC |  | (83874)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.75)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (1486)<br>|
| International Paper Co. | JPMorgan Chase Bank N.A. |  | (738350)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.50)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19125 |
| International Paper Co. | Merrill Lynch International |  | (2049520)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (11000)<br>|
| Investment AB Latour, B Shares | Citibank N.A. |  | (779801)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (24644)<br>|
| Invincible Investment Corp. | Barclays Bank PLC |  | (540815)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (1.06)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24059 |
| Invincible Investment Corp. | Merrill Lynch International |  | (222909)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7594 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Citibank N.A. |  | (10250949)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.07)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (89752)<br>|
| &nbsp;&nbsp;&nbsp; iShares iBoxx $ Investment Grade Corporate <br> Bond ETF<br>| JPMorgan Chase Bank N.A. |  | (12275012)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.48)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (271277)<br>|
| &nbsp;&nbsp;&nbsp; iShares iBoxx $ Investment Grade Corporate <br> Bond ETF<br>| Merrill Lynch International |  | (9251663)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.50)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (172824)<br>|
| iShares Preferred & Income Securities ETF | Merrill Lynch International |  | (13191030)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.50)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (200790)<br>|
| Itausa SA | JPMorgan Chase Bank N.A. |  | (1470640)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23192)<br>|
| ITOCHU Corp. | Barclays Bank PLC |  | (794127)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (7058)<br>|
| J M Smucker Co. (The) | Barclays Bank PLC |  | (817572)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (7308)<br>|
| Japan Steel Works Ltd. (The) | Barclays Bank PLC |  | (663696)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (39993)<br>|
| JFE Holdings, Inc. | Barclays Bank PLC |  | (1439147)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.51)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (32385)<br>|
| JFE Holdings, Inc. | Merrill Lynch International |  | (272572)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1531 |
| Johnson Controls International PLC | Barclays Bank PLC |  | (1539915)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (33823)<br>|
| Kadokawa Corp. | Barclays Bank PLC |  | (802876)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23821)<br>|
| Kagome Co. Ltd. | Barclays Bank PLC |  | (734003)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (836)<br>|
| Kawasaki Heavy Industries Ltd. | Merrill Lynch International |  | (622395)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (12625)<br>|
| Keio Corp. | Barclays Bank PLC |  | (1187940)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 8869 |
| Kering SA | Barclays Bank PLC |  | (1447112)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (77878)<br>|
| KeyCorp | Barclays Bank PLC |  | (2511427)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (141639)<br>|
| KGI Financial Holding Co. Ltd. | JPMorgan Chase Bank N.A. |  | (604300)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.18)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 89822 |
| KKR & Co., Inc. | Citibank N.A. |  | (1734388)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (154638)<br>|
| Klabin SA | Merrill Lynch International |  | (1065058)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (22479)<br>|
| Koninklijke Ahold Delhaize NV | Merrill Lynch International |  | (1741646)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 16692 |
| Kuaishou Technology | Merrill Lynch International |  | (827987)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (60077)<br>|
| Kyocera Corp. | Merrill Lynch International |  | (1121365)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (14815)<br>|
| Kyowa Kirin Co. Ltd. | Barclays Bank PLC |  | (1184957)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7288 |
| Li Auto, Inc., Class A | Merrill Lynch International |  | (919354)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 33533 |
| Lifco AB, B Shares | Citibank N.A. |  | (924643)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| TN STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 632 |
| LKQ Corp. | Citibank N.A. |  | (758408)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7105 |
| Lynas Rare Earths Ltd. | JPMorgan Chase Bank N.A. |  | (1221276)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 65272 |
| M&T Bank Corp. | Citibank N.A. |  | (1314680)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (23851)<br>|
| MatsukiyoCocokara & Co. | Barclays Bank PLC |  | (1155923)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (10426)<br>|
| Mercari, Inc. | Barclays Bank PLC |  | (116065)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3130 |
| Mercari, Inc. | Merrill Lynch International |  | (603092)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3239 |
| Mid-America Apartment Communities, Inc. | Merrill Lynch International |  | (1226146)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 12464 |
| Mineral Resources Ltd. | JPMorgan Chase Bank N.A. |  | (1343812)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 140432 |
| Mitsubishi Chemical Group Corp. | Barclays Bank PLC |  | (1168959)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (32042)<br>|
| Mitsubishi HC Capital, Inc. | Barclays Bank PLC |  | (1182359)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15557)<br>|
| Mitsubishi Heavy Industries Ltd. | Merrill Lynch International |  | (731300)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4417)<br>|
| MMG Ltd. | JPMorgan Chase Bank N.A. |  | (1298011)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.18)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (228535)<br>|
| Moncler SpA | Citibank N.A. |  | (917119)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6954)<br>|
| MTR Corp. Ltd. | Merrill Lynch International |  | (1847655)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (15019)<br>|
| MultiChoice Group | JPMorgan Chase Bank N.A. |  | (1067980)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.40)%<br>| 1D RAONON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (20671)<br>|
| MultiChoice Group | Merrill Lynch International |  | (491115)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.35)%<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (29920)<br>|
| Nan Ya Plastics Corp. | JPMorgan Chase Bank N.A. |  | (973079)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 68214 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) |
| Nasdaq, Inc. | Citibank N.A. | USD  | (1344315)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(41695)<br>|
| National Australia Bank Ltd. | JPMorgan Chase Bank N.A. |  | (1768490)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9471)<br>|
| NEC Corp. | Merrill Lynch International |  | (1160310)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.11)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (47537)<br>|
| Neste Oyj | Merrill Lynch International |  | (673298)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (43611)<br>|
| Newmont Corp. | Barclays Bank PLC |  | (981090)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19800 |
| News Corp., Class A | Merrill Lynch International |  | (1333112)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (57784)<br>|
| NEXTDC Ltd. | JPMorgan Chase Bank N.A. |  | (1388710)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (64095)<br>|
| Nippon Steel Corp. | Barclays Bank PLC |  | (1463838)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26423)<br>|
| Nipro Corp. | Barclays Bank PLC |  | (333575)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4785)<br>|
| Nipro Corp. | Merrill Lynch International |  | (1222625)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16551)<br>|
| Nissan Motor Co. Ltd. | Barclays Bank PLC |  | (606892)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (5504)<br>|
| Nomura Research Institute Ltd. | Barclays Bank PLC |  | (659279)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (8678)<br>|
| Nordea Bank Abp | Barclays Bank PLC |  | (1135246)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (45808)<br>|
| Norfolk Southern Corp. | Merrill Lynch International |  | (1235437)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (18816)<br>|
| Norsk Hydro ASA | Merrill Lynch International |  | (881120)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| NOWA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19643)<br>|
| Northern Star Resources Ltd. | JPMorgan Chase Bank N.A. |  | (1643605)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 174936 |
| Norwegian Cruise Line Holdings Ltd. | Citibank N.A. |  | (1060200)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (95760)<br>|
| Novonesis Novozymes B | JPMorgan Chase Bank N.A. |  | (2375635)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.26)%<br>| DESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 135573 |
| NTT Data Group Corp. | Barclays Bank PLC |  | (412125)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2450 |
| NTT Data Group Corp. | Merrill Lynch International |  | (229758)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.25)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 451 |
| NU Holdings Ltd., Class A | Citibank N.A. |  | (840745)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (64775)<br>|
| Oji Holdings Corp. | Barclays Bank PLC |  | (975048)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (14673)<br>|
| Oji Holdings Corp. | Merrill Lynch International |  | (174383)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9365)<br>|
| ONEOK, Inc. | Merrill Lynch International |  | (868728)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3450 |
| Ono Pharmaceutical Co. Ltd. | Barclays Bank PLC |  | (1883226)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25306)<br>|
| O'Reilly Automotive, Inc. | Merrill Lynch International |  | (854764)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (19497)<br>|
| Oriental Land Co. Ltd./Japan | Barclays Bank PLC |  | (1093754)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (34803)<br>|
| Orlen SA | JPMorgan Chase Bank N.A. |  | (1116327)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.50)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (112133)<br>|
| PACCAR, Inc. | Citibank N.A. |  | (1082650)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (39058)<br>|
| Packaging Corp. of America | Citibank N.A. |  | (2321010)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 3075 |
| Pan Pacific International Holdings Corp. | Barclays Bank PLC |  | (885100)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26369)<br>|
| Pan Pacific International Holdings Corp. | Merrill Lynch International |  | (97184)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6001)<br>|
| Parker-Hannifin Corp. | Barclays Bank PLC |  | (2656880)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (137000)<br>|
| Pentair PLC | Barclays Bank PLC |  | (378328)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (11780)<br>|
| Pentair PLC | Citibank N.A. |  | (1991200)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (62000)<br>|
| Pernod Ricard SA | Citibank N.A. |  | (2281138)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 56683 |
| Petroleo Brasileiro SA - Petrobras | JPMorgan Chase Bank N.A. |  | (576088)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (43448)<br>|
| Pfizer, Inc. | Barclays Bank PLC |  | (1355292)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (11844)<br>|
| Postal Savings Bank of China Co. Ltd., Class H | Merrill Lynch International |  | (1618028)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (18852)<br>|
| Pou Chen Corp. | JPMorgan Chase Bank N.A. |  | (32769)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 148 |
| Power Corp. of Canada | Citibank N.A. |  | (1564225)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17448 |
| Procter & Gamble Co. (The) | Citibank N.A. |  | (1561991)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 16587 |
| Provident Financial Services, Inc. | JPMorgan Chase Bank N.A. |  | (451846)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17677)<br>|
| Public Service Enterprise Group, Inc. | Citibank N.A. |  | (958709)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (9361)<br>|
| Quanta Services, Inc. | Barclays Bank PLC |  | (877824)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (29568)<br>|
| Rengo Co. Ltd. | Barclays Bank PLC |  | (1007430)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (5560)<br>|
| Rengo Co. Ltd. | Merrill Lynch International |  | (603512)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (42547)<br>|
| Republic Services, Inc. | Citibank N.A. |  | (1178196)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19129 |
| Restaurant Brands International, Inc. | Citibank N.A. |  | (831467)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2295 |
| Ricoh Co. Ltd. | Barclays Bank PLC |  | (745137)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (44774)<br>|
| Ricoh Co. Ltd. | Merrill Lynch International |  | (37215)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (2422)<br>|
| Rumo SA | Merrill Lynch International |  | (1043719)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.59)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 49829 |
| Sandoz Group AG | Barclays Bank PLC |  | (2444295)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (21857)<br>|
| Sandvik AB | Barclays Bank PLC |  | (1383113)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (56628)<br>|
| Sasol Ltd. | Merrill Lynch International |  | (506594)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.35)%<br>| 1M JIBAR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 24355 |
| Schindler Holding AG, Participation Certificates | Merrill Lynch International |  | (1801550)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 14173 |
| SCSK Corp. | Barclays Bank PLC |  | (608668)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (17988)<br>|
| SCSK Corp. | Merrill Lynch International |  | (405987)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 2276 |
| Seagate Technology Holdings PLC | Citibank N.A. |  | (652092)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (55125)<br>|
| Securitas AB, B Shares | Barclays Bank PLC |  | (1393973)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (7437)<br>|

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Equity Swap Contracts (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Counterparty* | *Notional Amount* | *Notional Amount* | *Termination Date* | *Spread* | *Reference Rate* | *Payment*<br> *Frequency*<br>| *Value/ Unrealized*<br> *Appreciation*<br> *(Depreciation)*<br>|
| Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) | Short Contracts<sup>(b)</sup> (continued) |
| Seino Holdings Co. Ltd. | Merrill Lynch International | USD  | (1071675)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; $(2240)<br>|
| ServisFirst Bancshares, Inc. | JPMorgan Chase Bank N.A. |  | (491157)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (14751)<br>|
| SG Holdings Co. Ltd. | Barclays Bank PLC |  | (1139735)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 23708 |
| SGH Ltd. | JPMorgan Chase Bank N.A. |  | (2595461)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 6314 |
| Siemens AG, Registered Shares | Barclays Bank PLC |  | (1401949)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (62143)<br>|
| Sino Land Co. Ltd. | Merrill Lynch International |  | (797857)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (5255)<br>|
| SLC Agricola SA | Merrill Lynch International |  | (1333703)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.40)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 76999 |
| Smurfit WestRock PLC | Citibank N.A. |  | (1539846)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26499)<br>|
| Societe Generale SA | JPMorgan Chase Bank N.A. |  | (629400)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 5874 |
| Sofina SA | Merrill Lynch International |  | (1694882)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (157312)<br>|
| SoftBank Corp. | Barclays Bank PLC |  | (273476)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (6729)<br>|
| SoftBank Corp. | Merrill Lynch International |  | (1278909)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13072)<br>|
| Solventum Corp. | Barclays Bank PLC |  | (732500)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25900)<br>|
| Standard Chartered PLC | Citibank N.A. |  | (1397838)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (51815)<br>|
| Starbucks Corp. | Citibank N.A. |  | (1606716)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 12354 |
| Steadfast Group Ltd. | JPMorgan Chase Bank N.A. |  | (838141)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (4686)<br>|
| Sumitomo Heavy Industries Ltd. | Barclays Bank PLC |  | (1908824)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (69490)<br>|
| Sumitomo Heavy Industries Ltd. | Citibank N.A. |  | (33996)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (855)<br>|
| Sumitomo Metal Mining Co. Ltd. | Barclays Bank PLC |  | (761015)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (49805)<br>|
| Sumitomo Metal Mining Co. Ltd. | Merrill Lynch International |  | (276963)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (13848)<br>|
| Super Micro Computer, Inc. | Merrill Lynch International |  | (777682)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (94696)<br>|
| Svenska Handelsbanken AB, A Shares | Barclays Bank PLC |  | (1223989)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| 1D STIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (38432)<br>|
| Synopsys, Inc. | Barclays Bank PLC |  | (1130352)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (100080)<br>|
| Taiwan Mobile Co. Ltd. | JPMorgan Chase Bank N.A. |  | (7235)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 121 |
| Target Corp. | Citibank N.A. |  | (1216278)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26712)<br>|
| Teledyne Technologies, Inc. | Merrill Lynch International |  | (1612883)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (77740)<br>|
| Telstra Group Ltd. | JPMorgan Chase Bank N.A. |  | (1688583)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 1801 |
| TELUS Corp. | Citibank N.A. |  | (1177532)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 19590 |
| Temenos AG, Registered Shares | Barclays Bank PLC |  | (827481)<br>| &nbsp;&nbsp; 04/01/26 | &nbsp;&nbsp; (0.26)%<br>| SSARON | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 30111 |
| Toray Industries, Inc. | Barclays Bank PLC |  | (1106513)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (26376)<br>|
| Toray Industries, Inc. | Merrill Lynch International |  | (279018)<br>| &nbsp;&nbsp; 03/15/28 | &nbsp;&nbsp; (0.15)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (1637)<br>|
| Toronto-Dominion Bank (The) | Citibank N.A. |  | (1055421)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.20)%<br>| 1D CORRA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25800)<br>|
| Toyota Industries Corp. | Barclays Bank PLC |  | (842749)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7564 |
| Truist Financial Corp. | JPMorgan Chase Bank N.A. |  | (1589685)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (99822)<br>|
| Tryg A/S | Merrill Lynch International |  | (1676089)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1W CIBOR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 13857 |
| Tyler Technologies, Inc. | Barclays Bank PLC |  | (1160140)<br>| &nbsp;&nbsp; 03/24/26 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25540)<br>|
| UBE Corp. | Barclays Bank PLC |  | (556099)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (16799)<br>|
| Valmet Oyj | Merrill Lynch International |  | (726581)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 35459 |
| &nbsp;&nbsp;&nbsp; Vanguard Intermediate-Term Corporate Bond <br> ETF<br>| JPMorgan Chase Bank N.A. |  | (8330197)<br>| &nbsp;&nbsp; 02/09/26 | &nbsp;&nbsp; (0.33)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (175405)<br>|
| Vicinity Ltd. | JPMorgan Chase Bank N.A. |  | (830796)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (129)<br>|
| Wacker Chemie AG | JPMorgan Chase Bank N.A. |  | (699473)<br>| &nbsp;&nbsp; 02/11/26 | &nbsp;&nbsp; (0.75)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 17504 |
| Wartsila Oyj Abp | Citibank N.A. |  | (1409586)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.26)%<br>| 1D ESTR | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (34473)<br>|
| Wesfarmers Ltd. | JPMorgan Chase Bank N.A. |  | (2627773)<br>| &nbsp;&nbsp; 02/10/26 | &nbsp;&nbsp; (0.25)%<br>| 1D AONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 15989 |
| Wharf Holdings Ltd. (The) | Merrill Lynch International |  | (1600744)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (25075)<br>|
| Wharf Real Estate Investment Co. Ltd. | Merrill Lynch International |  | (1268696)<br>| &nbsp;&nbsp; 02/15/28 | &nbsp;&nbsp; (0.30)%<br>| HONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (71119)<br>|
| Wise PLC, Class A | Citibank N.A. |  | (890332)<br>| &nbsp;&nbsp; 02/26/26 | &nbsp;&nbsp; (0.25)%<br>| 1D SONIA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 7494 |
| Xylem, Inc./NY | Citibank N.A. |  | (1643919)<br>| &nbsp;&nbsp; 02/24/28 | &nbsp;&nbsp; (0.15)%<br>| 1D OBFR01 | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (50697)<br>|
| Yakult Honsha Co. Ltd. | Barclays Bank PLC |  | (1507116)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; 53207 |
| Zensho Holdings Co. Ltd. | Barclays Bank PLC |  | (717076)<br>| &nbsp;&nbsp; 03/01/27 | &nbsp;&nbsp; (0.20)%<br>| 1D P TONA | &nbsp;&nbsp; Monthly | &nbsp;&nbsp; (39503)<br>|
| Total short positions of equity swaps | Total short positions of equity swaps | Total short positions of equity swaps | Total short positions of equity swaps | Total short positions of equity swaps |  |  |  | &nbsp;&nbsp; (4862354)<br>|
| Total long and short positions of equity swaps | Total long and short positions of equity swaps | Total long and short positions of equity swaps | Total long and short positions of equity swaps | Total long and short positions of equity swaps |  |  |  | &nbsp;&nbsp; (2050398)<br>|
| Net dividends and financing fees | Net dividends and financing fees | Net dividends and financing fees | Net dividends and financing fees | Net dividends and financing fees |  |  |  | &nbsp;&nbsp; (301869)<br>|
| Total equity swap contracts including dividends and financing fees | Total equity swap contracts including dividends and financing fees | Total equity swap contracts including dividends and financing fees | Total equity swap contracts including dividends and financing fees | Total equity swap contracts including dividends and financing fees |  |  |  | &nbsp;&nbsp; $(2352267)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> The Fund receives the total return on a reference entity and pays a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying position. 

<sup>(b)</sup> The Fund pays the total return on a reference entity and receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying position. 

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $2097994065 | &nbsp;&nbsp; $55665775 | &nbsp;&nbsp; $2153659840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 9829050 | &nbsp;&nbsp; 9829050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp; 24675363 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 24675363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadline Retail | &nbsp;&nbsp; — | &nbsp;&nbsp; 1687769 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1687769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp; — | &nbsp;&nbsp; 974094 | &nbsp;&nbsp; 196389 | &nbsp;&nbsp; 1170483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications Equipment | &nbsp;&nbsp; 1497761 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 1497761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp; 2844525 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2844525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Electrical Equipment | &nbsp;&nbsp; 3266443 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 3266443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp; 11038572 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 11038572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp; 4943719 | &nbsp;&nbsp; 599092 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5542811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financial Services | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 15407056 | &nbsp;&nbsp; 15407056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp; 9712032 | &nbsp;&nbsp; 122755 | &nbsp;&nbsp; — | &nbsp;&nbsp; 9834787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp; 2705588 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2705588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp; — | &nbsp;&nbsp; 4117713 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4117713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp; 322704 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 322704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Metals & Mining | &nbsp;&nbsp; 2210388 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2210388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Real Estate Investment Trusts (REITs) | &nbsp;&nbsp; 10261193 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 10261193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp; 3436028 | &nbsp;&nbsp; — | &nbsp;&nbsp; 8099456 | &nbsp;&nbsp; 11535484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional Services | &nbsp;&nbsp; 3825623 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 3825623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate Management & Development | &nbsp;&nbsp; 306984 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4251053 | &nbsp;&nbsp; 4558037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Residential REITs | &nbsp;&nbsp; 4531254 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 4531254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp; 1380770 | &nbsp;&nbsp; 60073 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1440843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds  | &nbsp;&nbsp; — | &nbsp;&nbsp; 4844906813 | &nbsp;&nbsp; 169795190 | &nbsp;&nbsp; 5014702003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fixed Rate Loan Interests | &nbsp;&nbsp; — | &nbsp;&nbsp; 2036109 | &nbsp;&nbsp; 29244838 | &nbsp;&nbsp; 31280947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests | &nbsp;&nbsp; — | &nbsp;&nbsp; 60625341 | &nbsp;&nbsp; 208489132 | &nbsp;&nbsp; 269114473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 15013072 | &nbsp;&nbsp; — | &nbsp;&nbsp; 15013072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 839195322 | &nbsp;&nbsp; — | &nbsp;&nbsp; 839195322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies  | &nbsp;&nbsp; 75725528 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 75725528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 114992537 | &nbsp;&nbsp; — | &nbsp;&nbsp; 114992537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 2364380007 | &nbsp;&nbsp; 10001722 | &nbsp;&nbsp; 2374381729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Trusts | &nbsp;&nbsp; — | &nbsp;&nbsp; 43253940 | &nbsp;&nbsp; — | &nbsp;&nbsp; 43253940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp; 2621400 | &nbsp;&nbsp; — | &nbsp;&nbsp; 71433600 | &nbsp;&nbsp; 74055000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 8900114358 | &nbsp;&nbsp; — | &nbsp;&nbsp; 8900114358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 3287667513 | &nbsp;&nbsp; — | &nbsp;&nbsp; 3287667513 |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

**Fair Value Hierarchy as of Period End (continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $1810358 | &nbsp;&nbsp; $1810358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 203871 | &nbsp;&nbsp; 203871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp; 321 | &nbsp;&nbsp; — | &nbsp;&nbsp; 54584 | &nbsp;&nbsp; 54905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 566162 | &nbsp;&nbsp; 566162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp; 102175 | &nbsp;&nbsp; 27885 | &nbsp;&nbsp; — | &nbsp;&nbsp; 130060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 332915 | &nbsp;&nbsp; 332915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Passenger Airlines | &nbsp;&nbsp; — | &nbsp;&nbsp; 1877 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate Management & Development | &nbsp;&nbsp; 525 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp; 13939 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2050653 | &nbsp;&nbsp; 2064592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp; 16674 | &nbsp;&nbsp; — | &nbsp;&nbsp; 524451 | &nbsp;&nbsp; 541125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trading Companies & Distributors | &nbsp;&nbsp; 2864 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 402705182 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 402705182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | &nbsp;&nbsp; 67212 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 67212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 6620316 | &nbsp;&nbsp; — | &nbsp;&nbsp; 6620316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 13736985 | &nbsp;&nbsp; — | &nbsp;&nbsp; 13736985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests <sup>(a)</sup> | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 256808 | &nbsp;&nbsp; 256808 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (1473195774)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (1473195774)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests <sup>(a)</sup> | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (44624)<br>| &nbsp;&nbsp; (44624)<br>|
|  | &nbsp;&nbsp; $568214767 | &nbsp;&nbsp; $21124931862 | &nbsp;&nbsp; $588168439 | &nbsp;&nbsp; $22281315068 |
| Derivative Financial Instruments<sup>(b)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp; $24055052 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $24055052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 8695059 | &nbsp;&nbsp; — | &nbsp;&nbsp; 8695059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 4206383 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4206383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; 53677318 | &nbsp;&nbsp; 15291599 | &nbsp;&nbsp; — | &nbsp;&nbsp; 68968917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 299216 | &nbsp;&nbsp; — | &nbsp;&nbsp; 299216 |
| &nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (3180346)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (3180346)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | &nbsp;&nbsp; (2912020)<br>| &nbsp;&nbsp; (10976481)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (13888501)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (16152509)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (16152509)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (39572160)<br>| &nbsp;&nbsp; (885769)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (40457929)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (3474902)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (3474902)<br>|
|  | &nbsp;&nbsp; $11193138 | &nbsp;&nbsp; $17877302 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $29070440 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

<sup>(b)</sup> Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. 

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *Asset-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Common* <br>*Stocks*<br>| &nbsp;&nbsp; *Corporate* <br>*Bonds*<br>| &nbsp;&nbsp; *Fixed Rate* <br>*Loan Interests*<br>| &nbsp;&nbsp; *Floating Rate* <br>*Loan Interests*<br>|
| **Assets** |  |  |  |  |  |
| Opening Balance, as of September 30, 2024 | &nbsp;&nbsp; $21539348 | &nbsp;&nbsp;&nbsp;&nbsp; $25467216 | &nbsp;&nbsp;&nbsp;&nbsp; $157472285 | &nbsp;&nbsp;&nbsp;&nbsp; $37276835 | &nbsp;&nbsp;&nbsp;&nbsp; $143248121 |
| Transfers into Level 3 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8964901 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14987017 |
| Transfers out of Level 3 | &nbsp;&nbsp; (1500000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4986558)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1751479)<br>|
| Accrued discounts/premiums | &nbsp;&nbsp; (11347)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2153870 | &nbsp;&nbsp;&nbsp;&nbsp; 11685 | &nbsp;&nbsp;&nbsp;&nbsp; 173850 |
| Net realized gain (loss) | &nbsp;&nbsp; (63623)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (29)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 408515 | &nbsp;&nbsp;&nbsp;&nbsp; 12308 | &nbsp;&nbsp;&nbsp;&nbsp; (5438263)<br>|
| Net change in unrealized appreciation (depreciation)<sup>(a)</sup> | &nbsp;&nbsp; 395479 | &nbsp;&nbsp;&nbsp;&nbsp; 842890 | &nbsp;&nbsp;&nbsp;&nbsp; 2306553 | &nbsp;&nbsp;&nbsp;&nbsp; (187298)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1864808 |
| Purchases | &nbsp;&nbsp; 37413526 | &nbsp;&nbsp;&nbsp;&nbsp; 11472927 | &nbsp;&nbsp;&nbsp;&nbsp; 43358382 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 87880437 |
| Sales | &nbsp;&nbsp; (2107608)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (44869316)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (2882134)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (32475359)<br>|
| Closing Balance, as of June 30, 2025 | &nbsp;&nbsp; $55665775 | &nbsp;&nbsp;&nbsp;&nbsp; $37783004 | &nbsp;&nbsp;&nbsp;&nbsp; $169795190 | &nbsp;&nbsp;&nbsp;&nbsp; $29244838  | &nbsp;&nbsp;&nbsp;&nbsp; $208489132 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments still held at <br> June 30, 2025<sup>(a)</sup><br>| &nbsp;&nbsp; $395479 | &nbsp;&nbsp;&nbsp;&nbsp; $842890 | &nbsp;&nbsp;&nbsp;&nbsp; $(2425151)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(187298)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(11835412)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *Non-Agency* <br>*Mortgage-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Preferred* <br>*Securities*<br>| *Warrants* | &nbsp;&nbsp; *Unfunded* <br>*Floating Rate* <br>*Loan Interests*<br>| *Total* |
| **Assets** |  |  |  |  |  |
| Opening Balance, as of September 30, 2024 | &nbsp;&nbsp; $53444000 | &nbsp;&nbsp;&nbsp;&nbsp; $56306650 | &nbsp;&nbsp;&nbsp;&nbsp; $4040333 | &nbsp;&nbsp;&nbsp;&nbsp; $60330 | &nbsp;&nbsp;&nbsp;&nbsp; $498855118 |
| Transfers into Level 3 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1810358 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25762276 |
| Transfers out of Level 3 | &nbsp;&nbsp; (43529736)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (51767774)<br>|
| Accrued discounts/premiums | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2328058 |
| Net realized gain (loss) | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5081092)<br>|
| Net change in unrealized appreciation (depreciation)<sup>(a)</sup> | &nbsp;&nbsp; 147362 | &nbsp;&nbsp;&nbsp;&nbsp; 7233822 | &nbsp;&nbsp;&nbsp;&nbsp; (307696)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 196478 | &nbsp;&nbsp;&nbsp;&nbsp; 12492398 |
| Purchases | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7893128 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 188018400 |
| Sales | &nbsp;&nbsp; (59904)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (82394321)<br>|
| Closing Balance, as of June 30, 2025 | &nbsp;&nbsp; $10001722 | &nbsp;&nbsp;&nbsp;&nbsp; $71433600 | &nbsp;&nbsp;&nbsp;&nbsp; $5542994 | &nbsp;&nbsp;&nbsp;&nbsp; $256808 | &nbsp;&nbsp;&nbsp;&nbsp; $588213063 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments still held at <br> June 30, 2025<sup>(a)</sup><br>| &nbsp;&nbsp; $147362 | &nbsp;&nbsp;&nbsp;&nbsp; $7233822 | &nbsp;&nbsp;&nbsp;&nbsp; $(183656)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $196478 | &nbsp;&nbsp;&nbsp;&nbsp; $(5815486)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
|  | *Unfunded* <br>*Floating Rate* <br>*Loan Interests*<br>|
| **Liabilities** |  |
| Opening Balance, as of September 30, 2024 | &nbsp;&nbsp; $(744)<br>|
| Transfers into Level 3 | &nbsp;&nbsp; — |
| Transfers out of Level 3 | &nbsp;&nbsp; — |
| Accrued discounts/premiums | &nbsp;&nbsp; — |
| Net realized gain (loss) | &nbsp;&nbsp; — |
| Net change in unrealized appreciation (depreciation)<sup>(a)</sup> | &nbsp;&nbsp; (43880)<br>|
| Purchases | &nbsp;&nbsp; — |
| Sales | &nbsp;&nbsp; — |
| Closing Balance, as of June 30, 2025 | &nbsp;&nbsp; $(44624)<br>|
| Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2025<sup>(a)</sup> | &nbsp;&nbsp; $(43880)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;<sup>(a)</sup>

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2025, is generally due to investments no longer held or categorized as Level 3 at period end.

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

The following table summarizes the valuation approaches used and unobservable inputs utilized by the valuation committee to determine the value of certain of the Fund's Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $15,635,418. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Value | Valuation Approach | &nbsp;&nbsp;&nbsp; Unobservable <br>Inputs<br>| &nbsp;&nbsp;&nbsp; Range of <br>Unobservable Inputs <br>Utilized<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp; Weighted Average of <br>Unobservable Inputs <br>Based on Fair Value<br>|
| **Assets** |  |  |  |  |  |
| Asset Backed Securities | &nbsp;&nbsp; $37957435 | Income | Discount Rate | 7%-10% | 8% |
| Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; 10001722 | Income | Discount Rate | 8% |  |
| Common Stocks | &nbsp;&nbsp; 37521764 | &nbsp;&nbsp;&nbsp; Market <br>Income<br>| &nbsp;&nbsp;&nbsp; Volatility <br>Time to Exit <br>EBITDA Multiple <br>Discount for lack of marketability <br>Discount Rate<br>| &nbsp;&nbsp;&nbsp; 75% <br>&nbsp;&nbsp;&nbsp;&nbsp; 5.7 years <br>9.63x - 24.87x <br>10% <br>10% - 15%<br>| &nbsp;&nbsp;&nbsp; — <br>— <br>18.78x <br>— <br>12%<br>|
| Corporate Bonds | &nbsp;&nbsp; 164388041 | Income | Discount Rate | 5% - 16% | 11% |
| Floating Rate Loan Interests | &nbsp;&nbsp; 218761152 | &nbsp;&nbsp;&nbsp;&nbsp; Income <br>Market<br>| &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate <br>EBITDA Multiple<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3 % - 17%<br>12.25x<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9 %<br>—<br>|
| Fixed Rate Loan Interests | &nbsp;&nbsp; 29244838 | Income | Discount Rate | 7% |  |
| Preferred Stock | &nbsp;&nbsp; 70925438 | &nbsp;&nbsp;&nbsp; Income <br>Market <br>| &nbsp;&nbsp;&nbsp; Discount Rate <br>Revenue Multiple <br>EBITDA Multiple <br>Direct Profit Multiple <br>Volatility <br>Time to Exit<br>| &nbsp;&nbsp;&nbsp; 10% - 15% <br>4.87x-27.78x <br>8.50x <br>4.50x <br>49% -90% <br>&nbsp;&nbsp;&nbsp;&nbsp; 2.0 - 3.0 years<br>| &nbsp;&nbsp;&nbsp; 13% <br>15.29x <br>— <br>— <br>62% <br>&nbsp;&nbsp;&nbsp;&nbsp; 2.2 years<br>|
| Warrants | &nbsp;&nbsp; 3732631 | &nbsp;&nbsp;&nbsp; Market <br>Income<br>| &nbsp;&nbsp;&nbsp; Revenue Multiple <br>Volatility <br>Time to Exit <br>Discount for lack of marketability <br>Discount Rate<br>| &nbsp;&nbsp;&nbsp; 1.53x-8.50x <br>33% - 75% <br>&nbsp;&nbsp;&nbsp;&nbsp; 4.8 - 5.7 years <br>10% <br>15%<br>| &nbsp;&nbsp;&nbsp; 7.48x <br>45% <br>&nbsp;&nbsp;&nbsp;&nbsp; 4.9 years <br>— <br>—<br>|
|  | &nbsp;&nbsp; $572533021 |  |  |  |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;<sup>(a)</sup>

A significant change in unobservable input could result in a correlated or inverse change in value.

---

| | |
|:---|:---|
| **Currency Abbreviation**  | **Currency Abbreviation**  |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CNH | Chinese Yuan Offshore |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EGP | Egyptian Pound |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| NGN | Nigerian Naira |
| NOK | Norwegian Krone |
| PEN | Peruvian Sol |
| PLN | Polish Zloty |
| SGD | Singapore Dollar |
| TRY | Turkish Lira |
| USD | United States Dollar |
| ZAR | South African Rand |

---

------

Consolidated Schedule of Investments (unaudited) (continued)

June 30, 2025

**BlackRock Total Return Fund**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| 1D AONIA | AUD - 1D Overnight Reserve Bank of Australia Rate |
| 1D CORRA | CAD - 1D Overnight Bank of Canada Repo Rate |
| 1D ESTR | EUR - 1D Euro Short-Term Rate |
| 1D OBFR01 | USD - 1D Overnight Bank Funding Rate |
| 1D P TONA | JPY - Provisional 1D Overnight Tokyo Average Rate |
| 1D RAONON | ZAR - 1D Rand Overnight Interest Rate Fixing |
| 1D SONIA | GBP - 1D Sterling Overnight Index Average |
| 1D STIBOR | SEK - 1D Overnight Stockholm Interbank Offer Rate |
| 1M JIBAR | ZAR - 1M Johannesburg Interbank Agreed Rate |
| 1W CIBOR | DKK - 1W Copenhagen Interbank Swap Rate |
| ABS | Asset-Backed Security |
| ADR | American Depositary Receipt |
| AKA | Also Known As |
| BBSW | Bank Bill Swap Rate |
| CABROVER | Bank of Canada Overnight Rate Target |
| CDI | CREST Depository Interest |
| CLO | Collateralized Loan Obligation |
| CME | Chicago Mercantile Exchange |
| COBRO | CAD - Overnight Interbank Rate Overnight |
| CORRA | Canadian OvernightRepo Rate Average |
| CVR | Contingent Value Rights |
| DAC | Designated Activity Co. |
| DESTR | DKK - Denmark Short-Term Rate |
| ETF | Exchange-Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FKA | Formally Known As |
| GO | General Obligation Bonds |
| HONIA | HKD - Overnight Index Average |
| IO | Interest Only |
| JIBAR | Johannesburg Interbank Average Rate |
| LP | Limited Partnership |
| NOWA | NOK - Norwegian Overnight Weighted Average |
| NVS | Non-Voting Shares |
| OTC | Over-the-Counter |
| PIK | Payment-in-Kind |
| RB | Revenue Bonds |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| SPDR | Standard & Poor's Depository Receipt |
| SSARON | CHF - Swiss Average Rate O/N |
| TBA | To-be-Announced |
| TIIEFONDEO | MXN - Overnight TIIE Funding Rate |
| TN STIBOR | SEK - TN Stockholm Interbank Offer Rate |
| TONA | Tokyo Overnight Average Rate |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Bond Fund, Inc.

- **b. Investment Company Act file number:** 811-02857

- **c. CIK number of Registrant:** 0000276463

- **d. LEI of Registrant:** 54930030AVOSLSPZTH36

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Total Return Fund

- **b. EDGAR series identifier (if any):** S000004071

- **c. LEI of Series:** 549300WQF7SM1NEFDT68

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

- **a. Date of fiscal year-end:** 2025-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $25410708361.20

**Total Liabilities:** $6722457136.82

**Net Assets:** $18688251224.38

**Delayed Delivery Securities:** $16906216.73

**Stand-by Commitments:** $5021494509.20

**Cash Not Reported:** $133348290.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 493548.44000000 | **1-Year:** 157093.13000000 | **5-Year:** 4246692.94000000 | **10-Year:** 1314009.62000000 | **30-Year:** 1659307.69000000

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

- **3-Month:** 959716.86000000 | **1-Year:** -34091.20000000 | **5-Year:** 700905.12000000 | **10-Year:** 24134.80000000 | **30-Year:** -270516.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000052630 | 0.09%                | -0.43%               | 1.80%                |
| Class ID C000011387 | 0.10%                | -0.33%               | 1.79%                |
| Class ID C000037618 | 0.11%                | -0.31%               | 1.81%                |
| Class ID C000037620 | 0.04%                | -0.39%               | 1.74%                |
| Class ID C000011390 | 0.22%                | -0.40%               | 1.82%                |
| Class ID C000052631 | 0.12%                | -0.29%               | 1.83%                |
| Class ID C000011391 | 0.07%                | -0.35%               | 1.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-54533685.22            | $30477511.09                               |
| Month 2  | $-6381146.55             | $-107563599.45                             |
| Month 3  | $4124292.96              | $248219483.97                              |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ballyrock Ltd                                                 | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |      6935000 | PA      | $6957914.63    | 0.04%             | 2038-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                | RAMP Series 2004-RS7 Trust                                                       | CUSIP: 7609857G0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       965638 | PA      | $759459.57     | 0.00%             | 2034-07-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                               | CVS Health Corp                                                                  | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      3615000 | PA      | $3573070.01    | 0.02%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                   | Oracle Corp                                                                      | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     30111000 | PA      | $30141346.77   | 0.16%             | 2065-08-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                         | CDS AMERICAN ELECTRIC POWER CO INC                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-1138713.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2015-3 Ltd                                                      | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |      1124721 | PA      | $1125817.17    | 0.01%             | 2031-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10846381 | PA      | $9222823.48    | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17585092 | PA      | $17230305.91   | 0.09%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                          | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      5478000 | PA      | $5351621.99    | 0.03%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     16993000 | PA      | $16896130.38   | 0.09%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8032748 | PA      | $6742447.20    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 31329JKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       480978 | PA      | $452056.84     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                 | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18404721 | PA      | $896015.43     | 0.00%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10261000 | PA      | $10411510.40   | 0.06%             | 2042-07-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital CLO 8 Ltd                                                       | CUSIP: 25256JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22190000 | PA      | $22275409.31   | 0.12%             | 2037-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3792185 | PA      | $3593641.67    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      1052000 | PA      | $811437.83     | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4589621 | PA      | $4516937.65    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd                                     | Regatta XXIII Funding Ltd                                                        | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1303468.01    | 0.01%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2006-4                                                    | CUSIP: 362334FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1487828 | PA      | $1002885.77    | 0.01%             | 2036-03-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED              | USD/GBP FORWARD                                                                  | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1014324.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                          | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1610000 | PA      | $1606466.21    | 0.01%             | 2042-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLN 15-1 A PTT                                      | Turkish Airlines 2015-1 Class A Pass Through Trust                               | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |       546987 | PA      | $529368.84     | 0.00%             | 2027-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1941160 | PA      | $1937007.77    | 0.01%             | 2054-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBH6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      2836000 | PA      | $2044429.80    | 0.01%             | 2052-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 3620ARHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        82642 | PA      | $82962.50      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                                | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       496636 | PA      | $507826.41     | 0.00%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       817293 | PA      | $706326.41     | 0.00%             | 2047-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                       | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1380000 | PA      | $1379720.41    | 0.01%             | 2038-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       117005 | PA      | $109072.02     | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                           | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14743000 | PA      | $14856226.24   | 0.08%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                    | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       799976 | PA      | $818363.61     | 0.00%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       347183 | PA      | $328724.32     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |      1208108 | PA      | $1209315.86    | 0.01%             | 2031-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       614925 | PA      | $613113.37     | 0.00%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus                                | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2269000 | PA      | $2266536.55    | 0.01%             | 2039-12-15      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1304000 | PA      | $1299170.11    | 0.01%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       780000 | PA      | $1079230.19    | 0.01%             | 2032-07-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                        | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8844961 | PA      | $23138.42      | 0.00%             | 2032-02-10      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                | MF1 2025-FL19 LLC                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1786000 | PA      | $1790834.52    | 0.01%             | 2042-05-18      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd                                       | Long Point Park CLO Ltd                                                          | CUSIP: 542798AE3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |       430000 | PA      | $429886.39     | 0.00%             | 2030-01-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       507421 | PA      | $476643.31     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5143000 | PA      | $5139785.63    | 0.03%             | 2039-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2                                | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2148000 | PA      | $2138868.21    | 0.01%             | 2039-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-626038.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                                       | Regatta 32 Funding Ltd                                                           | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2550000 | PA      | $2556885.00    | 0.01%             | 2038-07-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VNZP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1845003 | PA      | $1799513.16    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                               | CVS Health Corp                                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1287000 | PA      | $1074484.06    | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3256946 | PA      | $3278827.28    | 0.02%             | 2065-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |      8271000 | PA      | $8292748.59    | 0.04%             | 2029-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6170000 | PA      | $6191844.89    | 0.03%             | 2037-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569385 | PA      | $572293.70     | 0.00%             | 2054-01-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| WOM CHILE HOLDCO SPA                                          | WOM Chile Holdco SpA                                                             | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      4937903 | PA      | $4879370.91    | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      7620000 | PA      | $7642862.29    | 0.04%             | 2037-04-28      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132A4RV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2938 | PA      | $2735.38       | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                 | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32935456 | PA      | $1031996.28    | 0.01%             | 2052-12-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5568000 | PA      | $5897746.70    | 0.03%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                           | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1058543 | PA      | $1056405.52    | 0.01%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                         | Directv Financing LLC                                                            | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       257055 | PA      | $257759.39     | 0.00%             | 2027-08-02      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      5236000 | PA      | $3029513.84    | 0.02%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securiti                                | Asset-Backed European Securitisation Transaction Twenty-Three Sarl               | CUSIP: 000000000<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |       500000 | PA      | $593033.04     | 0.00%             | 2034-03-21      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102835000 | PA      | $83728267.28   | 0.45%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                        | Verizon Communications Inc                                                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10495000 | PA      | $9960524.49    | 0.05%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KRUNG THAI BANK/CAYMAN                                        | Krung Thai Bank PCL/Cayman Islands                                               | CUSIP: 000000000<br>LEI: 54930007ZQMYCRFQGE36 | Long             | DBT              | CORP              | TH        |       500000 | PA      | $492250.00     | 0.00%             | N/A             | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       670514 | PA      | $353220.46     | 0.00%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43464 | PA      | $41441.14      | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |      3055396 | PA      | $3057476.21    | 0.02%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2298227 | PA      | $2174455.33    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                              | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $185005.26     | 0.00%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31213319 | PA      | $29295269.91   | 0.16%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YJWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       990559 | PA      | $967799.08     | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Visio 2020-1 Trust                                            | Visio 2020-1 Trust                                                               | CUSIP: 92837KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1055947.20    | 0.01%             | 2055-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2150069 | PA      | $2110335.82    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                              | AMC Networks Inc                                                                 | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      2822000 | PA      | $2260732.42    | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2005-3                                            | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1124282 | PA      | $1081369.72    | 0.01%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                                           | Crown Point CLO 10 Ltd                                                           | CUSIP: 22846FAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       490000 | PA      | $490662.43     | 0.00%             | 2034-07-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8627000 | PA      | $7164599.27    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| PROJECT KICKERS 19-NOV-2028 CML:TL LOAN/TERM                  | PROJECT KICKERS 19-NOV-2028 CML:TL LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      7094065 | PA      | $8351884.86    | 0.04%             | 2030-11-19      | Floating      | 7.06%                 | No            |                  3 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |       920000 | PA      | $922601.76     | 0.00%             | 2038-01-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A6MG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40302 | PA      | $38753.89      | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                                 | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3380000 | PA      | $3303619.77    | 0.02%             | 2067-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       134968 | PA      | $133130.61     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XTBE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       257267 | PA      | $250379.58     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       589400 | PA      | $560067.68     | 0.00%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186329 | PA      | $178431.83     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6464 | PA      | $6449.21       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410KXU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          720 | PA      | $738.80        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Loan Trust 2014-A                                      | CUSIP: 63939CAE7<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |      6000000 | PA      | $5892973.80    | 0.03%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       248717 | PA      | $245686.93     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROJECT MONTELENA                                             | PROJECT MONTELENA                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     10894548 | PA      | $11806574.53   | 0.06%             | 2031-04-01      | Floating      | 11.88%                | No            |                  3 | On Loan: No      |
| Cardiff Automobile Receivables                                | Cardiff Auto Receivables Securitisation 2024-1 PLC                               | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      1743000 | PA      | $2392717.96    | 0.01%             | 2031-08-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                                      | BXMT 2025-FL5 Ltd                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1804000 | PA      | $1790648.42    | 0.01%             | 2042-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1703080 | PA      | $1612262.40    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STEM INC                                                      | Stem Inc                                                                         | CUSIP: 85859NAA0<br>LEI: 549300GVWIYFILN5V546 | Long             | DBT              | CORP              | US        |       622000 | PA      | $150835.00     | 0.00%             | 2028-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2423575 | PA      | $2210659.81    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $43685.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                          | FS Rialto 2022-Fl4 Issuer LLC                                                    | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5298472 | PA      | $5298465.22    | 0.03%             | 2039-01-19      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Dowson                                                        | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |       408000 | PA      | $556875.85     | 0.00%             | 2031-08-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19439472 | PA      | $15468411.71   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184640 | PA      | $179051.52     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3978000 | PA      | $49685.22      | 0.00%             | 2035-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| STAR ENERGY GEOTHERMAL                                        | Star Energy Geothermal Wayang Windu Ltd                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |      2744160 | PA      | $2795613.51    | 0.01%             | 2033-04-24      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       621000 | PA      | $467287.58     | 0.00%             | 2052-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                          | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5340055 | PA      | $5365457.53    | 0.03%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10419849 | PA      | $8339538.53    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138E4ES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       620155 | PA      | $582476.38     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       454000 | PA      | $460789.43     | 0.00%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179QYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30057 | PA      | $26988.82      | 0.00%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1026271 | PA      | $963334.05     | 0.01%             | 2052-08-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4397364 | PA      | $4012122.81    | 0.02%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                 | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4964717 | PA      | $5105389.28    | 0.03%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                        | Sequoia Mortgage Trust 2007-3                                                    | CUSIP: 81744MAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       648085 | PA      | $511947.44     | 0.00%             | 2037-07-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                         | General Dynamics Corp                                                            | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      1633000 | PA      | $1639245.85    | 0.01%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                | NRG Energy Inc                                                                   | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      4863000 | PA      | $4784343.36    | 0.03%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      8699000 | PA      | $8761475.70    | 0.05%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1166000 | PA      | $1072984.22    | 0.01%             | 2037-03-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |      3894540 | PA      | $3897312.67    | 0.02%             | 2033-04-10      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109077 | PA      | $101954.15     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE                                 | Metropolitan Transportation Authority                                            | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      3060000 | PA      | $3293120.96    | 0.02%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                     | Amgen Inc                                                                        | CUSIP: 031162CS7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      1396000 | PA      | $981995.78     | 0.01%             | 2050-02-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1481110 | PA      | $1277442.10    | 0.01%             | 2046-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417YSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3559 | PA      | $3638.11       | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                     | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                      | CUSIP: 61765TAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2910000 | PA      | $2857457.04    | 0.02%             | 2048-10-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -313000 | PA      | $-321303.76    | -0.00%            | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19105226 | PA      | $16239788.17   | 0.09%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YMZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32394 | PA      | $31065.09      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                            | A&D Mortgage Trust 2023-NQM5                                                     | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |      8178477 | PA      | $8287461.39    | 0.04%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                    | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5715000 | PA      | $5703902.04    | 0.03%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131YBQJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       792471 | PA      | $768966.87     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trus                                | 3650R 2021-PF1 Commercial Mortgage Trust                                         | CUSIP: 88575JAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1017839.10    | 0.01%             | 2055-11-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       277503 | PA      | $260329.95     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2022-LION                                                                   | CUSIP: 12660TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10100000 | PA      | $10001721.95   | 0.05%             | 2027-02-15      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| BDS Ltd                                                       | BDS 2022-FL12 LLC                                                                | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1448593 | PA      | $1449451.76    | 0.01%             | 2038-08-19      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158417 | PA      | $147492.94     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                | Enterprise Fleet Financing 2024-4 LLC                                            | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1537000 | PA      | $1554608.79    | 0.01%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        67018 | PA      | $68088.98      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138Y15V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1876245 | PA      | $1837556.71    | 0.01%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 87 CLO Ltd                                                                | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2330000 | PA      | $2336455.03    | 0.01%             | 2034-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XVI Ltd                                                             | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |      1659716 | PA      | $1662196.29    | 0.01%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5811664 | PA      | $4684868.23    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3147836 | PA      | $2957433.61    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bean Creek CLO LTD                                            | Bean Creek CLO Ltd                                                               | CUSIP: 07378WAS7<br>LEI: 635400STD6UUTEW5KM07 | Long             | ABS-CBDO         | CORP              | KY        |       428504 | PA      | $428404.32     | 0.00%             | 2031-04-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       806000 | PA      | $591738.28     | 0.00%             | 2066-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS                                | Stream Innovations 2025-1 Issuer Trust                                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4540000 | PA      | $4572631.25    | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                               | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAJ5<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250719.95     | 0.00%             | 2037-10-22      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56203595 | PA      | $3315652.39    | 0.02%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                   | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5304188 | PA      | $5317448.81    | 0.03%             | 2038-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25738 | PA      | $23035.11      | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                              | Owl Rock CLO VII LLC                                                             | CUSIP: 69121BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       290000 | PA      | $290290.00     | 0.00%             | 2038-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                      | Auto ABS Italian Stella Loans 2025-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       229000 | PA      | $269885.70     | 0.00%             | 2040-12-28      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7011 | PA      | $6661.72       | 0.00%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| PFP III                                                       | PFP 2022-9 Ltd                                                                   | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1690896 | PA      | $1693161.10    | 0.01%             | 2035-08-19      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3572916 | PA      | $2882410.31    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10592000 | PA      | $10735718.61   | 0.06%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                    | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11453000 | PA      | $11626976.80   | 0.06%             | 2033-06-10      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 165ESCAP9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      9090000 | PA      | $0.91          | 0.00%             | 2021-02-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     12399000 | PA      | $11144604.45   | 0.06%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111704 | PA      | $100911.24     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2398000 | PA      | $2217456.74    | 0.01%             | 2067-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                 | GS Mortgage-Backed Securities Trust 2022-NQM1                                    | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       589747 | PA      | $537829.65     | 0.00%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                            | Howard Hughes Corp/The                                                           | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      2364000 | PA      | $2346354.39    | 0.01%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fairstone Financial Issuance T                                | Fairstone Financial Issuance Trust I                                             | CUSIP: 30575PAQ9<br>LEI: 549300LY2ZF7LX6T3F37 | Long             | ABS-O            | CORP              | CA        |      1731111 | PA      | $1264743.95    | 0.01%             | 2039-10-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                       | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1920000 | PA      | $1922092.03    | 0.01%             | 2038-03-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                                     | Fortuna Consumer Loan Abs 2024-2 DAC                                             | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |      2300000 | PA      | $2741701.60    | 0.01%             | 2034-10-18      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1732169 | PA      | $1682599.06    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2598987 | PA      | $2209174.81    | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -7954000 | PA      | $-6294696.97   | -0.03%            | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3134000 | PA      | $3110495.00    | 0.02%             | 2036-11-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                                            | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |      3620000 | PA      | $3634877.84    | 0.02%             | 2037-10-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXIII Ltd                                            | CUSIP: 08186XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $750000.00     | 0.00%             | 2034-04-25      | Floating      | 11.35%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae REMICS                                                                | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4727675 | PA      | $1010234.10    | 0.01%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12838989 | PA      | $10825755.92   | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                                      | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2026616 | PA      | $2028349.26    | 0.01%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2005-16                                          | CUSIP: 12669G3W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2697121 | PA      | $1634391.71    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2110007 | PA      | $2147906.38    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9748482 | PA      | $9155113.95    | 0.05%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       366773 | PA      | $336571.95     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7396000 | PA      | $4711772.01    | 0.03%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                        | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      1775000 | PA      | $1725652.87    | 0.01%             | N/A             | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                               | CDS ITRAXX.EU.XO.43.V1                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-733694.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       316000 | PA      | $269175.44     | 0.00%             | 2066-12-27      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| ROTOR ACQUISITION CORP FOUNDER SHARES                         | ROTOR ACQUISITION CORP FOUNDER SHARES                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        11463 | NS      | $99266.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JRX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       743921 | PA      | $722064.44     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                              | Altria Group Inc                                                                 | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     22684000 | PA      | $16827504.09   | 0.09%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y3W44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        56288 | PA      | $54661.74      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Noria                                                         | Noria DE 2024                                                                    | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |       300000 | PA      | $354188.60     | 0.00%             | 2043-02-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12409388 | PA      | $12176432.63   | 0.07%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                                | Morgan Stanley Residential Mortgage Loan Trust 2014-1                            | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       322957 | PA      | $325382.93     | 0.00%             | 2044-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NGH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        67757 | PA      | $66149.77      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                        | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | CH        |      4565000 | NC      | $2.95          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200875 | PA      | $194171.66     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | USD/JPY FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $338224.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aimco                                                         | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      3490000 | PA      | $3493747.21    | 0.02%             | 2037-07-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27897000 | PA      | $13754528.81   | 0.07%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2099000 | PA      | $1390429.99    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS Mortgage Trust 2020-C7                                                     | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1596000 | PA      | $68199.15      | 0.00%             | 2053-04-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JPMCC Commercial Mortgage Securities Trust 2019-COR5                             | CUSIP: 46591EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1625482.71    | 0.01%             | 2052-06-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2363883 | PA      | $2280421.36    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4030822 | PA      | $3472538.73    | 0.02%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                  | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2460000 | PA      | $2340095.42    | 0.01%             | 2036-07-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    142040000 | PA      | $142261937.50  | 0.76%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                 | RFMSI Series 2007-SA4 Trust                                                      | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257702 | PA      | $157958.44     | 0.00%             | 2037-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -140100000 | PA      | $-133950868.10 | -0.72%            | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRIMEINVESTMENTPARTNERS                                       | PRIMEINVESTMENTPARTNERS                                                          | CUSIP: 74167YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5385000 | PA      | $5374529.41    | 0.03%             | 2030-05-01      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1107000 | PA      | $1080282.69    | 0.01%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       670000 | PA      | $672345.00     | 0.00%             | 2037-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                     | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2266580 | PA      | $2012302.31    | 0.01%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       259182 | PA      | $244353.80     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2418137 | PA      | $2070601.56    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | VCC 2025-MC1 Trust                                                               | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3288073 | PA      | $3288057.67    | 0.02%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       803500 | PA      | $723711.57     | 0.00%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                     | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       307485 | PA      | $283302.17     | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2276537 | PA      | $2145936.68    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                      | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       430000 | PA      | $410650.00     | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Castell                                                       | Castell 2025-1 PLC                                                               | CUSIP: 000000000<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |       394000 | PA      | $541115.06     | 0.00%             | 2062-01-27      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       298513 | PA      | $172812.63     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regatta IX Funding Ltd                                        | Regatta IX Funding Ltd                                                           | CUSIP: 75887VAN1<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |      2438000 | PA      | $2447853.66    | 0.01%             | 2037-04-17      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2020-I Ltd                                                          | CUSIP: 12555QAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3260000 | PA      | $3261630.00    | 0.02%             | 2036-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2259285 | PA      | $2076856.37    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1187602 | PA      | $1067053.88    | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12065550 | PA      | $11676751.66   | 0.06%             | 2061-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3419818 | PA      | $3438598.70    | 0.02%             | 2065-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       126624 | PA      | $118865.30     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2020-3 Ltd                                                     | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |      1270000 | PA      | $1275209.54    | 0.01%             | 2036-11-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-HF1 Mortgage Trust                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3106000 | PA      | $3107941.25    | 0.02%             | 2041-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | Barclays PLC                                                                     | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       462000 | PA      | $430048.03     | 0.00%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                | PECO Energy Co                                                                   | CUSIP: 693304BD8<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      2696000 | PA      | $2305826.09    | 0.01%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                  | Comcast Corp                                                                     | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      6215000 | PA      | $3494630.11    | 0.02%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securiti                                | Asset-Backed European Securitisation Transaction Twenty-Three Sarl               | CUSIP: 000000000<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $356136.10     | 0.00%             | 2034-03-21      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                             | L3Harris Technologies Inc                                                        | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      1266000 | PA      | $1238560.10    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                                 | Stratton Mortgage Funding 2024-3 PLC                                             | CUSIP: 000000000<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |       492000 | PA      | $674571.88     | 0.00%             | 2049-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4382246 | PA      | $4341014.15    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       393902 | PA      | $355926.11     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1695000 | PA      | $1696002.25    | 0.01%             | 2032-03-15      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| ACROPOLIS TRADE & INVESTMENTS LTD                             | ACROPOLIS TRADE & INVESTMENTS LTD                                                | CUSIP: 343427AA8<br>LEI: 894500HOU2R49R9MRX51 | Long             | DBT              | CORP              | MU        |     17425000 | PA      | $17773500.00   | 0.10%             | 2028-04-02      | Fixed         | 11.04%                | No            |                  3 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 165ESCAE4<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |       425000 | PA      | $0.04          | 0.00%             | 2021-06-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       188352 | PA      | $175643.33     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31412YFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27750 | PA      | $28364.58      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                             | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       900000 | PA      | $1061909.56    | 0.01%             | 2040-01-21      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | USD/NOK FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-72118.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gracie Point International Fun                                | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7816000 | PA      | $7830508.06    | 0.04%             | 2028-03-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59808 | PA      | $62701.23      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                         | Civitas Resources Inc                                                            | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      1810000 | PA      | $1853278.91    | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| REXLOT HOLDINGS LTD                                           | REXLot Holdings Ltd                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1160847 | PA      | $0.01          | 0.00%             | 2019-04-17      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1852906 | PA      | $1491465.24    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18813880 | PA      | $15965042.71   | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                            | CNX Resources Corp                                                               | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      7181000 | PA      | $7435293.57    | 0.04%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                               | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2112878 | PA      | $2113696.18    | 0.01%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                           | SC Germany SA Compartment Consumer 2024-2                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |       800000 | PA      | $950017.62     | 0.01%             | 2038-05-14      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2944692 | PA      | $2858289.56    | 0.02%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QS2P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14017 | PA      | $13311.84      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS Mortgage Trust 2025-5C34                                                   | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1598000 | PA      | $1666630.74    | 0.01%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                            | Meta Platforms Inc                                                               | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     16664000 | PA      | $14046899.14   | 0.08%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-204600.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2041000 | PA      | $2038759.59    | 0.01%             | 2068-03-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | TRS GSISDRV5 INDEX                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |            1 | NC      | $52049.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1055000 | PA      | $676449.76     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2020-NQM1 Trust                                                              | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82642 | PA      | $78125.27      | 0.00%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       413661 | PA      | $391517.81     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                                 | BAMLL Trust 2024-BHP                                                             | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5800000 | PA      | $5828939.10    | 0.03%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 24 Ltd                                                                        | CUSIP: 75000HBA1<br>LEI: 2549005CH9FMTJFP8I04 | Long             | ABS-CBDO         | CORP              | BM        |       500000 | PA      | $501621.00     | 0.00%             | 2037-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55990 | PA      | $54262.47      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61131 | PA      | $59091.57      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       212105 | PA      | $197464.42     | 0.00%             | 2047-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1547000 | PA      | $1546033.13    | 0.01%             | 2039-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                              | BAT Capital Corp                                                                 | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     30148000 | PA      | $33580386.28   | 0.18%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| SP DRI MERGER CORP:TL-B                                       | SP DRI MERGER CORP:TL-B                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |      3074715 | PA      | $3030531.35    | 0.02%             | 2028-12-21      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2860947 | PA      | $2548903.57    | 0.01%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                          | Steele Creek Clo 2017-1 Ltd                                                      | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       514773 | PA      | $515228.95     | 0.00%             | 2030-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265760 | PA      | $117040.23     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1753919 | PA      | $1543774.48    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87509 | PA      | $86854.10      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                                | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18755821 | PA      | $7544851.77    | 0.04%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10912000 | PA      | $10979058.50   | 0.06%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138775 | PA      | $140132.94     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7426918 | PA      | $6974311.43    | 0.04%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                                         | Thayer Park CLO Ltd                                                              | CUSIP: 883310AL8<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |       550000 | PA      | $550883.85     | 0.00%             | 2034-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBW4<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      4250000 | PA      | $4276506.83    | 0.02%             | 2037-04-28      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Mariner CLO 2016-3 LLC                                                           | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1350000 | PA      | $1354142.48    | 0.01%             | 2037-01-23      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                 | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281018 | PA      | $269440.38     | 0.00%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                     | CDS BOEING CO/THE                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-68708.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       321623 | PA      | $318539.39     | 0.00%             | 2036-05-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12232283 | PA      | $12337827.71   | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                                   | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |       539000 | PA      | $739879.07     | 0.00%             | 2060-04-28      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                      | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |       700000 | PA      | $701265.39     | 0.00%             | 2031-04-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1387756 | PA      | $1246883.04    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1458364 | PA      | $706253.76     | 0.00%             | 2051-12-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1370168 | PA      | $1405370.85    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd                                        | Bayswater Park CLO Ltd                                                           | CUSIP: 072929AA0<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | JE        |       970000 | PA      | $974655.03     | 0.01%             | 2037-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CML HILTON MOTTO CHELSEA                                      | CML HILTON MOTTO CHELSEA                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9400000 | PA      | $9405977.46    | 0.05%             | 2028-10-17      | Floating      | 7.57%                 | No            |                  3 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6390000 | PA      | $6346068.75    | 0.03%             | 2036-02-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       726040 | PA      | $647837.95     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                                | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       477729 | PA      | $483495.99     | 0.00%             | 2031-09-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       652808 | PA      | $618231.37     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187933 | PA      | $175893.74     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70606300 | PA      | $63068526.04   | 0.34%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                             | Kinder Morgan Inc                                                                | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      1632000 | PA      | $1691706.02    | 0.01%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                         | Foundry JV Holdco LLC                                                            | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      9875000 | PA      | $10237225.47   | 0.05%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MIDWEST GMNG BOR/MWG FIN                                      | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp                        | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1349000 | PA      | $1299446.37    | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YNTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76848 | PA      | $74271.99      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                      | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      5484000 | PA      | $5527115.87    | 0.03%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2001-R1A              | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222532 | PA      | $220537.04     | 0.00%             | 2030-02-19      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1872615 | PA      | $409191.54     | 0.00%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2474831 | PA      | $2496181.50    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078BG7<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |       390000 | PA      | $390276.67     | 0.00%             | 2037-07-20      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                       | Home Equity Asset Trust 2007-1                                                   | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1661989 | PA      | $1385341.50    | 0.01%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       127578 | PA      | $122474.46     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1511708 | PA      | $1445071.77    | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33096800 | PA      | $31726385.63   | 0.17%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     16941000 | PA      | $17596798.65   | 0.09%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     37887000 | PA      | $38653588.89   | 0.21%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| LEHMAN BROS CAP TR VII                                        | Lehman Brothers Holdings Capital Trust VII                                       | CUSIP: 524908XA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1888000 | PA      | $0.19          | 0.00%             | N/A             | Variable      | 5.86%                 | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5                 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10634000 | PA      | $10634000.00   | 0.06%             | 2040-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                      | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     17848000 | PA      | $17945130.07   | 0.10%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45992324 | PA      | $40482034.59   | 0.22%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     94775000 | PA      | $91883622.31   | 0.49%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |      3580000 | PA      | $3585709.03    | 0.02%             | 2034-05-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4464264 | PA      | $4212014.79    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HILTON GARDEN INN WAIKIKI 05/31/29                            | HILTON GARDEN INN WAIKIKI 05/31/29                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     14800000 | PA      | $14896678.04   | 0.08%             | 2029-05-31      | Floating      | 7.82%                 | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                | JPMBB Commercial Mortgage Securities Trust 2015-C33                              | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       785000 | PA      | $711438.51     | 0.00%             | 2048-12-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37037 | PA      | $37482.23      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3861513 | PA      | $3590736.37    | 0.02%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                                           | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8573945 | PA      | $8213478.10    | 0.04%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                                 | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1318273 | PA      | $1114679.31    | 0.01%             | 2037-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                      | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      5821000 | PA      | $5790172.39    | 0.03%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | Trinitas Clo VII Ltd                                                             | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |      3710000 | PA      | $3710315.35    | 0.02%             | 2035-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2450455 | PA      | $2246271.82    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7860667 | PA      | $6744509.71    | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1868548 | PA      | $1721001.24    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7684497 | PA      | $7084304.18    | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1119627 | PA      | $960157.98     | 0.01%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       730000 | PA      | $659190.66     | 0.00%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2366 | PA      | $2347.15       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       192007 | PA      | $173056.84     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92801 | PA      | $92310.48      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                                 | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |     18440000 | PA      | $18453215.95   | 0.10%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                                            | Race Point IX CLO Ltd                                                            | CUSIP: 74982WAA4<br>LEI: 549300C3570PBQ31OI09 | Long             | ABS-CBDO         | CORP              | KY        |       727246 | PA      | $727607.04     | 0.00%             | 2030-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2157278 | PA      | $1933161.46    | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     10983000 | PA      | $11230474.01   | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414HQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43072 | PA      | $43555.95      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13040000 | PA      | $87027.66      | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd                                            | Elmwood CLO 36 Ltd                                                               | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1517000 | PA      | $1522171.60    | 0.01%             | 2037-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2124000 | PA      | $1881691.59    | 0.01%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                                 | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10950000 | PA      | $10950383.25   | 0.06%             | 2042-02-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95897000 | PA      | $86326995.33   | 0.46%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXXV Ltd                                                    | CUSIP: 55819MAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1030000 | PA      | $1030188.70    | 0.01%             | 2032-04-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                                      | Five Point Operating Co LP / Five Point Capital Corp                             | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1930209 | PA      | $1963719.36    | 0.01%             | 2028-01-15      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                          | FirstKey Homes 2022-SFR3 Trust                                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5641000 | PA      | $5474139.22    | 0.03%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XJDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216622 | PA      | $213344.70     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL Plc                                              | Mortimer 2024-Mix PLC                                                            | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |       654000 | PA      | $900256.32     | 0.00%             | 2067-09-22      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       175738 | PA      | $163546.18     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAJ1<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |      1392059 | PA      | $492668.87     | 0.00%             | 2047-01-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2018-AUS                                   | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      1680000 | PA      | $1645574.95    | 0.01%             | 2036-08-17      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                 | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1388168 | PA      | $1257934.91    | 0.01%             | 2049-11-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust 2007-AHL3                                          | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3031883 | PA      | $2096235.22    | 0.01%             | 2045-07-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                     | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1347853 | PA      | $1354963.19    | 0.01%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI Properties LP                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     17121000 | PA      | $17221159.90   | 0.09%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                         | Silver Point CLO 7 LTD                                                           | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1905579.16    | 0.01%             | 2038-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     17059000 | PA      | $16832872.38   | 0.09%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030470<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -271000 | PA      | $-258375.80    | -0.00%            | 2040-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       780000 | PA      | $781530.05     | 0.00%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                                | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4134444 | PA      | $4131123.64    | 0.02%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| SARCOS TECHNOLOGY AND ROBOTICS CORP                           | SARCOS TECHNOLOGY AND ROBOTICS CORP                                              | CUSIP: 80359A114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       267474 | NC      | $102175.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        25102 | PA      | $23856.39      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       611063 | PA      | $216964.99     | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Amentum Holdings Inc                                          | Amentum Holdings Inc                                                             | CUSIP: 023939101<br>LEI: 2549009FJIBLW40CU216 | Long             | EC               | CORP              | US        |       162034 | NS      | $3825622.74    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418VDS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39253 | PA      | $39911.11      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4526000 | PA      | $4558772.54    | 0.02%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2014-1 Ltd                                  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       857342 | PA      | $857342.33     | 0.00%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3600361 | PA      | $2934622.17    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                  | MASTR Resecuritization Trust 2008-3                                              | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       614581 | PA      | $188285.06     | 0.00%             | 2037-08-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| KHAZANAH GLOBAL SUKUK                                         | Khazanah Global Sukuk Bhd                                                        | CUSIP: 000000000<br>LEI: 213800VIN16ILYRCKD86 | Long             | DBT              | CORP              | MY        |       895000 | PA      | $901444.00     | 0.00%             | 2028-06-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                            | Mattamy Group Corp                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      1691000 | PA      | $1625290.43    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       274526 | PA      | $265236.41     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     40149000 | PA      | $37213717.45   | 0.20%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       141104 | PA      | $138266.52     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                        | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       133205 | PA      | $135442.28     | 0.00%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154706 | PA      | $150467.82     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4880728 | PA      | $3934423.11    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                        | Venture Global LNG Inc                                                           | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       428000 | PA      | $432670.76     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                             | Genius Sports Ltd                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GB        |       726837 | NS      | $7559104.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10489115 | PA      | $10579600.75   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J8LD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75534 | PA      | $68352.83      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14101 | PA      | $13176.76      | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |      1395879 | PA      | $1232170.81    | 0.01%             | 2037-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                        | Extra Space Storage LP                                                           | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      1836000 | PA      | $1800528.66    | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK COMMUNITY BANCORP INC                                | NEW YORK COMMUNITY BANCORP INC                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |          948 | NC      | $1810357.68    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Regatta VII Funding Ltd                                       | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABJ4<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500800.55     | 0.00%             | 2034-06-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      3255000 | PA      | $3262535.65    | 0.02%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAE6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1501500.90    | 0.01%             | 2030-11-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                           | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6690000 | PA      | $6711742.50    | 0.04%             | 2037-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CIRKULSRSEC2LPIKTL;TLLOANTERM                                 | CIRKULSRSEC2LPIKTL;TLLOANTERM                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4129000 | PA      | $3938240.20    | 0.02%             | 2028-04-23      | Floating      | 11.78%                | No            |                  3 | On Loan: No      |
| GEORGIA POWER CO                                              | Georgia Power Co                                                                 | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      1343000 | PA      | $920690.55     | 0.00%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5849000 | PA      | $5828133.11    | 0.03%             | 2041-11-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-AL1                                                  | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4094200 | PA      | $3419273.44    | 0.02%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       402000 | PA      | $401623.13     | 0.00%             | 2036-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2484000 | PA      | $2297285.17    | 0.01%             | 2037-10-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X5EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        58699 | PA      | $57794.18      | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                              | Peruvian Government International Bond                                           | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     14265000 | PA      | $9785790.00    | 0.05%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418WF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6998 | PA      | $7154.30       | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16904608 | PA      | $14410033.42   | 0.08%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27897000 | PA      | $16083274.41   | 0.09%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2134423 | PA      | $1799256.43    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                                           | EQT Trust 2024-EXTR                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1697000 | PA      | $1734838.35    | 0.01%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2022-ATH3                                                                   | CUSIP: 12664AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2276000 | PA      | $2278407.55    | 0.01%             | 2067-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3720000 | PA      | $3730872.82    | 0.02%             | 2037-02-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding                                          | Tower Bridge Funding 2024-3 PLC                                                  | CUSIP: 000000000<br>LEI: 635400XMA28GDAPK1E69 | Long             | ABS-MBS          | CORP              | GB        |       271929 | PA      | $373263.00     | 0.00%             | 2066-12-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      4265000 | PA      | $4167392.96    | 0.02%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H040681<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19476000 | PA      | $18103002.38   | 0.10%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital Clo 29 Ltd                                                     | CUSIP: 03332QAA3<br>LEI: 213800XVU2BADRNDSO76 | Long             | ABS-CBDO         | CORP              | KY        |      3020000 | PA      | $3033959.35    | 0.02%             | 2037-07-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAJ4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251001.20     | 0.00%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       514000 | PA      | $443414.64     | 0.00%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                   | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4529744 | PA      | $4529744.12    | 0.02%             | 2038-11-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                       | BDS 2022-FL11 LLC                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1439442 | PA      | $1440299.83    | 0.01%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                                        | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAC8<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |      1380000 | PA      | $1382722.05    | 0.01%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       415325 | PA      | $388333.73     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                | Option One Mortgage Loan Trust 2007-CP1                                          | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2360000 | PA      | $2033669.58    | 0.01%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                | Asimi Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |       556000 | PA      | $765431.08     | 0.00%             | 2031-09-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2936000 | PA      | $3190963.80    | 0.02%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       959395 | PA      | $825662.09     | 0.00%             | 2035-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-720443.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREEWIRE EQUITY                                               | FREEWIRE EQUITY                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          153 | NS      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DQF35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3795693 | PA      | $3891209.82    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1244264 | PA      | $1228710.70    | 0.01%             | 2036-02-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3394713 | PA      | $3347610.83    | 0.02%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                          | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2327819 | PA      | $2329904.90    | 0.01%             | 2031-05-23      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2025-40 Ltd                                                              | CUSIP: 67570FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      6620000 | PA      | $6610098.47    | 0.04%             | 2038-04-16      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5811000 | PA      | $5938621.07    | 0.03%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                           | Select Medical Corp                                                              | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      2676000 | PA      | $2691978.40    | 0.01%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2419266 | PA      | $2445191.08    | 0.01%             | 2065-05-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                                | USD/BRL FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |            1 | NC      | $92577.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                              | CSC Holdings LLC                                                                 | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |      1071518 | PA      | $1042630.19    | 0.01%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       281349 | PA      | $283768.51     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                      | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7100000 | PA      | $136361.89     | 0.00%             | 2053-03-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NG40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75192 | PA      | $73260.49      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7806592 | PA      | $6922364.38    | 0.04%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2022-2                                                  | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       385266 | PA      | $362906.26     | 0.00%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       425474 | PA      | $324874.64     | 0.00%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin                                | Lehman ABS Manufactured Housing Contract Trust 2002-A                            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       148014 | PA      | $146481.51     | 0.00%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                | BSTN Commercial Mortgage Trust 2025-1C                                           | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1144000 | PA      | $1169659.46    | 0.01%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1354144 | PA      | $1282073.46    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       414777 | PA      | $408031.85     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                         | Antero Resources Corp                                                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     19254000 | PA      | $19766772.53   | 0.11%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                  | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       586832 | PA      | $443848.47     | 0.00%             | 2035-08-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4819000 | PA      | $4009502.21    | 0.02%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hermitage Plc                                                 | Hermitage 2025 PLC                                                               | CUSIP: 000000000<br>LEI: 635400MSBHAPT1EQBW93 | Long             | ABS-O            | CORP              | GB        |       648000 | PA      | $889711.13     | 0.00%             | 2033-04-21      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7402889 | PA      | $5967612.57    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                        | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1754000 | PA      | $1581442.36    | 0.01%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| KASPI.KZ JSC                                                  | Kaspi.KZ JSC                                                                     | CUSIP: 000000000<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |      8625000 | PA      | $8678924.10    | 0.05%             | 2030-03-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY MUNI WTR FIN                                 | New York City Municipal Water Finance Authority                                  | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      2430000 | PA      | $2519323.52    | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAJ7<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249645.35     | 0.00%             | 2034-07-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |      1035445 | PA      | $879277.42     | 0.00%             | 2036-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Cassia S.r.l.                                                 | Cassia 2022-1 SRL                                                                | CUSIP: 000000000<br>LEI: 815600A9D6ADF4638276 | Long             | ABS-MBS          | CORP              | IT        |      7578226 | PA      | $8945312.01    | 0.05%             | 2034-05-22      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XPE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       201109 | PA      | $194447.06     | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $51245.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       835600 | PA      | $712438.58     | 0.00%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2857000 | PA      | $2755869.06    | 0.01%             | 2036-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                         | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       937000 | PA      | $765553.64     | 0.00%             | 2056-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       866045 | PA      | $713987.36     | 0.00%             | 2047-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | Trinitas CLO XXVIII LTD                                                          | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |       810000 | PA      | $812958.28     | 0.00%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DV3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1526085 | PA      | $1478656.80    | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29949 | PA      | $28116.52      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                 | UK Logistics 2024-2 DAC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       598959 | PA      | $828782.29     | 0.00%             | 2035-02-17      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2017-TIME                                                                   | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850000 | PA      | $800693.20     | 0.00%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8630000 | PA      | $8683828.76    | 0.05%             | 2041-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2040812 | PA      | $1988287.38    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Mortgage Trust Inc                                 | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |       533049 | NS      | $10261193.25   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83945000 | PA      | $59095968.78   | 0.32%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251596.23     | 0.00%             | 2029-10-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      5906000 | PA      | $5354648.91    | 0.03%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                                     | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4150000 | PA      | $4148703.13    | 0.02%             | 2039-12-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1418872 | PA      | $1340100.88    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42767197 | PA      | $36734277.17   | 0.20%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAQ4<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |       125000 | PA      | $124994.43     | 0.00%             | 2034-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1012000 | PA      | $930088.11     | 0.00%             | 2041-04-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                                 | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4465000 | PA      | $4436355.24    | 0.02%             | 2042-02-15      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                                      | Puma International Financing SA                                                  | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |      7200000 | PA      | $7376400.00    | 0.04%             | 2029-04-25      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29815000 | PA      | $27716628.95   | 0.15%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2017-1 Ltd                                                    | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |      4827000 | PA      | $4839388.01    | 0.03%             | 2034-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2530000 | PA      | $2530000.00    | 0.01%             | 2038-07-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     73657000 | PA      | $73492998.27   | 0.39%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                         | Pinnacle West Capital Corp                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     11338000 | PA      | $11606467.06   | 0.06%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| OCP Aegis CLO Ltd                                             | OCP Aegis CLO 2024-39 Ltd                                                        | CUSIP: 67120EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       310000 | PA      | $310155.93     | 0.00%             | 2037-01-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106703 | PA      | $103792.54     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8590056 | PA      | $8664159.97    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                          | YPF SA                                                                           | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |       906000 | PA      | $949035.00     | 0.01%             | 2031-01-17      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| LATCH INC                                                     | LATCH INC                                                                        | CUSIP: 51818V114<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        49166 | NC      | $4.92          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8824000 | PA      | $8117735.33    | 0.04%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        55836 | PA      | $54590.45      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       271348 | PA      | $265269.27     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1425000 | PA      | $1451001.41    | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNB CORP                                                      | FNB Corp/PA                                                                      | CUSIP: 302520AD3<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |      7898000 | PA      | $7942727.56    | 0.04%             | 2030-12-11      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Starz Entertainment Corp                                      | Starz Entertainment Corp                                                         | CUSIP: 855919106<br>LEI: 5493000JSMHPHZURLM72 | Long             | EC               | CORP              | US        |         8031 | NS      | $129058.17     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF 2017-KGS1 Mortgage Trust                                                   | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1190000 | PA      | $1117335.03    | 0.01%             | 2027-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXIX LTD                                                    | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $6993000.00    | 0.04%             | 2038-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M                                | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                   | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       755712 | PA      | $547301.62     | 0.00%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       236657 | PA      | $214157.99     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                         | KKR Clo 33 Ltd                                                                   | CUSIP: 48254QAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250435.98     | 0.00%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                        | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      1148000 | PA      | $1166818.02    | 0.01%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                     | CIM Trust 2025-I1                                                                | CUSIP: 12571DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8989505 | PA      | $9060123.51    | 0.05%             | 2069-10-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                   | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3059152 | PA      | $9284.22       | 0.00%             | 2046-04-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       562782 | PA      | $555594.73     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     14621000 | PA      | $15039437.38   | 0.08%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                                 | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16231506 | PA      | $11178732.35   | 0.06%             | 2031-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAA8<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |      1140000 | PA      | $1144012.23    | 0.01%             | 2037-10-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T                                | Ready Capital Mortgage Financing 2023-FL11 LLC                                   | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1849824 | PA      | $1846902.39    | 0.01%             | 2039-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890589 | PA      | $1784985.55    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8626830 | PA      | $1469882.38    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       226127 | PA      | $219729.11     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2018-3 Ltd                                                              | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |       354411 | PA      | $354968.44     | 0.00%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J7U42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20517 | PA      | $18587.36      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                               | First NLC Trust 2007-1                                                           | CUSIP: 32115BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       693408 | PA      | $344123.22     | 0.00%             | 2037-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                                     | Wellington Management CLO 1 Ltd                                                  | CUSIP: 94957JAA2<br>LEI: 213800W7PWM3WCMD7X28 | Long             | ABS-CBDO         | CORP              | JE        |       250000 | PA      | $250704.78     | 0.00%             | 2036-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8200028 | PA      | $6610301.79    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 38 Ltd                                                                        | CUSIP: 74988FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9490000 | PA      | $9485026.29    | 0.05%             | 2040-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI Properties LP                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     13125000 | PA      | $13196983.41   | 0.07%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                  | JPY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1904.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | MXN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $199195.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSO                                | New York State Dormitory Authority                                               | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      1470000 | PA      | $1456432.06    | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                     | Avoca CLO XXII DAC                                                               | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |       850000 | PA      | $993762.79     | 0.01%             | 2035-04-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                               | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAC0<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |       790000 | PA      | $791163.75     | 0.00%             | 2037-10-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       188287 | PA      | $183253.72     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6887000 | PA      | $6873544.18    | 0.04%             | 2039-11-09      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2024-1                                                  | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      1652062 | PA      | $1644859.05    | 0.01%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| CML Hyatt Lost Pines                                          | CML Hyatt Lost Pines                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12200000 | PA      | $12200000.00   | 0.07%             | 2026-09-09      | Floating      | 7.85%                 | No            |                  3 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-143509.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263365 | PA      | $270097.18     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2024-NSTB                                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3149597 | PA      | $3047160.13    | 0.02%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-428073.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                           | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1926428 | PA      | $1831760.12    | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SPACE EXPLORATION TECHNOLOGIES CORP                           | SPACE EXPLORATION TECHNOLOGIES CORP                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        25626 | NS      | $4740810.00    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| AEP TEXAS INC                                                 | AEP Texas Inc                                                                    | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      2823000 | PA      | $1911270.23    | 0.01%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CONTINUUM GRN SPV CO-ISS                                      | Continuum Green Energy India Pvt / Co-Issuers                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |      9645000 | PA      | $9922293.75    | 0.05%             | 2033-06-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: CERT                                           | TVC DSCR_21-1: CERT                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7160429 | PA      | $6145670.40    | 0.03%             | 2028-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     21285000 | PA      | $19896680.55   | 0.11%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1944000 | PA      | $1920485.57    | 0.01%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        58982 | PA      | $55098.09      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       731059 | PA      | $387808.66     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       535545 | PA      | $435608.53     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8101048 | PA      | $3042929.35    | 0.02%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       769228 | PA      | $760899.87     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XVBB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275983 | PA      | $271604.59     | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1309266 | PA      | $612432.81     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       614067 | PA      | $620296.75     | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1612000 | PA      | $1513857.09    | 0.01%             | 2034-11-15      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| Household Capital                                             | Household Capital 2025-1 RMBS                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      3530000 | PA      | $2315765.34    | 0.01%             | 2087-07-21      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14332252 | PA      | $14225299.20   | 0.08%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                           | LCM 36 Ltd                                                                       | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5600000 | PA      | $5603130.40    | 0.03%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33399 | PA      | $31937.41      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                     | Avoca CLO XVIII DAC                                                              | CUSIP: 000000000<br>LEI: 549300K6K5XESJRIKM24 | Long             | ABS-CBDO         | CORP              | IE        |       400000 | PA      | $472001.46     | 0.00%             | 2038-01-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       429351 | PA      | $419419.42     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                          | HalseyPoint CLO 4 Ltd                                                            | CUSIP: 40637LAA8<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |      1330000 | PA      | $1331729.00    | 0.01%             | 2034-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                                | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1007000 | PA      | $972644.79     | 0.01%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                    | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1649082 | PA      | $1497430.45    | 0.01%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33792000 | PA      | $31417328.70   | 0.17%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     32485600 | PA      | $33085822.14   | 0.18%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                                    | OPEN Trust 2023-AIR                                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1464409 | PA      | $1464865.35    | 0.01%             | 2040-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| AVAYA INC                                                     | AVAYA INC                                                                        | CUSIP: 05349UBN1<br>LEI: J6LB5QIFSP2MFEFG4U76 | Long             | LON              | CORP              | US        |        12217 | PA      | $9511.62       | 0.00%             | 2028-08-01      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| HESS CORP                                                     | Hess Corp                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      6412000 | PA      | $7272193.65    | 0.04%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                              | BAT Capital Corp                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     15445000 | PA      | $12476811.72   | 0.07%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                                | OneMain Financial Issuance Trust 2020-2                                          | CUSIP: 682696AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2620000 | PA      | $2500395.69    | 0.01%             | 2035-09-14      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                      | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    112272000 | PA      | $134659883.02  | 0.72%             | 2035-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                                  | Anchorage Capital Europe CLO 2 DAC                                               | CUSIP: 000000000<br>LEI: 635400HYNZWTWNENDW97 | Long             | ABS-CBDO         | CORP              | IE        |      1380000 | PA      | $1625860.35    | 0.01%             | 2034-04-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       419150 | PA      | $396714.22     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                              | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16275000 | PA      | $16316139.95   | 0.09%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Financial Select Sector SPDR Fund                             | Financial Select Sector SPDR Fund                                                | CUSIP: 81369Y605<br>LEI: 549300Y12KQ6ZG08NY28 | Long             | EC               | RF                | US        |       200000 | NS      | $10474000.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |       600000 | PA      | $601094.04     | 0.00%             | 2037-10-17      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4292000 | PA      | $4413067.88    | 0.02%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     10665000 | PA      | $10740959.97   | 0.06%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YJYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       283286 | PA      | $273635.34     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       620000 | PA      | $629412.10     | 0.00%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT AA                                      | Spirit Airlines Pass Through Trust 2017-1AA                                      | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1027255 | PA      | $909317.79     | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3256000 | PA      | $2594581.70    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                      | Auto ABS Italian Stella Loans 2025-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       692000 | PA      | $815450.34     | 0.00%             | 2040-12-28      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                       | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8615120 | PA      | $8701098.90    | 0.05%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1169057 | PA      | $1147191.92    | 0.01%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                      | USD/NGN FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $18975.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vasco Finance                                                 | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       300000 | PA      | $353693.51     | 0.00%             | 2042-10-27      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       446723 | PA      | $437044.74     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           92 | PA      | $76.70         | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                     | PG&E Corp                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     24145000 | PA      | $23001550.51   | 0.12%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102892358 | PA      | $85000304.12   | 0.45%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4540000 | PA      | $4558379.74    | 0.02%             | 2036-04-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                         | Toorak Mortgage Trust 2024-2                                                     | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |       937000 | PA      | $935068.94     | 0.01%             | 2031-10-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                                   | Point Broadband Funding LLC                                                      | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3261000 | PA      | $3260968.69    | 0.02%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $604252.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174904 | PA      | $163103.53     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pierpont BTL                                                  | Pierpont BTL 2025-1 PLC                                                          | CUSIP: 000000000<br>LEI: 635400SRTLDO3B8L9Y97 | Long             | ABS-MBS          | CORP              | GB        |       151000 | PA      | $207351.19     | 0.00%             | 2062-03-21      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                                | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7203239 | PA      | $7345023.42    | 0.04%             | 2059-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417J2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16983 | PA      | $17361.75      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2201676 | PA      | $2038094.25    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                 | SCC Power PLC                                                                    | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |       493685 | PA      | $98737.00      | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43643000 | PA      | $45060376.69   | 0.24%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       936491 | PA      | $802642.57     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                                | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3176000 | PA      | $3177985.00    | 0.02%             | 2041-06-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Sage AR Funding                                               | Sage AR Funding                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1666000 | PA      | $2300878.35    | 0.01%             | 2037-05-17      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit                                | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1792000 | PA      | $1502819.76    | 0.01%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3683204 | PA      | $3656828.36    | 0.02%             | 2052-06-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS SIMON PROPERTY GROUP LP                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-59440.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO 7 LTD                                                 | AGL CLO 7 Ltd                                                                    | CUSIP: 008511AS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $502064.20     | 0.00%             | 2034-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                              | FirstEnergy Corp                                                                 | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     33801000 | PA      | $22907948.01   | 0.12%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos Clo Xxv                                                                   | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |      6850000 | PA      | $6858717.31    | 0.04%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14406263 | PA      | $14223314.54   | 0.08%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3443512 | PA      | $3469254.05    | 0.02%             | 2064-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13960000 | PA      | $14010577.08   | 0.07%             | 2037-10-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       684117 | PA      | $682038.79     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                           | Cheniere Energy Inc                                                              | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     43661000 | PA      | $44716707.26   | 0.24%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                                    | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2695000 | PA      | $2699205.82    | 0.01%             | 2030-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                          | Cross 2023-H2 Mortgage Trust                                                     | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2201059 | PA      | $2234203.99    | 0.01%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168418 | PA      | $167567.99     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2909777 | PA      | $2953645.55    | 0.02%             | 2053-11-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                                 | 1988 CLO 5 Ltd                                                                   | CUSIP: 68252PAA4<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |      3675000 | PA      | $3691179.92    | 0.02%             | 2037-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XXIV Ltd                                                            | CUSIP: 87167QAL2<br>LEI: 5493007X3UVVYJ005O73 | Long             | ABS-CBDO         | CORP              | KY        |       398938 | PA      | $399627.96     | 0.00%             | 2032-01-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       281448 | PA      | $274980.34     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thunder Logistics                                             | Thunder Logistics 2024-1 DAC                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       464544 | PA      | $548028.05     | 0.00%             | 2036-11-17      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                             | EURO-BUND                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           47 | NC      | $-28943.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Vericrest Opportunity Loan Tra                                | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3140559 | PA      | $3130821.28    | 0.02%             | 2051-12-26      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| ROTOR ACQUISITION CORP PRIVATE WARRANTS                       | ROTOR ACQUISITION CORP PRIVATE WARRANTS                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        72998 | NC      | $27885.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12576913 | PA      | $11370494.26   | 0.06%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31306XQR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8852 | PA      | $8698.92       | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1258100 | PA      | $1119664.09    | 0.01%             | 2062-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO XXII Ltd                                                        | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3970000 | PA      | $3982686.53    | 0.02%             | 2031-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6997000 | PA      | $7051669.66    | 0.04%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J9L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1220621 | PA      | $1190959.14    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38379RHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       576517 | PA      | $16154.94      | 0.00%             | 2057-08-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15373000 | PA      | $12299449.51   | 0.07%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123541 | PA      | $129513.05     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                                | LoanCore 2022-CRE7 Issuer Ltd                                                    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       656432 | PA      | $656465.26     | 0.00%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAQ6<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500974.10     | 0.00%             | 2030-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2490550.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                      | Florida Power & Light Co                                                         | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      6246000 | PA      | $4917093.05    | 0.03%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415MAL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38096 | PA      | $38121.35      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971851 | PA      | $790992.27     | 0.00%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8912648 | PA      | $7576982.22    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       174954 | PA      | $170731.64     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC                                      | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                 | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      1113560 | PA      | $1125837.38    | 0.01%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                                 | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 000000000<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |      1040000 | PA      | $1039935.21    | 0.01%             | 2038-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35375 | PA      | $33098.23      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                            | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3324000 | PA      | $3237939.31    | 0.02%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        46072 | PA      | $45714.27      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1440328 | PA      | $1464572.28    | 0.01%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132E0RK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9238041 | PA      | $9643159.66    | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140386 | PA      | $147172.74     | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1706000 | PA      | $1473324.46    | 0.01%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                                     | Golden Bar Securitisation Srl                                                    | CUSIP: 000000000<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |      1515870 | PA      | $1802161.15    | 0.01%             | 2043-09-22      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                     | TRS CFD EQUITY BASKET                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |            1 | NC      | $363438.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                        | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3503493 | PA      | $3566219.74    | 0.02%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                       | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AE3<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |      4000000 | PA      | $4003419.20    | 0.02%             | 2038-01-18      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3748780 | PA      | $3718909.04    | 0.02%             | 2064-12-26      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65916 | PA      | $64537.89      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       487794 | PA      | $440460.36     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     10771000 | PA      | $10966967.14   | 0.06%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                              | E-MINI RUSS 2000                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         -286 | NC      | $-1045643.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       129676 | PA      | $120885.09     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3087477 | PA      | $2957936.15    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4206317 | PA      | $4153738.20    | 0.02%             | 2036-02-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                   | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14742624 | PA      | $14742624.39   | 0.08%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       453194 | PA      | $426142.06     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                     | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2010000 | PA      | $1572951.43    | 0.01%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3002 | PA      | $2908.92       | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                   | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2271517 | PA      | $2185601.92    | 0.01%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QRY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        57329 | PA      | $54394.44      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                         | Northrop Grumman Corp                                                            | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     11740000 | PA      | $10938647.68   | 0.06%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MINEJESA CAPITAL BV                                           | Minejesa Capital BV                                                              | CUSIP: 000000000<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |     22324000 | PA      | $21361277.50   | 0.11%             | 2037-08-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2025-NQM1                                    | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     12414970 | PA      | $12494955.79   | 0.07%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       108515 | PA      | $101529.96     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                                | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5768000 | PA      | $5805620.05    | 0.03%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561284 | PA      | $420542.00     | 0.00%             | 2050-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| SARCOS TECH & ROBOT LEGENDED                                  | SARCOS TECH & ROBOT LEGENDED                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       464024 | NS      | $4018446.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | TRY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-72080.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2533714 | PA      | $2023255.09    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4487001 | PA      | $4535838.55    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Star Trust                                                    | STAR 2021-SFR1 Trust                                                             | CUSIP: 85521DAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1030000 | PA      | $1026382.43    | 0.01%             | 2038-04-17      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 32 Ltd                                        | CUSIP: 64132DAL2<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |      1340000 | PA      | $1339323.03    | 0.01%             | 2032-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        43093 | PA      | $40439.15      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO 2024-NQM6                                                                  | CUSIP: 05613JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       250000 | PA      | $247944.03     | 0.00%             | 2064-08-01      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 9 LTD                                                               | CUSIP: 37147LAN9<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |      1657620 | PA      | $1662587.72    | 0.01%             | 2038-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                     | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1783000 | PA      | $1781885.63    | 0.01%             | 2041-10-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                          | Targa Resources Corp                                                             | CUSIP: 87612GAD3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       998000 | PA      | $1024525.34    | 0.01%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1678511 | PA      | $1608467.76    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vasco Finance                                                 | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       200000 | PA      | $235792.84     | 0.00%             | 2042-10-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3603435 | PA      | $3395800.53    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        73707 | PA      | $68887.98      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       238435 | PA      | $232087.33     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                      | Transocean Titan Financing Ltd                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       609810 | PA      | $619421.53     | 0.00%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       494514 | PA      | $501243.51     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24918949 | PA      | $20050315.93   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12153349 | PA      | $9149168.56    | 0.05%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3936517 | PA      | $3528900.93    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                     | Caesars Entertainment Inc                                                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |        75834 | NS      | $2152927.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11889440 | PA      | $9966010.18    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA REVENUES                                   | University of California                                                         | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2467000 | PA      | $2070142.98    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Merit                                                         | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2100000 | PA      | $2098687.50    | 0.01%             | 2038-07-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       394634 | PA      | $377373.05     | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr                                | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1110000 | PA      | $1014273.60    | 0.01%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19090000 | PA      | $367098.79     | 0.00%             | 2052-09-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1265000 | PA      | $1163083.38    | 0.01%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1569496 | PA      | $1246444.50    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                              | BAT Capital Corp                                                                 | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      8383000 | PA      | $7810787.23    | 0.04%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Comerica Inc                                                  | Comerica Inc                                                                     | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |         6357 | NS      | $379195.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                       | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7631000 | PA      | $7333323.85    | 0.04%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       946000 | PA      | $929786.39     | 0.00%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2024-RVR                                       | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1802000 | PA      | $1792476.25    | 0.01%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       602600 | PA      | $540829.16     | 0.00%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       317230 | PA      | $298160.08     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2466000 | PA      | $2415552.64    | 0.01%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MFCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24208 | PA      | $23716.05      | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3184008.64    | 0.02%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mila B.V.                                                     | Mila 2024-1 BV                                                                   | CUSIP: 000000000<br>LEI: 7245000GAIRCK7Y7VJ68 | Long             | ABS-O            | CORP              | NL        |       238000 | PA      | $280347.61     | 0.00%             | 2041-09-16      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4886416 | PA      | $3952653.79    | 0.02%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8022000 | PA      | $7917277.60    | 0.04%             | 2041-03-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3913218 | PA      | $4072176.80    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                           | Petroleos Mexicanos                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       217000 | PA      | $195647.20     | 0.00%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |       200000 | PA      | $5500.00       | 0.00%             | 2022-10-18      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust                                | Goldman Home Improvement Trust 2022-GRN2 Issuer Trust                            | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1163364 | PA      | $1196385.92    | 0.01%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        50218 | PA      | $49828.47      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                              | Duke Energy Corp                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      3057000 | PA      | $2297167.00    | 0.01%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                                     | Fortuna Consumer Loan Abs 2024-2 DAC                                             | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |       800000 | PA      | $946618.52     | 0.01%             | 2034-10-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174600 | PA      | $162763.59     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                         | Foundry JV Holdco LLC                                                            | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      7247000 | PA      | $7543302.80    | 0.04%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RDT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1393000 | PA      | $1341909.86    | 0.01%             | 2057-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 81 B Ltd                                              | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1080000 | PA      | $1077955.67    | 0.01%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     29818000 | PA      | $25820825.83   | 0.14%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1590518 | PA      | $1537848.88    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                           | Sandstone Peak Ltd                                                               | CUSIP: 800130AQ9<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |      2410000 | PA      | $2415623.01    | 0.01%             | 2034-10-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                                   | Stratus CLO 2021-1 Ltd                                                           | CUSIP: 863171AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1110.00       | 0.00%             | 2029-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1378000 | PA      | $1384468.75    | 0.01%             | 2031-06-16      | Fixed         | 9.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415W3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5832 | PA      | $5962.15       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                                      | Volcan Cia Minera SAA                                                            | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |       179000 | PA      | $177321.88     | 0.00%             | 2030-01-24      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2014-5 Ltd                                  | CUSIP: 14311AAS1<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |       489320 | PA      | $490033.98     | 0.00%             | 2031-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       611236 | PA      | $600422.70     | 0.00%             | 2035-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                               | Impac CMB Trust Series 2004-11                                                   | CUSIP: 45254NMA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569857 | PA      | $751426.75     | 0.00%             | 2035-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108503 | PA      | $104401.15     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                   | FIGRE Trust 2024-SL1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4380276 | PA      | $4429499.85    | 0.02%             | 2053-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16447000 | PA      | $16040322.27   | 0.09%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                             | L3Harris Technologies Inc                                                        | CUSIP: 502431AU3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       908000 | PA      | $928126.86     | 0.00%             | 2034-06-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349105 | PA      | $348858.37     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2080000 | PA      | $2103589.90    | 0.01%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                                   | Corp Nacional del Cobre de Chile                                                 | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |      8228000 | PA      | $8585918.00    | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6979277 | PA      | $6789959.21    | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13319510 | PA      | $11753090.71   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Signal Peak CLO 8 Ltd                                                            | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1430000 | PA      | $1436537.10    | 0.01%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                | Galaxy XX CLO Ltd                                                                | CUSIP: 36320MAL2<br>LEI: 549300S1CAKZT00VQL17 | Long             | ABS-CBDO         | CORP              | KY        |       480839 | PA      | $480806.23     | 0.00%             | 2031-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2241171 | PA      | $1905267.87    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                                | Edenbrook Mortgage Funding PLC                                                   | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |       930788 | PA      | $1283305.76    | 0.01%             | 2057-03-22      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       493767 | PA      | $451316.97     | 0.00%             | 2037-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBL4<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |      4570000 | PA      | $4576100.95    | 0.02%             | 2034-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Octagon Credit Partners 46, LT                                | Octagon Investment Partners 46 Ltd                                               | CUSIP: 67577VAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3290000 | PA      | $3299906.19    | 0.02%             | 2036-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17171936 | PA      | $16567133.32   | 0.09%             | 2062-03-27      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Trust 2022-SSP                                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1270000 | PA      | $1268811.41    | 0.01%             | 2039-05-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2021-2 Ltd                                                    | CUSIP: 77341LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2020000 | PA      | $2023368.96    | 0.01%             | 2034-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                  | Ecopetrol SA                                                                     | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      6935000 | PA      | $6804968.75    | 0.04%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50046 | PA      | $52465.28      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAE1<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |      1390000 | PA      | $1393233.84    | 0.01%             | 2037-10-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |       465000 | PA      | $12787.50      | 0.00%             | 2021-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                     | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        75123 | PA      | $70517.96      | 0.00%             | 2052-06-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416HAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6786 | PA      | $6981.73       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                                | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2299158 | PA      | $2007625.76    | 0.01%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12889777 | PA      | $10869963.01   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable                                | OneMain Direct Auto Receivables Trust 2025-1                                     | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1484000 | PA      | $1506524.45    | 0.01%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2617000 | PA      | $2434050.50    | 0.01%             | 2041-02-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33871000 | PA      | $307484.33     | 0.00%             | 2043-07-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $501043.00     | 0.00%             | 2030-10-22      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       770000 | PA      | $765727.89     | 0.00%             | 2036-04-17      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8100000 | PA      | $8162306.01    | 0.04%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                      | Bear Stearns ALT-A Trust 2006-2                                                  | CUSIP: 07386HF30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3112767 | PA      | $2006805.18    | 0.01%             | 2036-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7353000 | PA      | $6557164.96    | 0.04%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                                | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1401000 | PA      | $1435248.15    | 0.01%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       269916 | PA      | $264143.93     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                      | Aston Martin Capital Holdings Ltd                                                | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      1973000 | PA      | $1868211.01    | 0.01%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                                 | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2                   | CUSIP: 52520VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       920007 | PA      | $874093.40     | 0.00%             | 2036-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1090850 | PA      | $887497.17     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                                                | Octagon 57 Ltd                                                                   | CUSIP: 67592XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500939.40     | 0.00%             | 2034-10-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                                | GoTo Group Inc                                                                   | CUSIP: 38349YAA3<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |       425000 | PA      | $348500.00     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222091 | PA      | $179051.21     | 0.00%             | 2046-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| First Citizens BancShares Inc/                                | First Citizens BancShares Inc/NC                                                 | CUSIP: 31946M103<br>LEI: 549300N3Z00ZHE2XC526 | Long             | EC               | CORP              | US        |         1222 | NS      | $2390806.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman ABS Manufactured Housin                                | Lehman ABS Manufactured Housing Contract Trust 2001-B                            | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       718347 | PA      | $724079.51     | 0.00%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                              | BAT Capital Corp                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     11203000 | PA      | $9235729.45    | 0.05%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       481549 | PA      | $360174.97     | 0.00%             | 2050-02-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63183000 | PA      | $58340615.71   | 0.31%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YXGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39734 | PA      | $38779.39      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PITNEY BOWES INC                                              | Pitney Bowes Inc                                                                 | CUSIP: 724479AP5<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |      6435000 | PA      | $6493558.50    | 0.03%             | 2027-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Hermitage Plc                                                 | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       530964 | PA      | $735411.84     | 0.00%             | 2033-04-21      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2016-C34                                   | CUSIP: 95000DAG6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |      1830000 | PA      | $1818470.27    | 0.01%             | 2049-06-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     18382000 | PA      | $18399107.76   | 0.10%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                           | Elmwood CLO II Ltd                                                               | CUSIP: 29001RAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $758805.00     | 0.00%             | 2037-10-20      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| HOMES Trust                                                   | Homes 2024-Nqm2 Trust                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |      4483239 | PA      | $4503679.51    | 0.02%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2370660 | PA      | $2276821.18    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                         | Reynolds American Inc                                                            | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     26148000 | PA      | $25227583.86   | 0.13%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020471<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -2170000 | PA      | $-1982416.02   | -0.01%            | 2040-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INSIGHT M INC WARRANTS                                        | INSIGHT M INC WARRANTS                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |      3390177 | NC      | $332915.38     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                   | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1751378 | PA      | $1660073.83    | 0.01%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                   | Wireless PropCo Funding LLC                                                      | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5688000 | PA      | $5687939.71    | 0.03%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  3 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWHEQ Home Equity Loan Trust Series 2006-S3                                      | CUSIP: 23242MAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31908 | PA      | $76845.03      | 0.00%             | 2029-01-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87132000 | PA      | $68955184.36   | 0.37%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXII Ltd                                                    | CUSIP: 55819XBJ0<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3009184.50    | 0.02%             | 2038-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3292287 | PA      | $3262380.66    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12468469 | PA      | $12576030.60   | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y0YL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4183021 | PA      | $4070362.38    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties, LLC                                  | Concord Music Royalties LLC                                                      | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2794000 | PA      | $2801358.28    | 0.01%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                 | GS Mortgage-Backed Securities Trust 2023-CCM1                                    | CUSIP: 362918AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1022000 | PA      | $1016518.61    | 0.01%             | 2053-08-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GT Loan Financing Ltd                                         | GT Loan Financing I Ltd 2013-1                                                   | CUSIP: 36248MAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250556.25     | 0.00%             | 2031-07-28      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3074989 | PA      | $3058851.43    | 0.02%             | 2041-04-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VII Ltd.                                          | Elmwood CLO VII Ltd                                                              | CUSIP: 29002QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       790000 | PA      | $792870.70     | 0.00%             | 2037-10-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y9RK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1201249 | PA      | $1164055.17    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $19011.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XXI Ltd                                                             | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |      1559842 | PA      | $1557527.61    | 0.01%             | 2032-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       953386 | PA      | $965225.22     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X.AI HOLDINGS CORP SERIES C PREF E                            | X.AI HOLDINGS CORP SERIES C PREF E                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       363422 | NS      | $12054707.74   | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11017908 | PA      | $10138807.82   | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                         | DIRECTV FINANCING LLC                                                            | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4088060 | PA      | $3889789.09    | 0.02%             | 2031-02-18      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2024-38 Ltd                                                              | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4400000 | PA      | $4413266.00    | 0.02%             | 2038-01-21      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CROWN PROPTECH FOUNDERS UNVESTED                              | CROWN PROPTECH FOUNDERS UNVESTED                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        96296 | NS      | $0.96          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3845000 | PA      | $3776777.40    | 0.02%             | 2041-03-15      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4977300 | PA      | $3818204.79    | 0.02%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4652129 | PA      | $4692258.60    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       793981 | PA      | $822173.58     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22037044 | PA      | $20956624.64   | 0.11%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 32 LTD /old                                                                   | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2310000 | PA      | $2317098.17    | 0.01%             | 2039-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6810000 | PA      | $4775075.03    | 0.03%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                                | Pikes Peak Clo 12 Ltd                                                            | CUSIP: 72133LAM4<br>LEI: 21380087HZCMQFA48I12 | Long             | ABS-CBDO         | CORP              | JE        |       500000 | PA      | $499960.70     | 0.00%             | 2038-04-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | Federal National Mortgage Association                                            | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |      1450000 | PA      | $1640560.49    | 0.01%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                 | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46500000 | PA      | $1731394.95    | 0.01%             | 2042-11-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1160000 | PA      | $1164256.85    | 0.01%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       871000 | PA      | $875088.74     | 0.00%             | 2031-06-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500786.05     | 0.00%             | 2037-07-23      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                           | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAA8<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |       123608 | PA      | $123736.86     | 0.00%             | 2031-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      3110000 | PA      | $3108117.52    | 0.02%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV                                | Octagon Investment Partners XVI Ltd                                              | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1741952 | PA      | $1744565.57    | 0.01%             | 2030-07-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       319597 | PA      | $303651.71     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1713 | PA      | $1780.77       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun                                | GRACIE POINT INTERNATIONAL FUNDING 2023-1                                        | CUSIP: 383931AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2383641 | PA      | $2387519.12    | 0.01%             | 2026-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| SABENA TECHNICS SAS                                           | SABENA TECHNICS SAS                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |      6551690 | PA      | $7717562.82    | 0.04%             | 2029-09-30      | Floating      | 6.98%                 | Yes           |                  3 | On Loan: No      |
| Credit Suisse First Boston Mor                                | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541SD70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304025 | PA      | $228386.21     | 0.00%             | 2043-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       235721 | PA      | $219368.26     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                        | General Motors Financial Co Inc                                                  | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     10313000 | PA      | $10459662.41   | 0.06%             | 2034-04-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO Ltd                                                              | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251100.60     | 0.00%             | 2037-07-17      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4899024 | PA      | $4909619.54    | 0.03%             | 2041-04-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QVP21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       202781 | PA      | $191683.31     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                                 | Bayview Financial Revolving Asset Trust 2005-A                                   | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1099589 | PA      | $988464.27     | 0.01%             | 2040-02-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14853345 | PA      | $11179864.33   | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                                           | Cali 2024-Sun                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4289000 | PA      | $4294361.25    | 0.02%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                                      | Vista Energy Argentina SAU                                                       | CUSIP: 92841RAB6<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      6910000 | PA      | $6960097.50    | 0.04%             | 2033-06-10      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | CDS CATERPILLAR INC                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |            1 | NC      | $-73287.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13052248 | PA      | $11005798.05   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10008000 | PA      | $10014255.00   | 0.05%             | 2042-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                 | AEP Texas Inc                                                                    | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $825421.59     | 0.00%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                                 | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2583650 | PA      | $2629111.65    | 0.01%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      4185000 | PA      | $3080882.21    | 0.02%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304750 | PA      | $298478.27     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-295592.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                          | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4046000 | PA      | $3942780.47    | 0.02%             | 2035-03-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                            | Panama Government International Bond                                             | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     17669000 | PA      | $17138930.00   | 0.09%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       140651 | PA      | $137572.16     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |      7640000 | PA      | $7654129.42    | 0.04%             | 2034-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59446789 | PA      | $58387402.34   | 0.31%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       161542 | PA      | $148407.75     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC             | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-306767.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       860000 | PA      | $863366.04     | 0.00%             | 2037-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                 | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192241 | PA      | $157910.60     | 0.00%             | 2036-11-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |       425234 | PA      | $425809.59     | 0.00%             | 2031-07-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                  | CD 2017-CD5 Mortgage Trust                                                       | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2091000 | PA      | $2008130.74    | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       154049 | PA      | $144837.08     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                         | Mineral Resources Ltd                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       839000 | PA      | $858639.31     | 0.00%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                        | Extra Space Storage LP                                                           | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     21435000 | PA      | $22233710.97   | 0.12%             | 2030-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                                      | NAK Naftogaz Ukraine via Kondor Finance PLC                                      | CUSIP: 50050MAB1<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |       783433 | PA      | $611077.53     | 0.00%             | 2028-11-08      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25660000 | PA      | $16439676.11   | 0.09%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                | CFMT 2024-HB15 LLC                                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |       265016 | PA      | $254220.84     | 0.00%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341782 | PA      | $323463.53     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2006-5                                                    | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10485 | PA      | $3337.63       | 0.00%             | 2036-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KRCJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9838324 | PA      | $10080212.49   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168938 | PA      | $164291.97     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                                        | Milford Park CLO Ltd                                                             | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2370000 | PA      | $2368815.00    | 0.01%             | 2038-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16557000 | PA      | $206225.71     | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $211705.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |      1093000 | PA      | $30057.50      | 0.00%             | 2023-06-01      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       128037 | PA      | $129704.33     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        76888 | PA      | $74288.31      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2802783 | PA      | $2511541.59    | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15656 | PA      | $14862.08      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 37 Ltd                                                                   | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |       290000 | PA      | $290290.00     | 0.00%             | 2038-04-22      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     11534000 | PA      | $11821768.34   | 0.06%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132A4Q68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       283445 | PA      | $265804.72     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       423395 | PA      | $409506.21     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XXVIII Ltd                                                          | CUSIP: 87168BAC4<br>LEI: 54930054F3QGDZOYIH14 | Long             | ABS-CBDO         | CORP              | KY        |      2230000 | PA      | $2232609.99    | 0.01%             | 2034-10-23      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1321800 | PA      | $1329749.83    | 0.01%             | 2064-01-25      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd                                              | BSPDF 2025-FL2 Issuer LLC                                                        | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1339000 | PA      | $1337016.67    | 0.01%             | 2042-12-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2476094 | PA      | $2184440.58    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |     10761648 | PA      | $10691509.92   | 0.06%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175803 | PA      | $172609.27     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SURA ASSET MANAGEMENT                                         | SURA Asset Management SA                                                         | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      4074000 | PA      | $4287477.60    | 0.02%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3522622 | PA      | $3429239.65    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       262225 | PA      | $256196.23     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13408052 | PA      | $10635465.03   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                     | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2553000 | PA      | $2551404.38    | 0.01%             | 2041-10-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3394824 | PA      | $3389635.65    | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                                  | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2485381 | PA      | $2482274.35    | 0.01%             | 2038-11-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3086379 | PA      | $2629304.25    | 0.01%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| INDIA CLEANTECH ENERGY                                        | India Cleantech Energy                                                           | CUSIP: 000000000<br>LEI: 254900DGTS4HHR3Q6F66 | Long             | DBT              | CORP              | MU        |      6320000 | PA      | $6217300.00    | 0.03%             | 2026-08-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31071104 | PA      | $26417588.51   | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345362 | PA      | $337625.47     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                                 | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |      1890000 | PA      | $1893170.29    | 0.01%             | 2039-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307LSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10039 | PA      | $9688.19       | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pony                                                          | Pony SA                                                                          | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |       400000 | PA      | $471607.83     | 0.00%             | 2033-01-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                   | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2060719 | PA      | $396819.59     | 0.00%             | 2059-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit                                | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $1938311.10    | 0.01%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                       | Bryant Park Funding 2023-19 Ltd                                                  | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |       710000 | PA      | $709355.46     | 0.00%             | 2038-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    101973700 | PA      | $75133904.00   | 0.40%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X8QR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       291107 | PA      | $286299.75     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                                               | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAQ0<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |      3270000 | PA      | $3279164.83    | 0.02%             | 2037-07-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       390000 | PA      | $390780.66     | 0.00%             | 2037-10-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                             | EURO-BUXL 30Y BND                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -455 | NC      | $1113000.57    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3073100 | PA      | $2902898.51    | 0.02%             | 2064-12-26      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       386323 | PA      | $385269.29     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8954735 | PA      | $3601958.81    | 0.02%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                               | Impac CMB Trust Series 2005-6                                                    | CUSIP: 45254NQG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       408863 | PA      | $367371.27     | 0.00%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       641000 | PA      | $638596.25     | 0.00%             | 2038-11-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37967 | PA      | $36353.75      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175638 | PA      | $168802.99     | 0.00%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XX                                                                    | CUSIP: 03765LAR3<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250763.55     | 0.00%             | 2031-07-16      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      7423000 | PA      | $7992878.70    | 0.04%             | 2033-11-17      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       725700 | PA      | $652839.57     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2020-20 Ltd                                                              | CUSIP: 670859AQ0<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |       360000 | PA      | $361512.65     | 0.00%             | 2037-04-18      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                 | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1790000 | PA      | $1808323.34    | 0.01%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |     50246100 | NC      | $2191283.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERSA NETWORKS INC                                            | VERSA NETWORKS INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      4118274 | NS      | $21044380.14   | 0.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13644028 | PA      | $13151317.94   | 0.07%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414CQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36857 | PA      | $37678.81      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                          | Edison International                                                             | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      1812000 | PA      | $1566368.58    | 0.01%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd                                         | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500738.20     | 0.00%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA11                                                 | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       267184 | PA      | $248243.56     | 0.00%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | CDS BOEING CO/THE                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |            1 | NC      | $-66934.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                                 | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2884509 | PA      | $2410145.95    | 0.01%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7396000 | PA      | $4598231.88    | 0.02%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                      | California Resources Corp                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      1230000 | PA      | $1262566.71    | 0.01%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                           | Nomura Holdings Inc                                                              | CUSIP: 65535HCB3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      1000000 | PA      | $1005944.07    | 0.01%             | 2035-06-29      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR 2023-STON Mortgage Trust                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145000 | PA      | $1192339.80    | 0.01%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XYDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72793 | PA      | $70651.24      | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                         | Sycamore Tree CLO 2024-5 Ltd                                                     | CUSIP: 87122YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3280000 | PA      | $3286563.94    | 0.02%             | 2036-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       235961 | PA      | $229335.60     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Bo                                | Vantage Data Centers Jersey Borrower Spv Ltd                                     | CUSIP: 000000000<br>LEI: 213800S5S638C9IBQ379 | Long             | ABS-O            | CORP              | JE        |      2561000 | PA      | $3603272.20    | 0.02%             | 2039-05-28      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165694 | PA      | $153018.66     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4055272 | PA      | $4027392.50    | 0.02%             | 2036-02-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402XCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39943 | PA      | $39545.32      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                               | CDS CDX.NA.HY.44.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $61139594.08   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      2815000 | PA      | $2751480.59    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                           | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       891000 | PA      | $916967.57     | 0.00%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      7726000 | PA      | $6895409.73    | 0.04%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Castell                                                       | Castell 2025-1 PLC                                                               | CUSIP: 000000000<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |       666000 | PA      | $914657.53     | 0.00%             | 2062-01-27      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        53976 | PA      | $52666.97      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3566324 | PA      | $3291423.95    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       103495 | PA      | $99012.57      | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      1970000 | PA      | $1911932.10    | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |      8741627 | PA      | $8783675.78    | 0.05%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       302392 | PA      | $281894.38     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREWEAVE 2ND ABL:TL                                          | COREWEAVE 2ND ABL:TL                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     19545000 | PA      | $19326095.90   | 0.10%             | 2029-05-16      | Floating      | 6.81%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       728768 | PA      | $704206.17     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16136 | PA      | $15430.20      | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                                  | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $501046.15     | 0.00%             | 2036-04-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       416883 | PA      | $405338.03     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd                                           | AGL Core CLO 15 Ltd                                                              | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |      1344000 | PA      | $1346873.47    | 0.01%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1816100 | PA      | $1812097.86    | 0.01%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                                | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2104715 | PA      | $416315.83     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                        | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      1610000 | PA      | $1616428.09    | 0.01%             | 2037-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | USD/GBP FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25814.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2487000 | PA      | $2417311.30    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2006-FF13                                     | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1065346 | PA      | $693930.89     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       280611 | PA      | $265706.08     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2006-FF17                                     | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8014585 | PA      | $6879628.29    | 0.04%             | 2036-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1906026 | PA      | $1770276.93    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERSA NETWORKS INC                                            | VERSA NETWORKS INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       507586 | NC      | $2050647.44    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       100113 | PA      | $90204.43      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                  | Ares LVII CLO Ltd                                                                | CUSIP: 04017NAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       510000 | PA      | $511357.72     | 0.00%             | 2035-01-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     11762000 | PA      | $12095102.78   | 0.06%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                       | Duke Energy Florida LLC                                                          | CUSIP: 26444HAF8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      1916000 | PA      | $1534835.90    | 0.01%             | 2048-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                | Merrill Lynch Mortgage Investors Trust Series 2006-A3                            | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       510775 | PA      | $474546.81     | 0.00%             | 2036-05-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                                | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1146380 | PA      | $862740.69     | 0.00%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XJU62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       131441 | PA      | $129576.69     | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2152169 | PA      | $1988295.21    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36576000 | PA      | $33961387.32   | 0.18%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       760000 | PA      | $759858.87     | 0.00%             | 2029-10-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                               | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12722270 | PA      | $12759335.38   | 0.07%             | 2041-05-17      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                            | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5747120 | PA      | $5887746.85    | 0.03%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     31007000 | PA      | $31458069.68   | 0.17%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6259255 | PA      | $5700986.98    | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33298 | PA      | $34907.69      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       693000 | PA      | $494142.62     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                              | AMC Networks Inc                                                                 | CUSIP: 00164VAJ2<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      1097000 | PA      | $921480.00     | 0.00%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4397755 | PA      | $4364565.10    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13345092 | PA      | $11344182.57   | 0.06%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TURK TELEKOMUNIKASYON AS                                      | Turk Telekomunikasyon AS                                                         | CUSIP: 000000000<br>LEI: 789000A2TXOI10JZLF90 | Long             | DBT              | CORP              | TR        |      6840000 | PA      | $6974679.60    | 0.04%             | 2029-05-20      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54621786 | PA      | $48373468.69   | 0.26%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A7UM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86850 | PA      | $77563.56      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4463700 | PA      | $3479962.12    | 0.02%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63702700 | PA      | $65683455.83   | 0.35%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       960000 | PA      | $896018.30     | 0.00%             | 2036-01-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1354000 | PA      | $1029088.34    | 0.01%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                              | DP World Ltd/United Arab Emirates                                                | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      7830000 | PA      | $8542040.63    | 0.05%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                                 | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2230000 | PA      | $2362161.62    | 0.01%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52491401 | PA      | $43344106.32   | 0.23%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-14T2                                                 | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2090768 | PA      | $1067515.95    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                               | Lehman XS Trust Series 2007-16N                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1526276 | PA      | $2059339.58    | 0.01%             | 2047-09-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       543000 | PA      | $543993.85     | 0.00%             | 2068-03-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                                 | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2840000 | PA      | $2862549.88    | 0.02%             | 2042-06-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $45219.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                         | Silver Point CLO 8 Ltd                                                           | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |       850000 | PA      | $849632.80     | 0.00%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220394 | PA      | $168379.68     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4563825 | PA      | $4315201.48    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11904969 | PA      | $11761593.50   | 0.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1642000 | PA      | $1197100.10    | 0.01%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2014-III Ltd                                                        | CUSIP: 12549QBL8<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000273.80    | 0.01%             | 2038-03-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                                                | Milos CLO Ltd                                                                    | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |       380849 | PA      | $381153.97     | 0.00%             | 2030-10-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                         | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888000 | PA      | $1718838.03    | 0.01%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        46982 | PA      | $44829.63      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7082367 | PA      | $6096567.60    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AKBANK TAS                                                    | Akbank TAS                                                                       | CUSIP: 000000000<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |      6884000 | PA      | $7013075.00    | 0.04%             | N/A             | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                          | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1310000 | PA      | $1314738.01    | 0.01%             | 2037-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3510000 | PA      | $3518187.08    | 0.02%             | 2037-10-19      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                                         | Wildwood Park CLO Ltd                                                            | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |      3170000 | PA      | $3183277.86    | 0.02%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-180730.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                                | GoodLeap Home Improvement Solutions Trust 2025-2                                 | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10818000 | PA      | $10914490.42   | 0.06%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MP Clo VII, LTD                                               | ACAS CLO 2015-1 Ltd                                                              | CUSIP: 55320RAJ6<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |       488516 | PA      | $488780.37     | 0.00%             | 2028-10-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                         | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       428000 | PA      | $425882.64     | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XXXIII Ltd                                                          | CUSIP: 87169JAL6<br>LEI: 254900K6DKU2R9SF7M98 | Long             | ABS-CBDO         | CORP              | JE        |      2000000 | PA      | $2004196.80    | 0.01%             | 2038-01-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 26 Ltd                                                                   | CUSIP: 00852HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      5000000 | PA      | $5018395.00    | 0.03%             | 2036-10-21      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                        | Canyon Capital CLO 2016-1 Ltd                                                    | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       245106 | PA      | $245358.36     | 0.00%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       356694 | PA      | $332476.42     | 0.00%             | 2047-07-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO VIII Ltd                                             | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |       485469 | PA      | $485508.31     | 0.00%             | 2031-01-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure                                 | Solaris Energy Infrastructure Inc                                                | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |       315111 | NS      | $8914490.19    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7007175 | PA      | $6744405.94    | 0.04%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                      | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12078000 | PA      | $11256554.93   | 0.06%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     27315000 | PA      | $28044646.20   | 0.15%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2780000 | PA      | $2789788.38    | 0.01%             | 2037-10-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39403 | PA      | $36760.75      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                                      | FBR Securitization Trust                                                         | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3418525 | PA      | $3392118.39    | 0.02%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                                 | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |      3020000 | PA      | $3024664.09    | 0.02%             | 2039-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $37505.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2920000 | PA      | $2839700.00    | 0.02%             | 2034-09-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3220497 | PA      | $2890990.78    | 0.02%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     30960000 | PA      | $31531428.72   | 0.17%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                                     | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $750633.38     | 0.00%             | 2038-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF 2018-K74 Mortgage Trust                                                    | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120000 | PA      | $117842.50     | 0.00%             | 2051-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |      2823820 | PA      | $1564505.14    | 0.01%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382UVU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5849130 | PA      | $1005660.83    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 41B-R Ltd                                             | CUSIP: 38178AAA1<br>LEI: 2549005QZPXI5WPU4V74 | Long             | ABS-CBDO         | CORP              | KY        |      4840000 | PA      | $4856210.13    | 0.03%             | 2034-01-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                        | CAN 10YR BOND                                                                    | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          -89 | NC      | $-50285.84     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2261 | PA      | $2198.77       | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FGV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2102 | PA      | $2010.52       | 0.00%             | 2040-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132ACYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       268666 | PA      | $261183.85     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                      | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1004000 | PA      | $1003924.90    | 0.01%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PROJECT MIDNIGHTS 22-August-29: TL LOAN/TERM                  | PROJECT MIDNIGHTS 22-August-29: TL LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | JP        |      9443590 | PA      | $11106442.08   | 0.06%             | 2026-08-22      | Floating      | 5.20%                 | No            |                  3 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XIV Ltd                                              | CUSIP: 08179LAL5<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $752916.30     | 0.00%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10297 | PA      | $9964.30       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       331000 | PA      | $283371.52     | 0.00%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2006-4                                            | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       708073 | PA      | $680345.13     | 0.00%             | 2036-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4533700 | PA      | $3609208.30    | 0.02%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |       674594 | PA      | $630487.63     | 0.00%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Opendoor Technologies Inc                                     | Opendoor Technologies Inc                                                        | CUSIP: 683712103<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | EC               | CORP              | US        |       575955 | NS      | $306984.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| COMM Mortgage Trust                                           | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3312000 | PA      | $3281762.10    | 0.02%             | 2041-06-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act                                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       138870 | PA      | $142285.17     | 0.00%             | 2051-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                            | Ohio Power Co                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      2212000 | PA      | $1676440.40    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4520118 | PA      | $4369670.64    | 0.02%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                                   | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |       553000 | PA      | $758903.14     | 0.00%             | 2060-04-28      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       115478 | PA      | $116543.18     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC                                            | STL Holding Co LLC                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |      1232000 | PA      | $1287103.66    | 0.01%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                                            | Race Point X CLO Ltd                                                             | CUSIP: 74983DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1062466 | PA      | $1062540.30    | 0.01%             | 2031-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3115000 | PA      | $0.31          | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE                                 | Metropolitan Transportation Authority                                            | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |       655000 | PA      | $711625.28     | 0.00%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247108 | PA      | $228025.33     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4332957 | PA      | $4332957.44    | 0.02%             | 2034-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       760000 | PA      | $761216.00     | 0.00%             | 2038-01-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2217910 | PA      | $2072365.29    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1104000 | PA      | $1206706.35    | 0.01%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                  | Ares Loan Funding IV Ltd                                                         | CUSIP: 04020FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1270000 | PA      | $1275242.18    | 0.01%             | 2036-10-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149010 | PA      | $139187.57     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       205199 | PA      | $191289.96     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -2131000 | PA      | $-2130512.47   | -0.01%            | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RDS8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1917000 | PA      | $1822344.37    | 0.01%             | 2047-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                      | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      9488000 | PA      | $9868851.93    | 0.05%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524324 | PA      | $492734.90     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 38 Ltd                                            | Elmwood CLO 38 Ltd                                                               | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4490000 | PA      | $4485849.00    | 0.02%             | 2038-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        31925 | PA      | $30540.45      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       925131 | PA      | $908948.50     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                     | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                      | CUSIP: 61690VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4490000 | PA      | $35497.49      | 0.00%             | 2048-10-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2007-AR19                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2406266 | PA      | $1564911.76    | 0.01%             | 2037-09-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                     | Hess Corp                                                                        | CUSIP: 42809HAC1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      1812000 | PA      | $1907023.85    | 0.01%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1144143 | PA      | $1072823.63    | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QAN0<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1251440.50    | 0.01%             | 2034-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| First Horizon Corp                                            | First Horizon Corp                                                               | CUSIP: 320517105<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | EC               | CORP              | US        |        37246 | NS      | $789615.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOTO GROUP INC                                                | GOTO GROUP INC                                                                   | CUSIP: 38349FAC0<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |         1866 | PA      | $1617.68       | 0.00%             | 2028-04-28      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       430000 | PA      | $431718.07     | 0.00%             | 2034-01-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANO 7.5 BDS 20/03/26 USD200000                 | PETROLEOS MEXICANO 7.5 BDS 20/03/26 USD200000                                    | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     22921000 | PA      | $22921000.00   | 0.12%             | 2026-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2647410 | PA      | $2665951.87    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                                      | Southwick Park CLO LLC                                                           | CUSIP: 846031AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       370000 | PA      | $369200.28     | 0.00%             | 2032-07-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81404000 | PA      | $77908347.80   | 0.42%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 54 Ltd                                        | CUSIP: 64135PAC2<br>LEI: 2549008MU2CMQ0UY7J70 | Long             | ABS-CBDO         | CORP              | JE        |      1520000 | PA      | $1525701.06    | 0.01%             | 2038-04-23      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                                | JP Morgan Alternative Loan Trust 2007-A2                                         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150775 | PA      | $133851.65     | 0.00%             | 2037-05-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                 | Citigroup Commercial Mortgage Trust 2015-P1                                      | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1007000 | PA      | $964769.54     | 0.01%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43318 | PA      | $42991.23      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4030894 | PA      | $3700429.32    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                                | Structured Adjustable Rate Mortgage Loan Trust Series 2006-3                     | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       495921 | PA      | $259227.50     | 0.00%             | 2036-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LI Ltd                                                      | CUSIP: 55821GAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2740000 | PA      | $2742364.07    | 0.01%             | 2034-07-19      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       395218 | PA      | $374134.10     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                                | Securitized Asset Backed Receivables LLC Trust 2006-OP1                          | CUSIP: 81375WJL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       340000 | PA      | $269126.22     | 0.00%             | 2035-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149889 | PA      | $147225.45     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132D9JF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       145030 | PA      | $124842.33     | 0.00%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1699600 | PA      | $1675681.70    | 0.01%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                           | American Tower Corp                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      2086000 | PA      | $1870620.23    | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8298000 | PA      | $8853615.74    | 0.05%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      1518000 | PA      | $1122900.94    | 0.01%             | 2045-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       246116 | PA      | $221308.49     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                 | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874XAQ2<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2504756.25    | 0.01%             | 2037-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                        | XHR LP                                                                           | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              | CORP              | US        |       289000 | PA      | $280085.33     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXXVIII Ltd                                          | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3920000 | PA      | $3931796.85    | 0.02%             | 2038-01-25      | None          | 5.62%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                   | Origen Manufactured Housing Contract Trust 2001-A                                | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       661362 | PA      | $663102.15     | 0.00%             | 2032-03-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                              | CSC Holdings LLC                                                                 | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      1731000 | PA      | $1646450.69    | 0.01%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     28185000 | PA      | $24905684.55   | 0.13%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                                                | Octagon 57 Ltd                                                                   | CUSIP: 67592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1280000 | PA      | $1282435.20    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69207 | PA      | $67046.49      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963997 | PA      | $963394.61     | 0.01%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                                | Crown City CLO III                                                               | CUSIP: 22824DAC3<br>LEI: 5493000O0QFX9SMPY639 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250386.65     | 0.00%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Aimco                                                         | AIMCO CLO 21 Ltd                                                                 | CUSIP: 00901WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       750000 | PA      | $752446.50     | 0.00%             | 2037-04-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133B13G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2588219 | PA      | $2086461.09    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2220812 | PA      | $2159310.97    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1012593 | PA      | $961862.99     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1697366 | PA      | $1521027.12    | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39                                | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8890000 | PA      | $8905003.65    | 0.05%             | 2030-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     12370000 | PA      | $12179522.53   | 0.07%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                                | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       340000 | PA      | $349099.39     | 0.00%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51484000 | PA      | $109228.45     | 0.00%             | 2039-06-10      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                                | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198000 | PA      | $193636.16     | 0.00%             | 2051-06-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2430668 | PA      | $2228130.38    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thunder Logistics                                             | Thunder Logistics 2024-1 DAC                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       326398 | PA      | $385437.33     | 0.00%             | 2036-11-17      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1593214 | PA      | $1524993.88    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                        | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2291705 | PA      | $1863310.65    | 0.01%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2019-INV3                                             | CUSIP: 92537MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $779185.36     | 0.00%             | 2059-11-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY AURA                                         | Continuum Energy Aura Pte Ltd                                                    | CUSIP: 000000000<br>LEI: 984500AB52D7C8GC2E33 | Long             | DBT              | CORP              | SG        |      8000000 | PA      | $8230000.00    | 0.04%             | 2027-02-24      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 28 Ltd                                                                        | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |      6320000 | PA      | $6343789.74    | 0.03%             | 2037-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus                                | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2350240 | PA      | $22567.47      | 0.00%             | 2050-03-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     12751000 | PA      | $12568954.36   | 0.07%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XX                                                                    | CUSIP: 03765LAP7<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |       376548 | PA      | $377076.94     | 0.00%             | 2031-07-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138AMK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       302784 | PA      | $300694.53     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        44140 | PA      | $56011.75      | 0.00%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MONG DUONG FIN HLDGS BV                                       | Mong Duong Finance Holdings BV                                                   | CUSIP: 000000000<br>LEI: 549300995KGQFMWSV879 | Long             | DBT              | CORP              | NL        |      8842002 | PA      | $8624268.09    | 0.05%             | 2029-05-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                                | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4940000 | PA      | $39375.26      | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    163460000 | PA      | $162540537.50  | 0.87%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1979282 | PA      | $1988209.60    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1138346 | PA      | $994009.17     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2104600 | PA      | $2058042.67    | 0.01%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213719 | PA      | $208128.09     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        67306 | PA      | $66201.18      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                       | Loanpal Solar Loan 2020-2 Ltd                                                    | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4235944 | PA      | $3575301.08    | 0.02%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2006-HE1                            | CUSIP: 0738796S2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2253773 | PA      | $2196605.78    | 0.01%             | 2035-12-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1130769 | PA      | $557574.24     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777220 | PA      | $766399.63     | 0.00%             | 2054-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158894 | PA      | $148666.05     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8998000 | PA      | $8182355.68    | 0.04%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VACO HOLDINGS LLC                                             | Vaco Holdings LLC                                                                | CUSIP: 91865FAJ8<br>LEI: 54930076HTNXBP03T379 | Long             | LON              | CORP              | US        |      1611165 | PA      | $1473410.37    | 0.01%             | 2029-01-22      | Floating      | 9.45%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                     | USD/PLN FORWARD                                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-201635.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                                | Ohio Edison Co                                                                   | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7110000 | PA      | $7207391.86    | 0.04%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VERITAS NEWCO PFD G-1                                         | VERITAS NEWCO PFD G-1                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         9228 | NS      | $207630.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo I Ltd                                                               | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      4525470 | PA      | $4529704.93    | 0.02%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       584157 | PA      | $536415.73     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                         | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3051000 | PA      | $2454203.35    | 0.01%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17724827 | PA      | $18136019.28   | 0.10%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       599423 | PA      | $587951.51     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                        | Full House Resorts Inc                                                           | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |       562000 | PA      | $546080.90     | 0.00%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VOYA EURO CLO                                                 | Voya Euro CLO II DAC                                                             | CUSIP: 000000000<br>LEI: 635400URG3IUW6R6W254 | Long             | ABS-CBDO         | CORP              | IE        |       750000 | PA      | $885587.40     | 0.00%             | 2035-07-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3742383 | PA      | $3384000.86    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCI PH PARENT INC                                             | SCI PH PARENT INC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         1875 | NS      | $2404818.75    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Origen Manufactured Housing                                   | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |       155222 | PA      | $154258.46     | 0.00%             | 2037-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                                | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17503000 | PA      | $18315610.03   | 0.10%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48920116 | PA      | $41325383.15   | 0.22%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      4267000 | PA      | $4340597.98    | 0.02%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING CO                                          | Stillwater Mining Co                                                             | CUSIP: 000000000<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |      7911000 | PA      | $7059288.29    | 0.04%             | 2029-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act                                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       239628 | PA      | $242274.31     | 0.00%             | 2051-07-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                     | BXP Trust 2017-GM                                                                | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       590000 | PA      | $560035.14     | 0.00%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                       | GSR Mortgage Loan Trust 2007-OA2                                                 | CUSIP: 3622NCAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       781268 | PA      | $458057.20     | 0.00%             | 2047-06-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       145806 | PA      | $144754.57     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                  | Hudson Yards 2019-30HY Mortgage Trust                                            | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       195000 | PA      | $183028.66     | 0.00%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                           | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |       202605 | PA      | $202777.37     | 0.00%             | 2031-01-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1296096 | PA      | $1213744.39    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                              | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |      9420000 | PA      | $9436728.04    | 0.05%             | 2034-07-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                                      | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1997285 | PA      | $618852.51     | 0.00%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XVIII-R                                                               | CUSIP: 03767NAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       880000 | PA      | $882206.16     | 0.00%             | 2038-01-22      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                             | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2463000 | PA      | $2302300.83    | 0.01%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2720246 | PA      | $2576020.58    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1849231 | PA      | $1699919.74    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60906533 | PA      | $48362226.40   | 0.26%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |      1180000 | PA      | $1185570.54    | 0.01%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                         | Civitas Resources Inc                                                            | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       429000 | PA      | $435537.10     | 0.00%             | 2030-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Atlas Funding                                                 | Atlas Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400BMBKLDPBSN2U43 | Long             | ABS-MBS          | CORP              | GB        |       342654 | PA      | $471883.76     | 0.00%             | 2061-09-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXIII Ltd                                                   | CUSIP: 55820TAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       900000 | PA      | $901995.30     | 0.00%             | 2031-07-27      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FORMENTERA PARTNERS FUND II LP                                | FORMENTERA PARTNERS FUND II LP                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5983089 | NS      | $5145456.54    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       521785 | PA      | $514457.59     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       437870 | PA      | $428538.24     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5643610 | PA      | $5325091.99    | 0.03%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        67175 | PA      | $61956.77      | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                        | Argent Securities Trust 2006-M1                                                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3620060 | PA      | $965962.78     | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13564476 | PA      | $13913375.01   | 0.07%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                | Structured Asset Securities Corp Assistance Loan Trust 2003-AL2                  | CUSIP: 86359AWR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41935 | PA      | $39875.53      | 0.00%             | 2031-01-25      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Trust                                    | Home Equity Mortgage Trust 2006-2                                                | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1634217 | PA      | $153811.87     | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2025-NQM1                                    | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |       679356 | PA      | $685180.39     | 0.00%             | 2065-01-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                              | Trestles CLO VI Ltd                                                              | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |      2430000 | PA      | $2428901.64    | 0.01%             | 2038-04-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1602910 | PA      | $1434756.80    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       835709 | PA      | $841774.82     | 0.00%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3823523 | PA      | $3089377.85    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                      | Auto ABS Italian Stella Loans 2024-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       416572 | PA      | $494576.03     | 0.00%             | 2036-12-29      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS DOMINION ENERGY INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-559228.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                | EFMT 2025-INV1                                                                   | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5630283 | PA      | $5644707.41    | 0.03%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| AURORA INNOVATION INC                                         | AURORA INNOVATION INC -CW28                                                      | CUSIP: 051774115<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        16026 | NC      | $13939.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SESAC Finance, LLC                                            | Sesac Finance LLC                                                                | CUSIP: 78396YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3431952 | PA      | $3424918.71    | 0.02%             | 2052-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                              | Georgia Power Co                                                                 | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      4674000 | PA      | $4775403.13    | 0.03%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1192060 | PA      | $1157937.45    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACE1<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      3250000 | PA      | $3264537.25    | 0.02%             | 2030-07-18      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2759000 | PA      | $2582426.23    | 0.01%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     17190000 | PA      | $17677735.31   | 0.09%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7345249 | PA      | $2629438.46    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 29 LTD                                                                        | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $300958.71     | 0.00%             | 2039-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                       | Home Equity Asset Trust 2006-3                                                   | CUSIP: 437084UT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2440000 | PA      | $2309772.08    | 0.01%             | 2036-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H032688<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32900000 | PA      | $29840374.35   | 0.16%             | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       111069 | PA      | $108905.39     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FDA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57914 | PA      | $51630.38      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3101503 | PA      | $805838.44     | 0.00%             | 2036-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                                      | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       742000 | PA      | $675278.32     | 0.00%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXII                                                                  | CUSIP: 03765XAL0<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250000.00     | 0.00%             | 2031-04-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -1647000 | PA      | $-1399026.66   | -0.01%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANDIRON FINANCING LLC                                         | ANDIRON FINANCING LLC                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       880000 | PA      | $879999.63     | 0.00%             | 2030-01-21      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820230000 | PA      | $1849577277.05 | 9.90%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANGKOK BANK PCL/HK                                           | Bangkok Bank PCL/Hong Kong                                                       | CUSIP: 000000000<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |       500000 | PA      | $498400.00     | 0.00%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3570000 | PA      | $3613120.96    | 0.02%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1613000 | PA      | $1604405.77    | 0.01%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                      | USD/HUF FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $11926.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J82N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80432 | PA      | $72819.15      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DV3Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1271854 | PA      | $1231662.73    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                                     | HMH Trust 2017-NSS                                                               | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2060000 | PA      | $1751000.00    | 0.01%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YAS1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000822.00    | 0.01%             | 2035-01-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| HILL FL                                                       | Hill FL 2024-2 BV                                                                | CUSIP: 000000000<br>LEI: 724500H2AN902EY7W191 | Long             | ABS-O            | CORP              | NL        |       500000 | PA      | $579997.84     | 0.00%             | 2032-10-18      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      5695000 | PA      | $4853355.94    | 0.03%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     37738600 | PA      | $28261199.34   | 0.15%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                                    | Henley CLO IV DAC                                                                | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |       750000 | PA      | $890214.19     | 0.00%             | 2034-04-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                         | Melco Resorts Finance Ltd                                                        | CUSIP: 000000000<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      8000000 | PA      | $7827040.00    | 0.04%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                           | MidOcean Credit CLO XI Ltd                                                       | CUSIP: 59801ABA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1530000 | PA      | $1529857.56    | 0.01%             | 2036-01-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18847156 | PA      | $17938127.53   | 0.10%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       368150 | PA      | $363909.41     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                               | Cameron LNG LLC                                                                  | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      8998000 | PA      | $7666579.17    | 0.04%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       202746 | PA      | $199129.27     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2890000 | PA      | $2882775.00    | 0.02%             | 2039-01-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                             | Trimaran Cavu 2021-2 Ltd                                                         | CUSIP: 89624UAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $252708.13     | 0.00%             | 2034-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3129406B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20355 | PA      | $20783.65      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                           | American International Group Inc                                                 | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       962000 | PA      | $805140.60     | 0.00%             | 2050-06-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                       | Philippine Government International Bond                                         | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     15450000 | PA      | $10857003.92   | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                      | Florida Power & Light Co                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      5738000 | PA      | $3877085.52    | 0.02%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2323000 | PA      | $2069470.10    | 0.01%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7287677 | PA      | $7456726.57    | 0.04%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70099000 | PA      | $63722340.02   | 0.34%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                           | Consumers Energy Co                                                              | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      3881000 | PA      | $3907873.56    | 0.02%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO XXIX Ltd                                                        | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1080000 | PA      | $1087057.04    | 0.01%             | 2034-07-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Emerald EMS                                                   | Emerald EMS                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1534349 | PA      | $1058701.14    | 0.01%             | 2027-12-29      | Floating      | 10.67%                | No            |                  3 | On Loan: No      |
| BXP Trust                                                     | BXP Trust 2017-CC                                                                | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       750000 | PA      | $626403.83     | 0.00%             | 2037-08-13      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RDK5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1749000 | PA      | $1446592.32    | 0.01%             | 2049-03-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       520000 | PA      | $519638.13     | 0.00%             | 2038-01-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXII                                                                  | CUSIP: 03765XAG1<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |        58011 | PA      | $58008.72      | 0.00%             | 2031-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                            | LONG GILT                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -15 | NC      | $3990.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6545164 | PA      | $6538717.46    | 0.03%             | 2037-03-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                      | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |      2132863 | PA      | $2026552.96    | 0.01%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loa                                | Morgan Stanley Home Equity Loan Trust 2006-3                                     | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1293923 | PA      | $898855.11     | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2932417 | PA      | $2695640.96    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO                                                 | Voya Euro CLO V DAC                                                              | CUSIP: 000000000<br>LEI: 549300IGE7MPYA8F0423 | Long             | ABS-CBDO         | CORP              | IE        |      1970000 | PA      | $2316602.62    | 0.01%             | 2035-04-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29415460 | PA      | $1437080.55    | 0.01%             | 2052-06-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                              | Duke Energy Corp                                                                 | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      1211000 | PA      | $940753.08     | 0.01%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                       | AEP Transmission Co LLC                                                          | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      4846000 | PA      | $3668873.02    | 0.02%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                    | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-114291.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415PXK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20053 | PA      | $20278.29      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2891200 | PA      | $2914460.28    | 0.02%             | 2064-06-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2006-3                                            | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153253 | PA      | $146677.72     | 0.00%             | 2036-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2924749 | PA      | $2322207.46    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust Series 2024-VIS2                                        | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2216000 | PA      | $2220835.76    | 0.01%             | 2064-11-25      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | USD/COP FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-141729.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                                         | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       598000 | PA      | $553155.98     | 0.00%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YMQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       367210 | PA      | $344050.43     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDIA GREEN POWER HOLD                                        | India Green Power Holdings                                                       | CUSIP: 000000000<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |      7299372 | PA      | $7071266.43    | 0.04%             | 2027-02-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       294042 | PA      | $277359.81     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Series 2014-9R                                                              | CUSIP: 12648UBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532424 | PA      | $437719.91     | 0.00%             | 2036-08-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     23568000 | PA      | $24368544.39   | 0.13%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                        | Mosaic Solar Loan Trust 2023-1                                                   | CUSIP: 61945VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       380609 | PA      | $360893.67     | 0.00%             | 2053-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                        | Lumen Technologies Inc                                                           | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |       571631 | NS      | $2503743.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3879000 | PA      | $3072319.28    | 0.02%             | 2067-02-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92997 | PA      | $87861.62      | 0.00%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2413909 | PA      | $2432886.02    | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       105968 | PA      | $111090.90     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     16630000 | PA      | $16642869.96   | 0.09%             | 2031-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6810000 | PA      | $6837240.00    | 0.04%             | 2037-10-21      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11200500 | PA      | $9284885.54    | 0.05%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                                | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       560235 | PA      | $539324.03     | 0.00%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                   | Gartner Inc                                                                      | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      5443000 | PA      | $5093332.97    | 0.03%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138AEKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63402 | PA      | $63042.89      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55131465 | PA      | $44909663.69   | 0.24%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       327576 | PA      | $303484.88     | 0.00%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                                | USD/PEN FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |            1 | NC      | $78641.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital CLO 9 Ltd                                                       | CUSIP: 25254AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       593000 | PA      | $592407.00     | 0.00%             | 2038-04-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AW3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |      2080000 | PA      | $2086659.54    | 0.01%             | 2037-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715486 | PA      | $334681.62     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Flowco Holdings Inc                                           | Flowco Holdings Inc                                                              | CUSIP: 342909108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       151569 | NS      | $2699443.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HIH Trust                                                     | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1241420 | PA      | $1238316.21    | 0.01%             | 2041-10-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       254857 | PA      | $242156.69     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                                          | WEST Trust 2025-ROSE                                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2278000 | PA      | $2306659.06    | 0.01%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO Residential Funding Trust 2023-NQM6                                        | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       662000 | PA      | $666923.89     | 0.00%             | 2063-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                                      | SoFi Personal Loan Trust 2023-1                                                  | CUSIP: 78474NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4317249 | PA      | $4368812.51    | 0.02%             | 2030-11-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                                      | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       210000 | PA      | $209372.10     | 0.00%             | 2032-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5377035 | PA      | $5385436.65    | 0.03%             | 2041-04-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4165000 | PA      | $4169967.18    | 0.02%             | 2033-04-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trus                                | Spruce Hill Mortgage Loan Trust 2022-SH1                                         | CUSIP: 85213XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       876342 | PA      | $838937.82     | 0.00%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       295608 | PA      | $286353.69     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     23235000 | PA      | $23660174.71   | 0.13%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                     | HIH Trust 2024-61P                                                               | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3280895 | PA      | $3282945.65    | 0.02%             | 2041-10-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3832925 | PA      | $3644022.01    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOLARIS ENERGY INFRASTRU                                      | Solaris Energy Infrastructure Inc                                                | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      4635000 | PA      | $6184828.13    | 0.03%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                                                | Octagon 56 Ltd                                                                   | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250760.23     | 0.00%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                          | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UBA6<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250590.50     | 0.00%             | 2037-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                                           | Elmwood CLO III Ltd                                                              | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       670000 | PA      | $671730.28     | 0.00%             | 2037-07-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2620000 | PA      | $2629563.79    | 0.01%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                      | Redwood Funding Trust 2023-1                                                     | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       398465 | PA      | $397080.67     | 0.00%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97193 | PA      | $93938.55      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     11481000 | PA      | $11580360.13   | 0.06%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                               | CVS Health Corp                                                                  | CUSIP: 126650BR0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1843000 | PA      | $1889580.20    | 0.01%             | 2039-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| iShares 0-5 Year High Yield Corporate Bond ETF                | iShares 0-5 Year High Yield Corporate Bond ETF                                   | CUSIP: 46434V407<br>LEI: 549300R96U5WQ7R5ID10 | Long             | EC               | RF                | US        |      1105807 | NS      | $47704513.98   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| VANTAGE DATA CENTERS GERMANY B                                | Vantage Data Centers Germany Borrower Lux Sarl                                   | CUSIP: 000000000<br>LEI: 2549008VW14T3IH21H24 | Long             | ABS-O            | CORP              | LU        |      4157000 | PA      | $4915076.43    | 0.03%             | 2050-06-28      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19151 | PA      | $16266.25      | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS USD                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $367341.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414M6Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5123 | PA      | $5223.26       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO 2 Ltd                                                            | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       870000 | PA      | $872934.08     | 0.00%             | 2037-10-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                                | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950556 | PA      | $517611.04     | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                          | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      3475000 | PA      | $3128877.84    | 0.02%             | 2030-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SUN COUNTRY 2019-1B                                           | SUN COUNTRY 2019-1B                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       567613 | PA      | $563356.03     | 0.00%             | 2025-12-15      | Fixed         | 4.70%                 | No            |                  3 | On Loan: No      |
| BWAY Mortgage Trust                                           | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1265851.58    | 0.01%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2016-C32                                   | CUSIP: 94989YBG7<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |      1765176 | PA      | $1760965.88    | 0.01%             | 2059-01-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -20115000 | PA      | $-18699312.13  | -0.10%            | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524386000 | PA      | $501534034.21  | 2.68%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                              | T-Mobile USA Inc                                                                 | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     22054000 | PA      | $21602979.38   | 0.12%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     12004000 | PA      | $12322285.82   | 0.07%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                       | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6746636 | PA      | $6707578.88    | 0.04%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2314702 | PA      | $2160869.96    | 0.01%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26671000 | PA      | $14981600.78   | 0.08%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XLII Ltd                                                    | CUSIP: 55822RAA8<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |       267179 | PA      | $267245.47     | 0.00%             | 2030-11-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1570000 | PA      | $1569333.85    | 0.01%             | 2038-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                              | Duke Energy Corp                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     19104000 | PA      | $18653067.08   | 0.10%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                   | Oracle Corp                                                                      | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     16005000 | PA      | $14576711.08   | 0.08%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1B PTT                                        | Air Canada 2017-1 Class B Pass Through Trust                                     | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |         9094 | PA      | $8983.87       | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                                    | RIAL 2022-FL8 Issuer Ltd                                                         | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      7240872 | PA      | $7245880.89    | 0.04%             | 2037-01-19      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DV6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       175365 | PA      | $169769.07     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                                      | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     34911000 | PA      | $36541195.09   | 0.20%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5732860 | PA      | $5109798.12    | 0.03%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2191344 | PA      | $2035275.45    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1108562 | PA      | $1005559.99    | 0.01%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10710300 | PA      | $10790208.91   | 0.06%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                                | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5810000 | PA      | $22862.35      | 0.00%             | 2058-05-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2023-DELC                                                               | CUSIP: 05610DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       461000 | PA      | $465321.88     | 0.00%             | 2038-05-15      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JUAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247111 | PA      | $240370.89     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2669000 | PA      | $1711395.09    | 0.01%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4822117 | PA      | $3896173.51    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                                         | AIMCO CLO 23 Ltd                                                                 | CUSIP: 00901JAA6<br>LEI: 254900JY4GSBXW978G85 | Long             | ABS-CBDO         | CORP              | KY        |      1270000 | PA      | $1268426.47    | 0.01%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54803000 | PA      | $54231421.70   | 0.29%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       898620 | PA      | $852664.04     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       253589 | PA      | $251620.73     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8719876 | PA      | $8398120.88    | 0.04%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS AMERICAN EXPRESS CO                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-601178.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                        | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20919000 | PA      | $20551618.22   | 0.11%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-909782.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4888232 | PA      | $4620501.41    | 0.02%             | 2037-04-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YUQD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207825 | PA      | $202756.61     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1088061 | PA      | $297959.31     | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                           | SC Germany SA Compartment Consumer 2025-1                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | DE        |       500000 | PA      | $593156.13     | 0.00%             | 2038-12-14      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXII                                                                  | CUSIP: 03765XAN6<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |       850000 | PA      | $854901.95     | 0.00%             | 2031-04-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                      | OCP SA                                                                           | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      6785000 | PA      | $7019353.90    | 0.04%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BBA5<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250292.53     | 0.00%             | 2030-10-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418MGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          790 | PA      | $809.16        | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       267730 | PA      | $258305.84     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |      6060415 | PA      | $2105808.11    | 0.01%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16983321 | PA      | $16617788.72   | 0.09%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       512095 | PA      | $491018.60     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                      | Discovery Communications LLC                                                     | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      1375000 | PA      | $1372772.50    | 0.01%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       610000 | PA      | $614305.87     | 0.00%             | 2037-04-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97919 | PA      | $92932.12      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       927739 | PA      | $850716.53     | 0.00%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25909000 | PA      | $20688741.20   | 0.11%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                           | CBAM 2019-10 Ltd                                                                 | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | KY        |      2950281 | PA      | $2954490.51    | 0.02%             | 2032-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6DM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       235341 | PA      | $224097.08     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDIA CLEAN ENERGY HLDG                                       | India Clean Energy Holdings                                                      | CUSIP: 000000000<br>LEI: 254900XQFJ9593DCY022 | Long             | DBT              | CORP              | MU        |     14000000 | PA      | $13503000.00   | 0.07%             | 2027-04-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL LTD                                         | Thames Water Utilities Ltd                                                       | CUSIP: 882918AA3<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |        20970 | PA      | $24008.49      | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1740000 | PA      | $1748168.08    | 0.01%             | 2031-06-16      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2570000 | PA      | $0.26          | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $513708.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCF Rahoituspalvelut DAC                                      | SCF Rahoituspalvelut XIII DAC                                                    | CUSIP: 000000000<br>LEI: 875500BJTX1DZ2QIPK23 | Long             | ABS-O            | CORP              | IE        |       400000 | PA      | $471154.56     | 0.00%             | 2034-06-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                 | AEP Texas Inc                                                                    | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      2879000 | PA      | $1931752.97    | 0.01%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       921000 | PA      | $941000.03     | 0.01%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LXXI Ltd                                                    | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1897198.83    | 0.01%             | 2038-04-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2818651 | PA      | $2463477.87    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                              | Alabama Power Co                                                                 | CUSIP: 010392FJ2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      1106000 | PA      | $889060.61     | 0.00%             | 2042-12-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO X Ltd                                                | CUSIP: 08181LAW7<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |       710000 | PA      | $711852.75     | 0.00%             | 2034-04-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5783717 | PA      | $5932254.04    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIERRACOL ENRGY ANDINA                                        | SierraCol Energy Andina LLC                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       248000 | PA      | $229319.40     | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       488177 | PA      | $475001.85     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       589307 | PA      | $570466.28     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       818000 | PA      | $832344.28     | 0.00%             | 2032-06-21      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140A0S75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3073676 | PA      | $3202218.46    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 65 CLO Ltd                                                                | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $300620.58     | 0.00%             | 2030-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                          | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                       | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       494458 | PA      | $408127.74     | 0.00%             | 2035-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital Clo 17 Ltd                                                     | CUSIP: 03332PAN7<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |     11115000 | PA      | $11126145.01   | 0.06%             | 2038-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     32255000 | PA      | $33625837.50   | 0.18%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138MBKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93135 | PA      | $89730.15      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H36P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154320 | PA      | $141462.47     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252358 | PA      | $243081.01     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2020-3                                                  | CUSIP: 03465LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       974821 | PA      | $931660.72     | 0.00%             | 2065-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                          | ACE Securities Corp Home Equity Loan Trust Series 2006-CW1                       | CUSIP: 00441QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       217240 | PA      | $175825.48     | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1626728 | PA      | $1501287.64    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        75925 | PA      | $65356.31      | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Inc Asset-Backed Certificates Trust 2004-5                                 | CUSIP: 1266716J0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       285905 | PA      | $282199.18     | 0.00%             | 2034-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       549843 | PA      | $519967.31     | 0.00%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| EVGO INC                                                      | EVGO INC                                                                         | CUSIP: 30052F118<br>LEI: 254900NJU5Y3D9R42S26 | N/A              | DE               | CORP              | US        |        75790 | NC      | $16673.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3030 | PA      | $3109.13       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1798958 | PA      | $1803611.04    | 0.01%             | 2037-09-17      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2020-RPL1                                    | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6210000 | PA      | $4727904.01    | 0.03%             | 2059-11-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040479<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |       -63000 | PA      | $-61615.32     | -0.00%            | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                           | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7608000 | PA      | $7550940.00    | 0.04%             | 2036-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56780 | PA      | $53732.95      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3444071 | PA      | $3165959.19    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust   | CUSIP: 93935YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       609321 | PA      | $500108.56     | 0.00%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -5005000 | PA      | $-4148998.00   | -0.02%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47086014 | PA      | $42874023.20   | 0.23%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK                 | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 1VUV7VQFKUOQSJ21A208 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-60226.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3348000 | PA      | $3392958.82    | 0.02%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                 | American Home Mortgage Assets Trust 2006-4                                       | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1544748 | PA      | $778160.64     | 0.00%             | 2046-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| OCEANA A NOTE 4 YEAR                                          | OCEANA A NOTE 4 YEAR                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |      5022000 | PA      | $3466524.49    | 0.02%             | 2027-07-31      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| DISH NETWORK CORP                                             | DISH Network Corp                                                                | CUSIP: 25470MAF6<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      3089000 | PA      | $2780100.00    | 0.01%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                                    | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1327100 | PA      | $1030745.43    | 0.01%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      4161000 | PA      | $4167152.45    | 0.02%             | 2035-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15138404 | PA      | $201643.54     | 0.00%             | 2035-08-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        94670 | PA      | $92591.33      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65942000 | PA      | $62029269.44   | 0.33%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       759500 | PA      | $564554.50     | 0.00%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                         | Sycamore Tree CLO 2025-6 Ltd                                                     | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |      1350000 | PA      | $1349811.68    | 0.01%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1413000 | PA      | $1334030.82    | 0.01%             | 2034-11-15      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                | CWABS Revolving Home Equity Loan Trust Series 2004-U                             | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       143787 | PA      | $143432.82     | 0.00%             | 2034-03-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     24619000 | PA      | $22002276.53   | 0.12%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                              | FirstEnergy Corp                                                                 | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     15086000 | PA      | $12818937.62   | 0.07%             | 2047-07-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JAST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       210848 | PA      | $197778.23     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37507644 | PA      | $30559938.13   | 0.16%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5170000 | PA      | $5185262.36    | 0.03%             | 2037-10-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                     | CDS CREDIT SUISSE GROUP AG                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-83444.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74338 | PA      | $75997.65      | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     81573000 | PA      | $81933068.12   | 0.44%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91964871 | PA      | $92100568.12   | 0.49%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                         | Antero Resources Corp                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     40064000 | PA      | $40320329.47   | 0.22%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |     18450600 | NC      | $591135.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LBA Trust                                                     | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       825000 | PA      | $826546.88     | 0.00%             | 2041-10-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                              | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |      3925000 | PA      | $3939025.60    | 0.02%             | 2036-07-24      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT A                                       | Spirit Airlines Pass Through Trust 2017-1A                                       | CUSIP: 84858XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2695212 | PA      | $2334024.76    | 0.01%             | 2030-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                             | DISH Network Corp                                                                | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |       892000 | PA      | $740806.00     | 0.00%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61918 | PA      | $60328.82      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8210000 | PA      | $8236796.62    | 0.04%             | 2037-07-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Trust 2017-PFHP                                                             | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       504878 | PA      | $503386.49     | 0.00%             | 2030-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers Clo 40 Ltd                                        | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |      3907718 | PA      | $3911625.37    | 0.02%             | 2033-04-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                                 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA4/DE                 | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       745984 | PA      | $681140.16     | 0.00%             | 2047-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      2487000 | PA      | $1930049.61    | 0.01%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       916232 | PA      | $817261.61     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                | JPMBB Commercial Mortgage Securities Trust 2014-C22                              | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122672 | PA      | $1.28          | 0.00%             | 2047-09-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| CRSO 2023-BRND A                                              | CRSO 2023-BRND A                                                                 | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2270716 | PA      | $2382302.16    | 0.01%             | 2040-07-12      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221005 | PA      | $83057.96      | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19667297 | PA      | $20402753.80   | 0.11%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1880000 | PA      | $1904160.26    | 0.01%             | 2039-11-05      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      3140000 | PA      | $3147850.00    | 0.02%             | 2038-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |       372380 | PA      | $373612.32     | 0.00%             | 2038-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1062202 | PA      | $919816.39     | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       386434 | PA      | $368276.17     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                            | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2579543 | PA      | $291117.17     | 0.00%             | 2056-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXVII                                                                | CUSIP: 03769HAG2<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251359.78     | 0.00%             | 2034-10-22      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                  | SG Mortgage Securities Trust 2006-FRE2                                           | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       857032 | PA      | $175668.03     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                            | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                    | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       517529 | PA      | $229014.40     | 0.00%             | 2057-05-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     14885000 | PA      | $14924454.48   | 0.08%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                                | CFCRE Commercial Mortgage Trust 2016-C3                                          | CUSIP: 12531WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       410000 | PA      | $407872.51     | 0.00%             | 2048-01-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | C-BASS 2006-CB7 TRUST                                                            | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       348049 | PA      | $238048.46     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PGA National Resort Commercial                                | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2559000 | PA      | $2563093.89    | 0.01%             | 2039-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26894783 | PA      | $27432792.72   | 0.15%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                               | CDS ITRAXX.FINSR.43.V1                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-1256630.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16643 | PA      | $16180.34      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       466372 | PA      | $459393.53     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lake George Park CLO Ltd                                      | Lake George Park CLO Ltd                                                         | CUSIP: 509827AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1350000 | PA      | $1349582.31    | 0.01%             | 2038-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2015-B                                          | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |       595155 | PA      | $591437.49     | 0.00%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       877076 | PA      | $902730.40     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       522000 | PA      | $519046.84     | 0.00%             | 2041-10-15      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      3266000 | PA      | $3022782.74    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5858316 | PA      | $5147936.58    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                   | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2091300 | PA      | $2092607.06    | 0.01%             | 2036-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 76 CLO Ltd                                                                | CUSIP: 26252WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1003969.00    | 0.01%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                          | New Mountain CLO 2 Ltd                                                           | CUSIP: 64754LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1990000 | PA      | $1995955.27    | 0.01%             | 2038-01-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6170000 | PA      | $6196763.61    | 0.03%             | 2037-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                   | Taurus 2025-2 UK DAC                                                             | CUSIP: 000000000<br>LEI: 635400ZUSGYHROR9ZX12 | Long             | ABS-MBS          | CORP              | IE        |      5022595 | PA      | $6909893.83    | 0.04%             | 2035-02-18      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                                 | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865685 | PA      | $815151.62     | 0.00%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                                | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14374540 | PA      | $14538116.66   | 0.08%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216255 | PA      | $194302.11     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED              | USD/AUD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-43567.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                       | AEP Transmission Co LLC                                                          | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1420246.33    | 0.01%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                         | Vale Overseas Ltd                                                                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      8815000 | PA      | $8616750.65    | 0.05%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds T-Fund                              | BlackRock Liquidity Funds T-Fund                                                 | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |    490309779 | NS      | $490309778.77  | 2.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2990600 | PA      | $2590336.00    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Medical Solutions Holdings Inc                                | Medical Solutions Holdings Inc                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1587000 | PA      | $669190.29     | 0.00%             | 2029-11-01      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417KZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116883 | PA      | $116616.92     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2134941 | PA      | $2023643.32    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                        | Bletchley Park Funding 2025-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400OJVL3HJJTKNB05 | Long             | ABS-MBS          | CORP              | GB        |       891000 | PA      | $1223453.10    | 0.01%             | 2070-01-27      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                | WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust                        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       818783 | PA      | $725555.21     | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                                       | Greenwood Park CLO Ltd                                                           | CUSIP: 39729RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       213334 | PA      | $213658.34     | 0.00%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12627890 | PA      | $10646845.98   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-545546.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 7 Ltd                                                               | CUSIP: 37149LAL1<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |      5673000 | PA      | $5694699.79    | 0.03%             | 2037-04-22      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       367492 | PA      | $344205.67     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                | TRS CFD EQUITY BASKET                                                            | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |            1 | NC      | $209786.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset                                | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                  | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221734 | PA      | $212658.05     | 0.00%             | 2034-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2442020 | PA      | $2187333.45    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Noria                                                         | Noria DE 2024                                                                    | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |       500000 | PA      | $589582.23     | 0.00%             | 2043-02-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                         | Civitas Resources Inc                                                            | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      1980000 | PA      | $1955199.11    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      4042000 | PA      | $4058252.88    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VEDANTA HOLDINGS MAURITIUS II LTD                             | VEDANTA HOLDINGS MAURITIUS II LTD                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | MU        |      2015950 | PA      | $2036109.43    | 0.01%             | 2026-04-17      | Floating      | 18.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1341353 | PA      | $1078427.64    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hydrofarm Holdings Group Inc                                  | Hydrofarm Holdings Group Inc                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2094927 | PA      | $1696891.23    | 0.01%             | 2028-10-25      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Pierpont BTL                                                  | Pierpont BTL 2024-1 PLC                                                          | CUSIP: 000000000<br>LEI: 6354004XBFL8EVVJME24 | Long             | ABS-MBS          | CORP              | GB        |       322000 | PA      | $443605.69     | 0.00%             | 2061-09-21      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2958000 | PA      | $2884654.44    | 0.02%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8378636 | PA      | $7732848.19    | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       840000 | PA      | $841009.26     | 0.00%             | 2034-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                   | Equinix Inc                                                                      | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     18260000 | PA      | $17294457.03   | 0.09%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87956 | PA      | $84275.09      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4963989 | PA      | $4960886.51    | 0.03%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2023-VLT3                                           | CUSIP: 05611GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1720000 | PA      | $1720000.00    | 0.01%             | 2028-11-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2022-4                                                | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       616000 | PA      | $553088.91     | 0.00%             | 2067-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                    | USD/CZK FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-242392.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4739087 | PA      | $4364960.54    | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2015-I Ltd                                                          | CUSIP: 12548MBG9<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250277.35     | 0.00%             | 2031-01-22      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15240668 | PA      | $12832306.91   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | BNP Paribas SA                                                                   | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       462000 | PA      | $448733.16     | 0.00%             | N/A             | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                     | PG&E Corp                                                                        | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     24263000 | PA      | $22977549.90   | 0.12%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       488200 | PA      | $511801.77     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                          | Raizen Fuels Finance SA                                                          | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      2955000 | PA      | $2957904.77    | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62940 | PA      | $60550.13      | 0.00%             | 2035-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2261158 | PA      | $1907469.15    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                      | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14735000 | PA      | $14616802.76   | 0.08%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54596925 | PA      | $46056586.22   | 0.25%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10063925 | PA      | $10150743.51   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54694700 | PA      | $37619698.34   | 0.20%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                 | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |      2948000 | PA      | $2957728.40    | 0.02%             | 2037-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                              | CVC Cordatus Loan Fund V DAC                                                     | CUSIP: 000000000<br>LEI: 635400Y6CUJR2Y6EHY69 | Long             | ABS-CBDO         | CORP              | IE        |       250000 | PA      | $294031.72     | 0.00%             | 2030-07-21      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                                | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |      2015582 | PA      | $2028202.45    | 0.01%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-181771.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEAN RENEWABLE POWER                                         | Clean Renewable Power Mauritius Pte Ltd                                          | CUSIP: 000000000<br>LEI: 2138003P9CSDW7P4MT75 | Long             | DBT              | CORP              | MU        |      6440000 | PA      | $6238750.00    | 0.03%             | 2027-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5778534 | PA      | $4645061.45    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                           | DBGS 2018-5BP Mortgage Trust                                                     | CUSIP: 33830CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2890000 | PA      | $2666025.00    | 0.01%             | 2033-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -887000 | PA      | $-871164.58    | -0.00%            | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022477<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9536000 | PA      | $8901503.93    | 0.05%             | 2040-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415VYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14085 | PA      | $14536.37      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                            | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1492565 | PA      | $225418.45     | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                     | CZK/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-452581.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HoustonCenter(A)Loan/Term                                     | HoustonCenter(A)Loan/Term                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5515273 | PA      | $5118867.26    | 0.03%             | 2030-05-09      | Floating      | 5.75%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47202000 | PA      | $47559702.42   | 0.25%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2014-1 Ltd                                                              | CUSIP: 92915PAH8<br>LEI: 549300ITL5IR423IJ183 | Long             | ABS-CBDO         | CORP              | KY        |      1435170 | PA      | $1437264.14    | 0.01%             | 2031-04-18      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415AZP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          407 | PA      | $417.86        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 77 B Ltd                                              | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2252462 | PA      | $2255407.32    | 0.01%             | 2038-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       940637 | PA      | $881904.61     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71835 | PA      | $70532.59      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LATAM AIRLINES GROUP SA                                       | Latam Airlines Group SA                                                          | CUSIP: 51817RAE6<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |      7120000 | PA      | $7130680.00    | 0.04%             | 2031-01-07      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                            | 3MO EURO EURIBOR                                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -36 | NC      | $-574.18       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CART                                                          | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3280000 | PA      | $3267660.31    | 0.02%             | 2041-08-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175544 | PA      | $166888.67     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                | PECO Energy Co                                                                   | CUSIP: 693304AW7<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      1211000 | PA      | $944689.90     | 0.01%             | 2048-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAQ8<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |       660000 | PA      | $660985.25     | 0.00%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2006-OA4                                         | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1205166 | PA      | $327803.31     | 0.00%             | 2046-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |       465000 | PA      | $465793.20     | 0.00%             | 2031-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9408372 | PA      | $392333.82     | 0.00%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY CO LTD                                            | Studio City Co Ltd                                                               | CUSIP: 000000000<br>LEI: 984500V5401EFT095A58 | Long             | DBT              | CORP              | VG        |      9800000 | PA      | $9818473.00    | 0.05%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                                        | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2681353 | PA      | $2682901.75    | 0.01%             | 2036-08-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26566 | PA      | $23775.73      | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                  | Morgan Stanley Resecuritization Trust 2013-R7                                    | CUSIP: 61690PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633050 | PA      | $586918.27     | 0.00%             | 2046-12-26      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                | ILPT Commercial Mortgage Trust 2022-LPF2                                         | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8681800 | PA      | $8670947.75    | 0.05%             | 2039-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo I Ltd                                                               | CUSIP: 96467FBC3<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      4120000 | PA      | $4113113.01    | 0.02%             | 2036-07-24      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                                  | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |     14335000 | PA      | $14387579.35   | 0.08%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                   | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2365166 | PA      | $2212741.38    | 0.01%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        52666 | PA      | $49094.94      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                           | Affirm Master Trust                                                              | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1155000 | PA      | $1162486.71    | 0.01%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1966 | PA      | $1992.06       | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                        | AUST 10Y BOND                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -668 | NC      | $-482013.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                      | Discovery Communications LLC                                                     | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     11871000 | PA      | $11344402.44   | 0.06%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26595 | PA      | $26534.33      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROJECT MONTAGE TL                                            | PROJECT MONTAGE TL                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6475356 | PA      | $6313472.11    | 0.03%             | 2029-02-16      | Floating      | 10.33%                | No            |                  3 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     12448000 | PA      | $12450419.89   | 0.07%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                     | Amgen Inc                                                                        | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      1252000 | PA      | $1217181.77    | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                                | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       226930 | PA      | $70760.51      | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8360000 | PA      | $8357384.16    | 0.04%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4753117 | PA      | $4804033.61    | 0.03%             | 2065-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                 | State of California                                                              | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     22215000 | PA      | $22583402.03   | 0.12%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XCGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       606341 | PA      | $569060.64     | 0.00%             | 2051-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410LHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72020 | PA      | $71343.80      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XVIII Ltd                                                   | CUSIP: 55819BAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       610000 | PA      | $611273.68     | 0.00%             | 2030-10-21      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                      | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12397054 | PA      | $371886.83     | 0.00%             | 2052-03-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2019-1 Ltd                                                              | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |      3620000 | PA      | $3634381.90    | 0.02%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       154819 | PA      | $149681.70     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Panorama Auto Trust                                           | Panorama Auto Trust 2025-1                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |       732000 | PA      | $477632.25     | 0.00%             | 2033-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       914000 | PA      | $937296.49     | 0.01%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14187655 | PA      | $14323856.64   | 0.08%             | 2056-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | RAD CLO 23 Ltd                                                                   | CUSIP: 75009CAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1400000 | PA      | $1408582.00    | 0.01%             | 2037-04-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2007-1                                           | CUSIP: 170255AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       404894 | PA      | $179063.62     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3913000 | PA      | $4014423.39    | 0.02%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA                                                  | AES Andes SA                                                                     | CUSIP: 000000000<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |      3663000 | PA      | $3748915.67    | 0.02%             | 2029-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Castell                                                       | Castell 2025-1 PLC                                                               | CUSIP: 000000000<br>LEI: 2138002O8DSFIQGKRU14 | Long             | ABS-MBS          | CORP              | GB        |       233000 | PA      | $319997.92     | 0.00%             | 2062-01-27      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                      | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     16619000 | PA      | $16142533.27   | 0.09%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XM6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       218163 | PA      | $204681.13     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12618022 | PA      | $12507538.24   | 0.07%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                              | Crown Castle Inc                                                                 | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1531139.37    | 0.01%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2293250 | PA      | $1969758.77    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11111788 | PA      | $10479192.76   | 0.06%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       625481 | PA      | $589237.44     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95808801 | PA      | $3398769.30    | 0.02%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                            | THAMES WATER UTILITIES FINANCE PLC                                               | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      2796000 | PA      | $2674239.73    | 0.01%             | 2027-06-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |      3570000 | PA      | $3578321.67    | 0.02%             | 2034-11-14      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LXII Ltd                                                    | CUSIP: 55817HAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3020000 | PA      | $3020000.00    | 0.02%             | 2036-07-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2018-CX12 Commercial Mortgage Trust                                        | CUSIP: 12595XAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       570000 | PA      | $522791.06     | 0.00%             | 2051-08-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       204965 | PA      | $199859.13     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                               | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     18873000 | PA      | $16813059.61   | 0.09%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97455 | PA      | $99845.76      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39263 | PA      | $39697.66      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     32411000 | PA      | $35590032.94   | 0.19%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                   | Legacy Mortgage Asset Trust 2021-GS2                                             | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14133428 | PA      | $14130144.91   | 0.08%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2730000 | PA      | $2012333.23    | 0.01%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                                           | Elmwood CLO VI Ltd                                                               | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3381000 | PA      | $3391502.06    | 0.02%             | 2037-07-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| TEXAS ST                                                      | State of Texas                                                                   | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      5715000 | PA      | $5881128.38    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                                     | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4645948 | PA      | $4643588.79    | 0.02%             | 2038-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                       | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16648000 | PA      | $14652146.20   | 0.08%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |      1570000 | PA      | $1575001.86    | 0.01%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                      | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |      5222725 | PA      | $5250928.05    | 0.03%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250681.15     | 0.00%             | 2037-07-23      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                                  | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       830000 | PA      | $838892.04     | 0.00%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QL4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1195475 | PA      | $1148483.29    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       466867 | PA      | $419567.18     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FG6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1360170 | PA      | $1323638.41    | 0.01%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                         | Terwin Mortgage Trust Series TMTS 2005-10HE                                      | CUSIP: 881561VF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       358302 | PA      | $319813.49     | 0.00%             | 2036-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15470000 | PA      | $15496155.13   | 0.08%             | 2038-01-21      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-144734.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10452 | PA      | $9995.04       | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                                    | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1190000 | PA      | $1191690.75    | 0.01%             | 2038-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          603 | PA      | $593.89        | 0.00%             | 2063-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2004-HE7                            | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4742 | PA      | $4677.11       | 0.00%             | 2034-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2013-3 Ltd                                  | CUSIP: 14310GAN0<br>LEI: 6354006XBJTNRUJOLM20 | Long             | ABS-CBDO         | CORP              | KY        |         8111 | PA      | $8110.93       | 0.00%             | 2030-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | CDS BORGWARNER INC                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-16093.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TTAN                                                          | TTAN 2021-MHC                                                                    | CUSIP: 87303TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       752895 | PA      | $753365.12     | 0.00%             | 2038-03-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2232227 | PA      | $2240479.37    | 0.01%             | 2064-01-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | USD/BRL FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1774640.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     62850000 | PA      | $63326284.84   | 0.34%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     14213000 | PA      | $14759631.98   | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       139756 | PA      | $135806.85     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                                 | Alen 2021-ACEN Mortgage Trust                                                    | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1144000 | PA      | $1095380.00    | 0.01%             | 2034-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7L94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       335933 | PA      | $327235.04     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                              | UWM Holdings LLC                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1497000 | PA      | $1498547.10    | 0.01%             | 2030-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3276000 | PA      | $3035517.98    | 0.02%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | US 5YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         9837 | NC      | $12785698.88   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                                        | CSTL Commercial Mortgage Trust 2024-GATE                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8300000 | PA      | $8293301.07    | 0.04%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8108747 | PA      | $8259787.53    | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                                | BOCA Commercial Mortgage Trust 2024-BOCA                                         | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1392000 | PA      | $1395480.00    | 0.01%             | 2041-08-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Small Business Origination Loa                                | Small Business Origination Loan Trust 2025-1 DAC                                 | CUSIP: 000000000<br>LEI: 635400ZO4NUYBCC9ZI87 | Long             | ABS-CBDO         | CORP              | IE        |       194639 | PA      | $264991.07     | 0.00%             | 2036-12-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7592773 | PA      | $2259413.38    | 0.01%             | 2060-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5516795 | PA      | $5174816.68    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                       | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |       400000 | PA      | $103659.60     | 0.00%             | 2017-05-08      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181815 | PA      | $177710.31     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250032.80     | 0.00%             | 2031-04-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                 | AppLovin Corp                                                                    | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     16571000 | PA      | $16786688.80   | 0.09%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 94974BGK0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1232000 | PA      | $978728.00     | 0.01%             | 2045-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PROJECT INFINITY                                              | PROJECT INFINITY                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      9978136 | PA      | $9978136.00    | 0.05%             | 2027-09-11      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| BX Trust                                                      | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8160000 | PA      | $8210890.66    | 0.04%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 50 Senior Loan Fund                                                       | CUSIP: 262431AD1<br>LEI: 5493008NBEE3C4AF3K95 | Long             | ABS-CBDO         | CORP              | KY        |       450000 | PA      | $451200.42     | 0.00%             | 2030-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                           | SC Germany SA Compartment Consumer 2024-2                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |       500000 | PA      | $589878.49     | 0.00%             | 2038-05-14      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                        | Argent Securities Trust 2006-W2                                                  | CUSIP: 040104RW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       673092 | PA      | $368807.00     | 0.00%             | 2036-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| iShares iBoxx $ Investment Grade Corporate Bond ETF           | iShares iBoxx $ Investment Grade Corporate Bond ETF                              | CUSIP: 464287242<br>LEI: 549300FYCXFXG8POR355 | Long             | EC               | RF                | US        |        50350 | NS      | $5518863.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1518666 | PA      | $1398812.64    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 14983AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2708969 | PA      | $87860.80      | 0.00%             | 2036-09-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                          | FS Rialto 2024-FL9 Issuer LLC                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4627000 | PA      | $4644370.68    | 0.02%             | 2039-10-19      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                         | Indonesia Government International Bond                                          | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     17370000 | PA      | $16278990.30   | 0.09%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                                 | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       427805 | PA      | $374317.48     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XPDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14881 | PA      | $14659.76      | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XTUA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19115 | PA      | $18629.36      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1270000 | PA      | $1270939.17    | 0.01%             | 2037-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                            | Kings Park CLO Ltd                                                               | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       810000 | PA      | $811833.92     | 0.00%             | 2035-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                          | Targa Resources Corp                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      5609000 | PA      | $5255635.02    | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9834742 | PA      | $8794800.49    | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LESSEN HOLDINGS INC PREF                                      | LESSEN HOLDINGS INC PREF                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       143367 | NS      | $420065.31     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| T-MOBILE USA INC                                              | T-Mobile USA Inc                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      2403000 | PA      | $2447830.27    | 0.01%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       947707 | PA      | $944829.39     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                                     | ACREC 2023-FL2 LLC                                                               | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3847276 | PA      | $3849827.41    | 0.02%             | 2038-02-19      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                           | Euro-Galaxy III CLO DAC                                                          | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |       700000 | PA      | $830062.13     | 0.00%             | 2034-04-24      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                   | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4667927 | PA      | $4651610.75    | 0.02%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11024546 | PA      | $8796548.68    | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |       373300 | PA      | $373585.11     | 0.00%             | 2030-07-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72731 | PA      | $70948.73      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAC3<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      6190000 | PA      | $6213548.62    | 0.03%             | 2037-04-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2888680 | PA      | $1347395.73    | 0.01%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2105 | PA      | $2049.36       | 0.00%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YAQ5<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |       285600 | PA      | $285701.33     | 0.00%             | 2035-01-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                       | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      4626000 | PA      | $4366986.93    | 0.02%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3690000 | PA      | $3694612.50    | 0.02%             | 2041-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2024-2 LTD                                                     | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3270000 | PA      | $3277953.62    | 0.02%             | 2037-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                    | Morgan Stanley ABS Capital I Inc Trust 2006-HE8                                  | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1666681 | PA      | $721781.91     | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890412 | PA      | $1700748.70    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                          | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      3142000 | PA      | $3321973.76    | 0.02%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                                        | Digicel Group Holdings Ltd                                                       | CUSIP: 25381HAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       543605 | PA      | $32616.29      | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Deutsche Bank Commercial Mortg                                | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1430000 | PA      | $1409272.01    | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust Series 2024-VIS1                                        | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       507000 | PA      | $500966.09     | 0.00%             | 2064-07-25      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                                | Greystone CRE Notes 2025-FL4 LLC                                                 | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2077000 | PA      | $2078369.16    | 0.01%             | 2043-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1845320 | PA      | $1803912.27    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                      | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    439730000 | PA      | $66734253.90   | 0.36%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                      | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                           | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     10163000 | PA      | $9541735.81    | 0.05%             | 2026-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417JRB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5985 | PA      | $6118.01       | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WBD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96648 | PA      | $93456.42      | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        72014 | PA      | $68148.23      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65840000 | PA      | $64739237.50   | 0.35%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI PWR-OHIO INC OH                                 | American Municipal Power Inc                                                     | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      3555000 | PA      | $4514775.96    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                        | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6418975 | PA      | $6119541.24    | 0.03%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1961989 | PA      | $1964796.52    | 0.01%             | 2033-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020471<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5287000 | PA      | $4829969.36    | 0.03%             | 2040-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                        | Verizon Communications Inc                                                       | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      2687001 | PA      | $2703201.65    | 0.01%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                              | CSC Holdings LLC                                                                 | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       773000 | PA      | $770090.81     | 0.00%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                                    | Dwight 2025-FL1 Issuer LLC                                                       | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1148000 | PA      | $1147185.84    | 0.01%             | 2042-09-18      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                    | MIRA Trust 2023-MILE                                                             | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3432000 | PA      | $3571723.93    | 0.02%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90413 | PA      | $87430.11      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-39385.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                | Romark WM-R Ltd                                                                  | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2808137 | PA      | $2810732.52    | 0.02%             | 2031-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       700000 | PA      | $700583.73     | 0.00%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9008186 | PA      | $7246471.61    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3050174 | PA      | $2980878.90    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5900000 | PA      | $5857982.56    | 0.03%             | 2039-11-09      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                         | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   7782100000 | PA      | $48517006.76   | 0.26%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14833 | PA      | $14081.93      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JAQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3630790 | PA      | $3530079.53    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                                | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2                      | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898334 | PA      | $704596.84     | 0.00%             | 2037-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON INTL 23                                          | CK Hutchison International 23 Ltd                                                | CUSIP: 000000000<br>LEI: 2549003AJI1YI8883K46 | Long             | DBT              | CORP              | KY        |       640000 | PA      | $645184.00     | 0.00%             | 2028-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONNECTWISE LLC                                               | ConnectWise LLC                                                                  | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2696420 | PA      | $2707664.54    | 0.01%             | 2028-09-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                    | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |       359385 | PA      | $337329.06     | 0.00%             | 2047-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110385 | PA      | $30242.39      | 0.00%             | 2036-11-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                          | OneMain Finance Corp                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       125000 | PA      | $130059.35     | 0.00%             | 2031-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       338191 | PA      | $341621.92     | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26952828 | PA      | $22910184.86   | 0.12%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1158999 | PA      | $1002921.84    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SONDER1LPIKNOTES                                              | SONDER1LPIKNOTES                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10601498 | PA      | $9090784.75    | 0.05%             | 2027-12-10      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2022-NQM3 Trust                                                             | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3821000 | PA      | $3730545.85    | 0.02%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150000 | PA      | $1146745.62    | 0.01%             | 2038-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       907000 | PA      | $934168.72     | 0.00%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| OCEANA A NOTE 2 YEAR                                          | OCEANA A NOTE 2 YEAR                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |      2009000 | PA      | $1323942.24    | 0.01%             | 2025-07-31      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Wildwood Park CLO LTD                                         | Wildwood Park CLO Ltd                                                            | CUSIP: 96820DAA5<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |       900000 | PA      | $915714.72     | 0.00%             | 2037-10-20      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                            | Meta Platforms Inc                                                               | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |       617000 | PA      | $623697.81     | 0.00%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                      | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     15456000 | PA      | $13855318.83   | 0.07%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |     15968730 | NC      | $747325.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                            | VNDO Trust 2016-350P                                                             | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3390000 | PA      | $3297721.15    | 0.02%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74342 | PA      | $75236.33      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     53512000 | PA      | $52861530.60   | 0.28%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4860000 | PA      | $4896747.92    | 0.03%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2701000 | PA      | $2309327.75    | 0.01%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |       625000 | PA      | $626275.63     | 0.00%             | 2034-07-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                      | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     19597000 | PA      | $18648147.75   | 0.10%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       949000 | PA      | $979576.24     | 0.01%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1949003 | PA      | $1993690.95    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64703 | PA      | $61552.39      | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      8678000 | PA      | $7925182.89    | 0.04%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                         | Silver Point Clo 5 Ltd                                                           | CUSIP: 82809BAA4<br>LEI: 254900IB4JHW6SUR0Q75 | Long             | ABS-CBDO         | CORP              | KY        |       860000 | PA      | $863307.99     | 0.00%             | 2037-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Together Asset Backed Securiti                                | Together Asset Backed Securitisation 2025-Cre-1 PLC                              | CUSIP: 000000000<br>LEI: 635400IHLPBPFA2IVG30 | Long             | ABS-MBS          | CORP              | GB        |       511000 | PA      | $705554.84     | 0.00%             | 2057-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XX Ltd                                                              | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1110000 | PA      | $1107612.95    | 0.01%             | 2032-01-16      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                        | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       825712 | PA      | $231753.24     | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382R3Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3261713 | PA      | $560289.31     | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10824000 | PA      | $11096455.77   | 0.06%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416AVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          797 | PA      | $810.43        | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31401WBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213241 | PA      | $209228.72     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XX3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       122293 | PA      | $120354.11     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5958917 | PA      | $4798094.30    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 43B Ltd                                               | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |      2413071 | PA      | $2420958.61    | 0.01%             | 2037-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13219908 | PA      | $13095524.75   | 0.07%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       894025 | PA      | $935617.38     | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57571 | PA      | $54671.39      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                                 | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1333000 | PA      | $1359265.70    | 0.01%             | 2042-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | USD/TRY FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $39538.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2043007 | PA      | $2024448.96    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4546796 | PA      | $3905417.08    | 0.02%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       856250 | PA      | $818780.85     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       478100 | PA      | $469729.93     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TX NAV DIST DOCK                                | Port of Beaumont Navigation District                                             | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |     10185000 | PA      | $10426221.60   | 0.06%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418RQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       996168 | PA      | $1008556.64    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                | Wynn Macau Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      8000000 | PA      | $7940000.00    | 0.04%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI Properties LP                                                               | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     10539000 | PA      | $10552077.85   | 0.06%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |        63203 | PA      | $63252.70      | 0.00%             | 2031-04-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       300670 | PA      | $294368.76     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1668000 | PA      | $1187768.79    | 0.01%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       304000 | PA      | $313640.51     | 0.00%             | 2036-09-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       350039 | PA      | $342193.12     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                                | GoTo Group Inc                                                                   | CUSIP: 38349YAB1<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |      1925000 | PA      | $625625.00     | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                               | Cemex SAB de CV                                                                  | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |      6903000 | PA      | $6982384.50    | 0.04%             | N/A             | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414JRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151003 | PA      | $152698.90     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad Clo 25 Ltd                                                                   | CUSIP: 75009GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       490000 | PA      | $492152.57     | 0.00%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31306YQC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        11499 | PA      | $11292.33      | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4838174 | PA      | $3668079.48    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Noria                                                         | Noria DE 2024                                                                    | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |       500000 | PA      | $588943.78     | 0.00%             | 2043-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                                | RALI Series 2007-QH9 Trust                                                       | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       435793 | PA      | $364842.48     | 0.00%             | 2037-11-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2894200 | PA      | $2921015.34    | 0.02%             | 2064-12-26      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Interface Security System                                     | Interface Security System                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      8491067 | PA      | $4457810.12    | 0.02%             | 2028-08-07      | Floating      | 11.42%                | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     86363100 | PA      | $79902735.08   | 0.43%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       631789 | PA      | $503687.73     | 0.00%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       731400 | PA      | $620737.86     | 0.00%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1360584 | PA      | $1243490.06    | 0.01%             | 2065-05-16      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6375000 | PA      | $6392366.78    | 0.03%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133D3NG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1193323 | PA      | $1044079.18    | 0.01%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-1, Ltd.                                      | Invesco CLO 2022-1 Ltd                                                           | CUSIP: 460988AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       947000 | PA      | $948893.91     | 0.01%             | 2035-04-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                                | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1224374 | PA      | $171210.61     | 0.00%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1885919 | PA      | $1502422.22    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 11 Ltd                                                                   | CUSIP: 00851RAA8<br>LEI: 549300G9RL3BICT9HA62 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250020.00     | 0.00%             | 2034-04-15      | Floating      | 10.88%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1244300 | PA      | $1127225.93    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                                            | Sesac Finance LLC                                                                | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1282762 | PA      | $1308126.05    | 0.01%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                      | Olympus Water US Holding Corp                                                    | CUSIP: 16308NAA2<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |       359000 | PA      | $365560.85     | 0.00%             | 2027-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PCL Funding                                                   | PCL Funding IX PLC                                                               | CUSIP: 000000000<br>LEI: 213800OC928ETRJNHM43 | Long             | ABS-O            | CORP              | GB        |       684000 | PA      | $936323.79     | 0.01%             | 2029-07-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        83794 | PA      | $78373.62      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2836000 | PA      | $2749662.80    | 0.01%             | 2064-01-25      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       348898 | PA      | $336774.43     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       610000 | PA      | $610000.00     | 0.00%             | 2038-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       821639 | PA      | $790327.11     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXIV                                                                  | CUSIP: 03759CAV2<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |       660000 | PA      | $659916.84     | 0.00%             | 2030-10-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Red & Black Auto Italy                                        | Red & Black Auto Italy Srl                                                       | CUSIP: 000000000<br>LEI: 8156003B1C9DCDE30892 | Long             | ABS-O            | CORP              | IT        |       298000 | PA      | $351971.61     | 0.00%             | 2036-07-28      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2987046 | PA      | $2738849.53    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2345000 | PA      | $2241473.88    | 0.01%             | 2036-01-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1554090 | PA      | $1461119.93    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129048 | PA      | $124934.71     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |       635184 | PA      | $635813.14     | 0.00%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                             | Park Blue CLO 2025-VII Ltd                                                       | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1999400.00    | 0.01%             | 2038-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AMC Networks Inc                                              | AMC Networks Inc                                                                 | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |        51468 | NS      | $322704.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                  | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2226000 | PA      | $2281654.23    | 0.01%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM                  | CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7077468 | PA      | $7072638.63    | 0.04%             | 2029-12-06      | Floating      | 7.58%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5374000 | PA      | $5387435.00    | 0.03%             | 2028-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J8KB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22848 | PA      | $20709.10      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56026009 | PA      | $46796272.72   | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                              | Crown Castle Inc                                                                 | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      4857000 | PA      | $4238101.58    | 0.02%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1760300 | PA      | $1760435.90    | 0.01%             | 2064-12-26      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2139890 | PA      | $2093600.07    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1053000 | PA      | $1002399.14    | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                     | CIM Trust 2023-I2                                                                | CUSIP: 12570HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2791465 | PA      | $2811447.90    | 0.02%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162068 | PA      | $158642.41     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBN0<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |      5490000 | PA      | $5523463.75    | 0.03%             | 2034-04-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                | FirstKey Homes 2020-SFR1 Trust                                                   | CUSIP: 33767MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2690000 | PA      | $2673837.94    | 0.01%             | 2037-08-17      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1850000 | PA      | $1781120.06    | 0.01%             | 2033-10-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                      | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      1917000 | PA      | $1452161.28    | 0.01%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                        | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44224804 | PA      | $137707.20     | 0.00%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1226760 | PA      | $1054689.48    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6557047 | PA      | $5518510.85    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                              | ISHARES RUSSELL 2000 ETF                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |         1867 | NC      | $67212.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     19983000 | PA      | $20456457.62   | 0.11%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16731356 | PA      | $16154925.65   | 0.09%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342109000 | PA      | $1341801952.30 | 7.18%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                 | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3688000 | PA      | $3568587.72    | 0.02%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                                    | 1345T 2025-AOA                                                                   | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4620000 | PA      | $4633042.26    | 0.02%             | 2030-06-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5684011 | PA      | $5393305.45    | 0.03%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XRWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124833 | PA      | $122366.43     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                          | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532000 | PA      | $525362.24     | 0.00%             | 2035-03-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     65115000 | PA      | $64151032.33   | 0.34%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10755000 | PA      | $10540506.58   | 0.06%             | 2030-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-11CB                                                 | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1355164 | PA      | $611577.51     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| METRO Finance Trust                                           | Metro Finance 2025-1 Trust                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |       650000 | PA      | $429337.57     | 0.00%             | 2031-10-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30476 | PA      | $24160.58      | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                | Solventum Corp                                                                   | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      7095000 | PA      | $7301789.17    | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     11132000 | PA      | $11176940.66   | 0.06%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Silver Point Capital CLO 1, Lt                                | Silver Point CLO 1 Ltd                                                           | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |      1250000 | PA      | $1254000.00    | 0.01%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNA Trust                                                     | FNA 8 LLC                                                                        | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8433216 | PA      | $8472388.39    | 0.05%             | 2045-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-364142.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251747.83     | 0.00%             | 2030-10-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                                | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       333865 | PA      | $140086.54     | 0.00%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FECW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       832411 | PA      | $807911.85     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Meacham Park CLO, Ltd.                                        | Meacham Park Clo Ltd                                                             | CUSIP: 58286QAE5<br>LEI: 254900ZA60EDHY111387 | Long             | ABS-CBDO         | CORP              | KY        |      3440000 | PA      | $3444722.78    | 0.02%             | 2037-10-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                                  | USD/CAD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-25525.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3714315 | PA      | $3415359.68    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     45267000 | PA      | $28396201.40   | 0.15%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 5 Ltd                                                                         | CUSIP: 74979VAV5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1004152.20    | 0.01%             | 2039-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7577 | PA      | $7170.74       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                                | Port Authority of New York & New Jersey                                          | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      5020000 | PA      | $4697770.09    | 0.03%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                     | CDS VISTRA OPERATIONS CO LLC                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $23948.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2500000.00    | 0.01%             | 2027-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     23420000 | PA      | $24063556.07   | 0.13%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1315000 | PA      | $1230260.53    | 0.01%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7320167 | PA      | $7111948.06    | 0.04%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4569 | PA      | $4687.62       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       696246 | PA      | $665791.79     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |      1960000 | PA      | $1962495.86    | 0.01%             | 2037-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                               | Israel Government International Bond                                             | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     10116000 | PA      | $9376267.50    | 0.05%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE AND ANNUITY                                | Tiaa Clo III Ltd                                                                 | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |       281971 | PA      | $282053.89     | 0.00%             | 2031-01-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6274000 | PA      | $6274000.00    | 0.03%             | 2027-11-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     30379000 | PA      | $26270240.25   | 0.14%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| CML St Regis Aspen                                            | CML St Regis Aspen                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     29087605 | PA      | $29244838.05   | 0.16%             | 2027-02-09      | Floating      | 7.27%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y87L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1598757 | PA      | $1553995.92    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO 40 Ltd                                                              | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |      2140000 | PA      | $2146919.90    | 0.01%             | 2038-01-05      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1280825 | PA      | $1245087.50    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                        | Mosaic Solar Loan Trust 2020-1                                                   | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       590080 | PA      | $523962.60     | 0.00%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                       | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12957000 | PA      | $12647988.51   | 0.07%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66973573 | PA      | $53396814.26   | 0.29%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                                | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1480000 | PA      | $1404658.82    | 0.01%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132ADUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32258 | PA      | $30291.04      | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2                   | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2105811 | PA      | $1654417.26    | 0.01%             | 2037-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                      | OCP SA                                                                           | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       548000 | PA      | $545534.00     | 0.00%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                              | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2970000 | PA      | $2974640.63    | 0.02%             | 2039-03-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      4209000 | PA      | $3229469.15    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                              | Invesco Euro CLO V DAC                                                           | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |       350000 | PA      | $410586.82     | 0.00%             | 2034-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                      | Service Properties Trust                                                         | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |       397000 | PA      | $393346.93     | 0.00%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13360845 | PA      | $11719531.08   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3567149 | PA      | $3194654.73    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BAY4<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |       106218 | PA      | $106346.37     | 0.00%             | 2030-10-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        62939 | PA      | $60916.07      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2005-AC9                            | CUSIP: 0738794J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140797 | PA      | $137579.01     | 0.00%             | 2035-12-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                           | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21535000 | PA      | $225126.89     | 0.00%             | 2037-04-10      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-OA8                                                  | CUSIP: 02148GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169595 | PA      | $133241.98     | 0.00%             | 2047-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-45356.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN PROPTECH ACQUISITIONS PRIVAT RIGHTS                     | CROWN PROPTECH ACQUISITIONS PRIVAT                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       214560 | NC      | $54584.06      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Deephaven Residential Mortgage                                | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3171000 | PA      | $2939574.08    | 0.02%             | 2067-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                                | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3690000 | PA      | $3750295.71    | 0.02%             | 2037-11-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13860257 | PA      | $255635.81     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-477164.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI Properties LP                                                               | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     12499000 | PA      | $12452988.81   | 0.07%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10407 | PA      | $9951.69       | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27454000 | PA      | $26874892.19   | 0.14%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690ABC0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |       550000 | PA      | $550141.74     | 0.00%             | 2037-07-20      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |     78187000 | NC      | $2786548.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                                | PEN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-88583.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1092262 | PA      | $1034763.92    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carlyle C17 CLO                                               | Carlyle C17 CLO Ltd                                                              | CUSIP: 14307PAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1760761 | PA      | $1763176.18    | 0.01%             | 2031-04-30      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OCTAGON LOAN FUNDING LTD                                      | Octagon Loan Funding Ltd                                                         | CUSIP: 67590RBA2<br>LEI: 549300HJJWTCMWFILG24 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250665.08     | 0.00%             | 2031-11-18      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                            | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      2205831 | PA      | $2214530.41    | 0.01%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                               | Kingdom of Belgium Government Bond                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     41847680 | PA      | $43898109.93   | 0.23%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3841000 | PA      | $3936272.89    | 0.02%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       135913 | PA      | $129511.35     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                    | Affirm Asset Securitization Trust 2025-X1                                        | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1280000 | PA      | $1280968.96    | 0.01%             | 2030-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                                | AMMC CLO 18 Ltd                                                                  | CUSIP: 001746AN6<br>LEI: 549300F8C2GVHBFFH173 | Long             | ABS-CBDO         | CORP              | KY        |       123310 | PA      | $123387.63     | 0.00%             | 2031-05-26      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       690266 | PA      | $691393.73     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17132867 | PA      | $13804637.83   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       718867 | PA      | $194166.53     | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417WUF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25395 | PA      | $26023.43      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                        | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1223583 | PA      | $1139637.19    | 0.01%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                                 | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       809016 | PA      | $806276.91     | 0.00%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BARC_22-RPL1                                                  | BARC_22-RPL1                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4666 | PA      | $4526.02       | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38831 | PA      | $37571.37      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                             | Park Blue CLO 2024-VI Ltd                                                        | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |      1634000 | PA      | $1639564.75    | 0.01%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47865474 | PA      | $446709.32     | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                          | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |      3750000 | PA      | $3763771.13    | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                                | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1445272 | PA      | $197245.06     | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |      2657000 | PA      | $73067.50      | 0.00%             | 2023-01-09      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1462000 | PA      | $1486845.52    | 0.01%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10092 | PA      | $10115.92      | 0.00%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                  | CD 2017-CD3 Mortgage Trust                                                       | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850000 | PA      | $818124.75     | 0.00%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       238279 | PA      | $219689.16     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALLY'S CORP                                                  | Bally's Corp                                                                     | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     11439841 | PA      | $10081360.04   | 0.05%             | 2028-10-02      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1290000 | PA      | $1046658.18    | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9023000 | PA      | $5813666.52    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                             | Elmwood CLO X Ltd                                                                | CUSIP: 29002VAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3008465.10    | 0.02%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       466210 | PA      | $431169.43     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8106995 | PA      | $9044070.87    | 0.05%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       231345 | PA      | $223731.13     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1480000 | PA      | $1480082.88    | 0.01%             | 2029-10-15      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                         | Becton Dickinson & Co                                                            | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      1595000 | PA      | $1367842.03    | 0.01%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       546762 | PA      | $501822.52     | 0.00%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| METRO Finance Trust                                           | Metro Finance 2025-1 Trust                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |       500000 | PA      | $329568.61     | 0.00%             | 2031-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2904000 | PA      | $2532533.79    | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-6658814.84   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVE                                       | IRB Infrastructure Developers Ltd                                                | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |     14000000 | PA      | $14039375.00   | 0.08%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       673000 | PA      | $671738.13     | 0.00%             | 2039-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Inc Asset-backed Certificates Series 2007-12                               | CUSIP: 126697AB7<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |      2528009 | PA      | $2468428.91    | 0.01%             | 2047-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2024-1                                        | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1047000 | PA      | $1086764.12    | 0.01%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |      7880000 | PA      | $7913091.27    | 0.04%             | 2037-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25743000 | PA      | $23295403.96   | 0.12%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                  | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1819000 | PA      | $1668931.77    | 0.01%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     34996000 | PA      | $35301119.28   | 0.19%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25131161 | PA      | $21102243.28   | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                            | Panama Government International Bond                                             | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     10739000 | PA      | $6976994.06    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      4066000 | PA      | $4073755.90    | 0.02%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10858 | PA      | $10832.73      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2016-C5 Commercial Mortgage Trust                                          | CUSIP: 12636LBD1<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |      2410000 | PA      | $2387382.15    | 0.01%             | 2048-11-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| DAVIDSON HOMES PREF EQUITY                                    | DAVIDSON HOMES PREF EQUITY                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        18658 | NS      | $19279871.14   | 0.10%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1938977 | PA      | $1815714.68    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSDB Trust                                                    | MSDB Trust 2017-712F                                                             | CUSIP: 55354JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1650000 | PA      | $1539457.43    | 0.01%             | 2039-07-11      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      7163000 | PA      | $7329519.12    | 0.04%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/CZK FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $682465.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       541018 | PA      | $525756.70     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                              | MGM Resorts International                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |        93000 | PA      | $94517.27      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       311189 | PA      | $302121.31     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3562476 | PA      | $3533097.57    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       438889 | PA      | $445402.51     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAN5<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1002581.90    | 0.01%             | 2037-10-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                               | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1830000 | PA      | $1828488.79    | 0.01%             | 2029-12-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7721172 | PA      | $3083679.40    | 0.02%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                            | USD/AUD FORWARD                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-39749.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Tr                                | Nationstar Home Equity Loan Trust 2007-B                                         | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3320000 | PA      | $3178928.22    | 0.02%             | 2037-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                       | Zayo Group Holdings Inc                                                          | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |       498000 | PA      | $467012.70     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     21255000 | PA      | $20998212.61   | 0.11%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FRONTIER FLORIDA LLC                                          | Frontier Florida LLC                                                             | CUSIP: 362333AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4835000 | PA      | $5030497.28    | 0.03%             | 2028-02-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        38750 | PA      | $37235.98      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                           | Sandstone Peak Ltd                                                               | CUSIP: 800130AS5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |       710000 | PA      | $711861.27     | 0.00%             | 2034-10-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15638587 | PA      | $13186594.39   | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DV4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       426099 | PA      | $412852.54     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                             | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1346000 | PA      | $1340902.03    | 0.01%             | 2068-12-25      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                        | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18074000 | PA      | $17347768.43   | 0.09%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 2 Ltd                                                               | CUSIP: 370910AC5<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |      3015000 | PA      | $3027060.00    | 0.02%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       126344 | PA      | $130600.38     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       824368 | PA      | $821793.35     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CART                                                          | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3244000 | PA      | $3219338.46    | 0.02%             | 2041-08-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1764031 | PA      | $1609122.97    | 0.01%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                              | Owl Rock CLO V Ltd                                                               | CUSIP: 69120JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       900000 | PA      | $902196.81     | 0.00%             | 2034-04-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC: B LOAN/TERM                                   | VERITAS US INC: B LOAN/TERM                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1032728 | PA      | $1032728.35    | 0.01%             | 2029-12-10      | Floating      | 12.30%                | No            |                  2 | On Loan: No      |
| CAP HILL BRANDS - PREF EQUITY                                 | CAP HILL BRANDS - PREF EQUITY                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      2670520 | NS      | $80115.60      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CBAM CLO Management                                           | CBAM 2020-12 Ltd                                                                 | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       436000 | PA      | $436433.12     | 0.00%             | 2034-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Lionsgate Studios Corp                                        | Lionsgate Studios Corp                                                           | CUSIP: 53626N102<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |       120471 | NS      | $699936.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12236838 | PA      | $10785978.26   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT BEEPER: TL-B LOAN/TERM                                | PROJECT BEEPER: TL-B LOAN/TERM                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4857701 | PA      | $4791150.09    | 0.03%             | 2027-12-21      | Floating      | 11.20%                | No            |                  3 | On Loan: No      |
| CAIXABANK SA                                                  | CaixaBank SA                                                                     | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      1000000 | PA      | $1010257.00    | 0.01%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo I Ltd                                                               | CUSIP: 96467CAG2<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      3300000 | PA      | $3300871.53    | 0.02%             | 2036-07-24      | Floating      | 10.03%                | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       420000 | PA      | $420988.13     | 0.00%             | 2037-10-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                             | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       982519 | PA      | $998331.07     | 0.01%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                           | American Tower Corp                                                              | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      1687000 | PA      | $1651476.69    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                             | NJ Trust 2023-GSP                                                                | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5050000 | PA      | $5311415.78    | 0.03%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3008595 | PA      | $2778127.61    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                                | JP Morgan Mortgage Acquisition Trust 2006-CW1                                    | CUSIP: 46628MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       490190 | PA      | $487812.79     | 0.00%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3870000 | PA      | $2501317.65    | 0.01%             | 2052-07-21      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                      | Pioneer Natural Resources Co                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      2842000 | PA      | $2524324.54    | 0.01%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                 | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4143281 | PA      | $2938754.87    | 0.02%             | 2036-08-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6000 | PA      | $5590.92       | 0.00%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     15652000 | PA      | $16121533.24   | 0.09%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116054 | PA      | $113452.46     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                  | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2110000 | PA      | $2113997.61    | 0.01%             | 2038-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                  | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3034000 | PA      | $2496662.22    | 0.01%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                        | Cloud Software Group Inc                                                         | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |       866000 | PA      | $897631.00     | 0.00%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                                      | Greenko Wind Projects Mauritius Ltd                                              | CUSIP: 000000000<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |     13199000 | PA      | $13304592.00   | 0.07%             | 2028-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $161991.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                                  | Mastr Specialized Loan Trust                                                     | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       179185 | PA      | $175268.63     | 0.00%             | 2046-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2004-FFH3                                     | CUSIP: 32027NLT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       999667 | PA      | $904989.24     | 0.00%             | 2034-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                                | Port Authority of New York & New Jersey                                          | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      1400000 | PA      | $1290700.20    | 0.01%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK NV                                              | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 939ESCAZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13308000 | PA      | $1.33          | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| NYC Trust                                                     | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2195000 | PA      | $2171901.36    | 0.01%             | 2029-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                 | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       471122 | PA      | $471122.40     | 0.00%             | 2038-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 55 CLO Ltd                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1248892 | PA      | $1251228.20    | 0.01%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                             | TRS CFD EQUITY BASKET                                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DE               | CORP              | GB        |            1 | NC      | $-1044136.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       308623 | PA      | $308965.17     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LV Trust                                                      | Fashion Show Mall LLC                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1534864 | PA      | $1550002.52    | 0.01%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1352977 | PA      | $1315295.95    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LXXI Ltd                                                    | CUSIP: 55817DAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249442.95     | 0.00%             | 2038-04-23      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Venture Global Inc                                            | Venture Global Inc                                                               | CUSIP: 92333F101<br>LEI: 2549007XC91CAB3E0N98 | Long             | EC               | CORP              | US        |        10496 | NS      | $163527.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2006-3                                            | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106855 | PA      | $102215.77     | 0.00%             | 2036-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | NACC Reperforming Loan REMIC Trust 2004-R1                                       | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1417601 | PA      | $1288176.86    | 0.01%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XV                                                                    | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |       293553 | PA      | $293920.85     | 0.00%             | 2031-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                                | Edenbrook Mortgage Funding PLC                                                   | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |      1610521 | PA      | $2212292.89    | 0.01%             | 2057-03-22      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39                                | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       971409 | PA      | $972162.27     | 0.01%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12130341 | PA      | $9790747.39    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2623000 | PA      | $2228480.16    | 0.01%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10254115 | PA      | $9156106.68    | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle US CLO 2024-6 Ltd                                                        | CUSIP: 14319PAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       510000 | PA      | $510663.46     | 0.00%             | 2037-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACG6<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      2901000 | PA      | $2907495.34    | 0.02%             | 2030-07-18      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                        | Service Experts Issuer 2021-1 LLC                                                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2301227 | PA      | $2242668.84    | 0.01%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      3710000 | PA      | $3731332.50    | 0.02%             | 2037-04-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.AAA.9                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-34.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84149 | PA      | $79131.11      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                     | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9897000 | PA      | $9890814.38    | 0.05%             | 2041-10-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1499000 | PA      | $1314422.28    | 0.01%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2007-OH2                                                  | CUSIP: 02151RAC7<br>LEI: 549300QKXMAFE33VN106 | Long             | ABS-MBS          | CORP              | US        |       187040 | PA      | $165335.57     | 0.00%             | 2047-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                        | Conseco Finance Corp                                                             | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       770273 | PA      | $225825.68     | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400000 | PA      | $1427049.82    | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO                                      | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |      1053000 | PA      | $1046020.29    | 0.01%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                                          | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       462203 | PA      | $623973.67     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1567000 | PA      | $1382831.74    | 0.01%             | 2063-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                     | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2643000 | PA      | $2465088.31    | 0.01%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15141000 | PA      | $15233242.00   | 0.08%             | 2038-09-10      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA8                                                  | CUSIP: 02147CAA1<br>LEI: 549300EBNJLBIQBKE071 | Long             | ABS-MBS          | CORP              | US        |       227281 | PA      | $204574.81     | 0.00%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1385000 | PA      | $1483114.12    | 0.01%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       672626 | PA      | $656723.57     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       229006 | PA      | $210574.22     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                           | Nomura Holdings Inc                                                              | CUSIP: 65535HCC1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |       936000 | PA      | $947934.94     | 0.01%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10020000 | PA      | $10048015.92   | 0.05%             | 2030-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2018-1745                                  | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472000 | PA      | $429517.92     | 0.00%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo                                | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108442 | PA      | $108326.90     | 0.00%             | 2040-12-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                            | Shackleton 2019-XIV Clo Ltd                                                      | CUSIP: 81880XAQ5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251563.68     | 0.00%             | 2034-07-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2342864 | PA      | $2245430.10    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15000824 | PA      | $11996461.04   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                          | Samarco Mineracao SA                                                             | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |      6950530 | PA      | $6815863.48    | 0.04%             | 2031-06-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                                 | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147704 | PA      | $68435.84      | 0.00%             | 2039-05-28      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2022-NQM1                                           | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4695352 | PA      | $4670903.60    | 0.02%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       399000 | PA      | $399435.23     | 0.00%             | 2034-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2006-OA5                                         | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       340316 | PA      | $327345.85     | 0.00%             | 2046-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3309000 | PA      | $3127529.81    | 0.02%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30093 | PA      | $27030.11      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARE                                      | First Citizens BancShares Inc/NC                                                 | CUSIP: 31959XAF0<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |      7895000 | PA      | $7855862.12    | 0.04%             | 2040-03-12      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4290527 | PA      | $4305973.55    | 0.02%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Algoma Steel Group Inc                                        | Algoma Steel Group Inc                                                           | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |       320811 | NS      | $2210387.79    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VEGAS Trust                                                   | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2460000 | PA      | $2492903.24    | 0.01%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                 | UK Logistics 2025-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |      6259000 | PA      | $8591364.80    | 0.05%             | 2035-05-17      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A7UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       200019 | PA      | $178643.55     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LVII Ltd                                                    | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250466.98     | 0.00%             | 2034-07-27      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                 | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874YAE7<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250854.35     | 0.00%             | 2037-07-20      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VMK53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       201904 | PA      | $197456.96     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       309809 | PA      | $270525.22     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YDZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86952 | PA      | $84159.02      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JMZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1289188 | PA      | $1253093.91    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417FU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1249904 | PA      | $1129670.23    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                  | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4320183 | PA      | $4344570.09    | 0.02%             | 2032-05-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $743408.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       724715 | PA      | $610838.48     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4220278 | PA      | $3899081.50    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       650000 | PA      | $560984.06     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4193700 | PA      | $3112711.76    | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | C-BASS 2006-CB9 TRUST                                                            | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       327045 | PA      | $147462.45     | 0.00%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       774080 | PA      | $765703.74     | 0.00%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2260000 | PA      | $2258034.70    | 0.01%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     48137000 | PA      | $46048715.85   | 0.25%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       239158 | PA      | $237322.86     | 0.00%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2600686.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VANTAGE DRILL INTL LTD                                        | Vantage Drilling International Ltd                                               | CUSIP: 92210KAD0<br>LEI: 549300T9QN1134QR7185 | Long             | DBT              | CORP              | KY        |       250000 | PA      | $248750.00     | 0.00%             | 2028-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     19593000 | PA      | $16976935.19   | 0.09%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                 | AEP Texas Inc                                                                    | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      2113000 | PA      | $2143461.56    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2006-HE7                            | CUSIP: 07388HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       723981 | PA      | $706989.72     | 0.00%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180303 | PA      | $175579.40     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LTD                                        | MGM China Holdings Ltd                                                           | CUSIP: 000000000<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     14000000 | PA      | $14490000.00   | 0.08%             | 2031-06-26      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                | Merrill Lynch Mortgage Investors Trust Series 2006-OPT1                          | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       394440 | PA      | $352214.56     | 0.00%             | 2037-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1050000 | PA      | $1051575.00    | 0.01%             | 2036-04-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3905000 | PA      | $3934287.50    | 0.02%             | 2027-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXIV                                                                 | CUSIP: 03768WAL9<br>LEI: 5493001VH1Y9SEPJKZ47 | Long             | ABS-CBDO         | CORP              | KY        |      6244000 | PA      | $6257574.46    | 0.03%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     25868000 | PA      | $18915975.00   | 0.10%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                       | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8817000 | PA      | $8310487.16    | 0.04%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17925774 | PA      | $16956654.20   | 0.09%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1681726 | PA      | $1435753.13    | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      8388000 | PA      | $5869094.34    | 0.03%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Atlas Funding                                                 | Atlas Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400BMBKLDPBSN2U43 | Long             | ABS-MBS          | CORP              | GB        |       518476 | PA      | $711534.18     | 0.00%             | 2061-09-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31412QW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22308 | PA      | $22860.62      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        51759 | PA      | $48249.86      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7396000 | PA      | $4549984.51    | 0.02%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8757000 | PA      | $8772651.39    | 0.05%             | 2041-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                       | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1711129 | PA      | $1252315.41    | 0.01%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16526355 | PA      | $14834207.34   | 0.08%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                      | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6260000 | PA      | $6264404.29    | 0.03%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Inc                                             | Kinder Morgan Inc                                                                | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |        73352 | NS      | $2156548.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Refi Loan Trust 2019-C                                 | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        71367 | PA      | $69970.61      | 0.00%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33372 | PA      | $31285.64      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -715000 | PA      | $-684296.46    | -0.00%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       449806 | PA      | $439461.51     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1482000 | PA      | $1444832.03    | 0.01%             | 2036-06-15      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 4 Ltd                                                               | CUSIP: 37148BAC4<br>LEI: 549300HNXZUJB12SQJ60 | Long             | ABS-CBDO         | CORP              | KY        |      8250000 | PA      | $8282782.20    | 0.04%             | 2037-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | US ULTRA BOND CBT                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -615 | NC      | $-2095629.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YLYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       273629 | PA      | $244922.18     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        41430 | PA      | $40094.36      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                                | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2790000 | PA      | $264657.45     | 0.00%             | 2025-12-10      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1451179 | PA      | $1356976.54    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| USAVFLOW II LTD: TL-B                                         | USAVFLOW II LTD: TL-B                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      2040000 | PA      | $2045100.00    | 0.01%             | 2029-08-16      | Floating      | 10.83%                | No            |                  3 | On Loan: No      |
| HET_24                                                        | HET_24                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17094938 | PA      | $17409484.57   | 0.09%             | 2054-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417GAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1610382 | PA      | $1455469.92    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES PASS THROUGH TRU                            | AMERICAN AIRLINES PASS THROUGH TRU                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2804450 | PA      | $2759017.91    | 0.01%             | 2026-06-15      | Fixed         | 3.53%                 | No            |                  3 | On Loan: No      |
| Cross Mortgage Trust                                          | Cross 2025-H2 Mortgage Trust                                                     | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2011710 | PA      | $2011810.82    | 0.01%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP                                          | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |       585000 | PA      | $556536.12     | 0.00%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                                | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3558127 | PA      | $1492226.19    | 0.01%             | 2037-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29263667 | PA      | $29635136.58   | 0.16%             | 2063-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2962365 | PA      | $2410134.77    | 0.01%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X7YB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1218477 | PA      | $1074514.35    | 0.01%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHERATON SAN DIEGO 7-APRIL-2030 LOAN/TERM                     | SHERATON SAN DIEGO 7-APRIL-2030 LOAN/TERM                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7400000 | PA      | $7400976.80    | 0.04%             | 2030-04-07      | Floating      | 7.06%                 | No            |                  3 | On Loan: No      |
| CLYDESDALE ACQUISITION                                        | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      1306000 | PA      | $1335808.14    | 0.01%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                      | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     28852000 | PA      | $28803731.76   | 0.15%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12526080 | PA      | $10110185.67   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                               | Impac CMB Trust Series 2007-A                                                    | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       875052 | PA      | $847864.08     | 0.00%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187324 | PA      | $174626.69     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46601371 | PA      | $39248335.64   | 0.21%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                | Bain Capital Credit CLO 2020-2 Ltd                                               | CUSIP: 05683EAW2<br>LEI: 254900JJEDONFKODOF95 | Long             | ABS-CBDO         | CORP              | KY        |       550000 | PA      | $550687.50     | 0.00%             | 2034-07-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5718000 | PA      | $5791008.57    | 0.03%             | 2036-09-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                                | THPT 2023-THL Mortgage Trust                                                     | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1784114 | PA      | $1814675.98    | 0.01%             | 2034-12-10      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXVI Ltd                                             | CUSIP: 08186AAJ5<br>LEI: 2549008S0Y5AP2WIEL43 | Long             | ABS-CBDO         | CORP              | KY        |      1310000 | PA      | $1314153.75    | 0.01%             | 2037-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                                | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $476679.30     | 0.00%             | 2065-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                           | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       271000 | PA      | $290051.30     | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                  | Comcast Corp                                                                     | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      4063000 | PA      | $2123811.48    | 0.01%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1618327 | PA      | $1286225.48    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       627247 | PA      | $593825.54     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CA MAGNUM HOLDINGS                                            | CA Magnum Holdings                                                               | CUSIP: 000000000<br>LEI: 549300ZRDHFR078MFZ78 | Long             | DBT              | CORP              | MU        |       400000 | PA      | $396490.00     | 0.00%             | 2026-10-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                | Upgrade Master Pass-Thru Trust Series 2025-ST4                                   | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3734000 | PA      | $3734000.00    | 0.02%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A8S40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527141 | PA      | $470778.06     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       260793 | PA      | $264193.56     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      2461000 | PA      | $2141853.39    | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Quarzo Srl                                                    | Quarzo Srl                                                                       | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       344643 | PA      | $410364.62     | 0.00%             | 2041-06-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | U.S. TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         3648 | NC      | $13592783.85   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       478119 | PA      | $488702.04     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      7803000 | PA      | $5250577.99    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2104000 | PA      | $2109251.58    | 0.01%             | 2041-10-15      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                                | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1057843 | PA      | $1061341.36    | 0.01%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Dowson                                                        | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |       344000 | PA      | $468940.56     | 0.00%             | 2031-08-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL Plc                                              | Mortimer 2024-Mix PLC                                                            | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |       357000 | PA      | $490996.03     | 0.00%             | 2067-09-22      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                                | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust         | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3819296 | PA      | $967682.50     | 0.01%             | 2036-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |       570000 | PA      | $570000.00     | 0.00%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2136000 | PA      | $2173058.75    | 0.01%             | 2032-06-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1147380 | PA      | $1120440.72    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QS5E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29610 | PA      | $28111.02      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3572791 | PA      | $3575023.73    | 0.02%             | 2038-06-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                                 | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11445392 | PA      | $2497162.47    | 0.01%             | 2038-02-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                | Carval Clo VIII-C Ltd                                                            | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |       730000 | PA      | $733004.32     | 0.00%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr                                | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4972000 | PA      | $4592934.72    | 0.02%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                   | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633202 | PA      | $625369.74     | 0.00%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       136672 | PA      | $133647.42     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -1802000 | PA      | $-1675367.73   | -0.01%            | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Partners XVI                                                          | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5387770 | PA      | $5406758.66    | 0.03%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Corp Trust 2017-GPTX                                      | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1943158 | PA      | $1692506.90    | 0.01%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES                                           | Century Communities Inc                                                          | CUSIP: 156504AL6<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |       249000 | PA      | $249358.56     | 0.00%             | 2027-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1589512 | PA      | $1546882.66    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     28945000 | PA      | $25919862.24   | 0.14%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       379145 | PA      | $381602.16     | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        78509 | PA      | $79466.33      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                            | BX Trust 2019-OC11                                                               | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3739234.00    | 0.02%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5859350 | PA      | $5504693.62    | 0.03%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                           | CBAM 2018-5 Ltd                                                                  | CUSIP: 12481QAE5<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |       710000 | PA      | $712316.30     | 0.00%             | 2031-04-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| DF RESIDENTIAL III                                            | DF RESIDENTIAL III                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4251053 | NS      | $4251053.47    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       296853 | PA      | $296084.79     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28769483 | PA      | $28666764.09   | 0.15%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| IREN LTD                                                      | IREN Ltd                                                                         | CUSIP: 46270CAC3<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |      1582000 | PA      | $2045526.00    | 0.01%             | 2029-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                      | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3130000 | PA      | $3142923.77    | 0.02%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141425 | PA      | $137543.16     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417YNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5013 | PA      | $5125.06       | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Financial Inc                                        | Flagstar Financial Inc                                                           | CUSIP: 649445400<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |       392093 | NS      | $4156185.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1776250 | PA      | $1715514.54    | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2020-4                                                | CUSIP: 92538LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       325600 | PA      | $320206.94     | 0.00%             | 2065-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3476625 | PA      | $541702.30     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       529449 | PA      | $497513.16     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                                | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1680000 | PA      | $172889.47     | 0.00%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                  | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36697000 | PA      | $209627.94     | 0.00%             | 2039-05-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1200218 | PA      | $1166728.26    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      3469000 | PA      | $3483697.56    | 0.02%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                        | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11134000 | PA      | $11066112.77   | 0.06%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                                       | JetBlue 2019-1 Class AA Pass Through Trust                                       | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       654676 | PA      | $572912.27     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |     50246100 | NC      | $1770542.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       380604 | PA      | $368654.17     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                  | PLN/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1566243.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       133943 | PA      | $114924.00     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5816973 | PA      | $4918742.13    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                       | J&J VENTURES GAMING LLC                                                          | CUSIP: 46604BAH1<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |      1865249 | PA      | $1841504.34    | 0.01%             | 2030-04-26      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro F                                | Last Mile Logistics Pan Euro Finance DAC                                         | CUSIP: 000000000<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |      2617629 | PA      | $3046039.84    | 0.02%             | 2033-08-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       290766 | PA      | $280697.11     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                               | Cameron LNG LLC                                                                  | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     15635000 | PA      | $13403975.87   | 0.07%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3026930 | PA      | $2706825.66    | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO IX Ltd                                                          | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |      1690000 | PA      | $1695598.29    | 0.01%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     73153000 | PA      | $72002590.80   | 0.39%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     52941000 | PA      | $48491048.48   | 0.26%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                          | Raizen Fuels Finance SA                                                          | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      5790000 | PA      | $5746575.00    | 0.03%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1980000 | PA      | $1983116.32    | 0.01%             | 2037-10-19      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3768000 | PA      | $3593308.36    | 0.02%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JNW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       311459 | PA      | $300886.93     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1749300 | PA      | $1688710.90    | 0.01%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250003.38     | 0.00%             | 2031-04-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQGC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4230222 | PA      | $4191796.76    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     30329000 | PA      | $30951354.42   | 0.17%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                                       | Buckhorn Park CLO Ltd                                                            | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2400000 | PA      | $2400184.80    | 0.01%             | 2034-07-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |      3497749 | PA      | $3510341.60    | 0.02%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2680000 | PA      | $2695782.25    | 0.01%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                             | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4795307 | PA      | $4834451.97    | 0.03%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                                | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-O            | CORP              | US        |      6018331 | PA      | $6027750.44    | 0.03%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                     | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4370000 | PA      | $49332.06      | 0.00%             | 2047-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       405008 | PA      | $391533.20     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                | CarVal CLO VC Ltd                                                                | CUSIP: 14687MAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249032.38     | 0.00%             | 2034-10-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -1179000 | PA      | $-1042659.60   | -0.01%            | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |       530000 | PA      | $14575.00      | 0.00%             | 2022-07-05      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                       | AEP Transmission Co LLC                                                          | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      1262000 | PA      | $941724.67     | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       327746 | PA      | $335861.32     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     45511000 | PA      | $46159941.35   | 0.25%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                                      | Weekley Homes LLC / Weekley Finance Corp                                         | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1032000 | PA      | $999575.49     | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1747235 | PA      | $1402923.21    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31412N6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17240 | PA      | $17201.28      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -1635000 | PA      | $-1331217.16   | -0.01%            | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      1377483 | PA      | $1377346.12    | 0.01%             | 2030-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       382202 | PA      | $250367.66     | 0.00%             | 2037-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8428029 | PA      | $8451732.57    | 0.05%             | 2039-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6123768 | PA      | $5610362.55    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242234 | PA      | $218728.81     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1917500 | PA      | $1934550.60    | 0.01%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XJB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        58391 | PA      | $57138.59      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                                 | Golar LNG Ltd                                                                    | CUSIP: 38046YAC5<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |       817000 | PA      | $837425.00     | 0.00%             | 2030-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QAS9<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |      3460000 | PA      | $3453309.74    | 0.02%             | 2034-01-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       277039 | PA      | $276760.17     | 0.00%             | 2033-05-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3584689 | PA      | $3293885.20    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                            | Myers Park CLO Ltd                                                               | CUSIP: 62848FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       890000 | PA      | $890580.90     | 0.00%             | 2030-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPJ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3618223 | PA      | $3585357.15    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                      | Service Properties Trust                                                         | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      6194000 | PA      | $6369030.05    | 0.03%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7220000 | PA      | $6883165.34    | 0.04%             | 2037-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42921352 | PA      | $1201729.19    | 0.01%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                       | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12915000 | PA      | $12909562.79   | 0.07%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                 | American Home Mortgage Assets Trust 2007-1                                       | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       610418 | PA      | $211141.40     | 0.00%             | 2047-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                              | Crown Castle Inc                                                                 | CUSIP: 22822VBF7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      2288000 | PA      | $2308586.92    | 0.01%             | 2029-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7302792 | PA      | $5259127.33    | 0.03%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       699000 | PA      | $673160.14     | 0.00%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                   | Oracle Corp                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     24000000 | PA      | $16784224.08   | 0.09%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1497565 | PA      | $1479959.84    | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     57971500 | PA      | $53109593.19   | 0.28%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46556 | PA      | $48806.70      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                   | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2429000 | PA      | $2244418.35    | 0.01%             | 2057-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAS6<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |      1530000 | PA      | $1535384.07    | 0.01%             | 2037-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39854138 | PA      | $39559492.13   | 0.21%             | 2064-12-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| MINOR INTERNATIONAL PCL                                       | Minor International PCL                                                          | CUSIP: 000000000<br>LEI: 254900T4WB2UF9XPX041 | Long             | DBT              | CORP              | TH        |       500000 | PA      | $487290.00     | 0.00%             | N/A             | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                      | Rain City Mortgage Trust 2024-RTL1                                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1197623 | PA      | $1206580.26    | 0.01%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $48776.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                                      | Vista Energy Argentina SAU                                                       | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      1396000 | PA      | $1351048.80    | 0.01%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16934988 | PA      | $14322378.73   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       267649 | PA      | $251247.19     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        86178 | PA      | $69245.28      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22743196 | PA      | $18404393.57   | 0.10%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5432000 | PA      | $5527723.90    | 0.03%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138Y9NU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37502 | PA      | $36417.92      | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAA9<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |      1390000 | PA      | $1395284.09    | 0.01%             | 2037-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                                | CarVal CLO VC Ltd                                                                | CUSIP: 14687LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $242165.78     | 0.00%             | 2034-10-15      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13069000 | PA      | $11501986.39   | 0.06%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1815000 | PA      | $1764051.68    | 0.01%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1440000 | PA      | $1442661.70    | 0.01%             | 2038-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                                       | OHA Credit Partners XII Ltd                                                      | CUSIP: 67109YBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1550000 | PA      | $1555410.90    | 0.01%             | 2037-04-23      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                              | T-Mobile USA Inc                                                                 | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      6893000 | PA      | $7029433.15    | 0.04%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4735000 | PA      | $4208718.81    | 0.02%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1724169 | PA      | $1699469.41    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                               | Oaktree CLO 2021-2 Ltd                                                           | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2100000 | PA      | $2098621.35    | 0.01%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       278942 | PA      | $272139.72     | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| SOLARIS (SOLARIS ENER INFRA LLC): TL-B                        | SOLARIS (SOLARIS ENER INFRA LLC): TL-B                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     10822000 | PA      | $10822000.00   | 0.06%             | 2029-09-11      | Floating      | 10.30%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402QPQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116036 | PA      | $113919.26     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8687287 | PA      | $8888823.02    | 0.05%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |    269390000 | NC      | $548702.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16394419 | PA      | $13142831.00   | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Trimaran Advisors CAVU 2019-2                                 | Trimaran CAVU 2019-2 Ltd                                                         | CUSIP: 89624JAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500322.20     | 0.00%             | 2032-11-26      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                                | Securitized Asset Backed Receivables LLC Trust 2007-NC2                          | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       575000 | PA      | $420112.65     | 0.00%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                 | American Home Mortgage Assets Trust 2006-3                                       | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561702 | PA      | $364403.05     | 0.00%             | 2046-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300000 | PA      | $1071745.35    | 0.01%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       549647 | PA      | $512388.04     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9399822 | PA      | $9641397.77    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18760 | PA      | $18302.93      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     27547000 | PA      | $23249668.00   | 0.12%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     89697000 | PA      | $83677489.94   | 0.45%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                              | ISHARES RUSSELL 2000 ETF                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               | CORP              | US        |        -1867 | NC      | $-28005.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140956 | PA      | $137938.57     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                | Banc of America Funding 2014-R2 Trust                                            | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3290920 | PA      | $1140477.74    | 0.01%             | 2036-11-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           38 | PA      | $37.77         | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                   | State of Illinois                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     15387402 | PA      | $15422951.99   | 0.08%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     15516000 | PA      | $15701742.04   | 0.08%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                     | Block Inc                                                                        | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      3297000 | PA      | $3024233.55    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2779551 | PA      | $2238101.31    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                      | OZLM XXIV Ltd                                                                    | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $751768.58     | 0.00%             | 2032-07-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                                | JP Morgan Alternative Loan Trust 2007-A1                                         | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       578116 | PA      | $478549.42     | 0.00%             | 2037-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3293000 | PA      | $117623.65     | 0.00%             | 2050-06-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1200000 | PA      | $1201647.60    | 0.01%             | 2037-10-19      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus                                | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       422000 | PA      | $421208.75     | 0.00%             | 2039-12-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     21206000 | PA      | $21385695.19   | 0.11%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                                        | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4620000 | PA      | $4581403.13    | 0.02%             | 2036-08-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                 | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |            1 | NC      | $354640.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                      | Permian Resources Operating LLC                                                  | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      2171000 | PA      | $2219630.40    | 0.01%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1954800 | PA      | $1925931.32    | 0.01%             | 2065-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac REMICS                                                               | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58387025 | PA      | $58507407.38   | 0.31%             | 2055-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4384442 | PA      | $3761339.41    | 0.02%             | 2047-03-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8487984 | PA      | $10061448.76   | 0.05%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TELECOM ARGENTINA SA                                          | Telecom Argentina SA                                                             | CUSIP: 879273AV2<br>LEI: 549300MKPIRSJD8SB782 | Long             | DBT              | CORP              | AR        |      6827262 | PA      | $6947558.36    | 0.04%             | 2033-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9264423 | PA      | $8878807.67    | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2626779 | PA      | $2465317.46    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8693 | PA      | $8312.86       | 0.00%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       329816 | PA      | $321190.56     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2339512 | PA      | $2318261.11    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |       750052 | PA      | $751362.34     | 0.00%             | 2036-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1518235 | PA      | $1521449.75    | 0.01%             | 2053-05-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2922803 | PA      | $2931523.65    | 0.02%             | 2064-01-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       323273 | PA      | $315937.24     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89380641 | PA      | $71177853.19   | 0.38%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2020-I Ltd                                                          | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1200000 | PA      | $1203147.60    | 0.01%             | 2036-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                                | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       167097 | PA      | $167096.57     | 0.00%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                               | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       371810 | PA      | $362126.64     | 0.00%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |            1 | NC      | $-154473.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                    | Morgan Stanley ABS Capital I Inc Trust 2005-HE5                                  | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2846174 | PA      | $2356892.51    | 0.01%             | 2035-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                      | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      8912000 | PA      | $9302660.46    | 0.05%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     12001000 | PA      | $12037045.72   | 0.06%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| VOLATO GROUP INC                                              | VOLATO GROUP INC                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        73612 | NC      | $1877.11       | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2310000 | PA      | $2356664.31    | 0.01%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XTGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       115410 | PA      | $106620.37     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/SGD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $5195.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5709229 | PA      | $5611711.85    | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                 | MTN Commercial Mortgage Trust 2022-LPFL                                          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1330000 | PA      | $1329168.75    | 0.01%             | 2039-03-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133WGB95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1073435 | PA      | $1115821.09    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2021-3 Ltd                                                     | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       360000 | PA      | $360918.94     | 0.00%             | 2035-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| PLAYSTUDIOS INC CLASS A LEGENDED                              | PLAYSTUDIOS INC CLASS A LEGENDED                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       457322 | NS      | $599091.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO Residential Funding Trust 2024-CES2                                        | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-MBS          | CORP              | US        |      1538795 | PA      | $1544145.43    | 0.01%             | 2054-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11327326 | PA      | $11369803.58   | 0.06%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                   | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       848000 | PA      | $888690.43     | 0.00%             | 2044-04-25      | Variable      | 9.89%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                     | Prosus NV                                                                        | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      9251000 | PA      | $8664946.74    | 0.05%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 4 Ltd                                                               | CUSIP: 37148BAE0<br>LEI: 549300HNXZUJB12SQJ60 | Long             | ABS-CBDO         | CORP              | KY        |      3000000 | PA      | $3004477.80    | 0.02%             | 2037-07-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                                  | Anchorage Capital Europe CLO 2021-4 DAC                                          | CUSIP: 000000000<br>LEI: 635400DODOOELVF8BK72 | Long             | ABS-CBDO         | CORP              | IE        |       542000 | PA      | $639556.29     | 0.00%             | 2034-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       921862 | PA      | $800449.55     | 0.00%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4082000 | PA      | $4018883.42    | 0.02%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1095000 | PA      | $1100273.52    | 0.01%             | 2031-08-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                              | Viper Energy Inc                                                                 | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     23044000 | PA      | $24451646.43   | 0.13%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127965 | PA      | $115221.45     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                        | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | CH        |     -4565000 | NC      | $-2.95         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                             | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13000000 | PA      | $40583.40      | 0.00%             | 2037-06-05      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 55B LTD                                               | CUSIP: 38178LAA7<br>LEI: 254900ZZ9HHZTOQ1XK24 | Long             | ABS-CBDO         | CORP              | KY        |       430000 | PA      | $430406.44     | 0.00%             | 2034-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                          | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |      1830000 | PA      | $1834827.54    | 0.01%             | 2037-01-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO Residential Funding Trust 2024-NQM1                                        | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353000 | PA      | $357245.50     | 0.00%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                                | JP Morgan Mortgage Acquisition Trust 2007-CH1                                    | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       120000 | PA      | $122908.98     | 0.00%             | 2036-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3750000.00    | 0.02%             | 2041-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                | PECO Energy Co                                                                   | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      7028000 | PA      | $4425810.89    | 0.02%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        85642 | PA      | $85634.37      | 0.00%             | 2031-07-27      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -2763000 | PA      | $-2390383.31   | -0.01%            | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                 | Bear Stearns Mortgage Funding Trust 2007-AR2                                     | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179532 | PA      | $170821.89     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AGL CLO 7 LTD                                                 | AGL CLO 7 Ltd                                                                    | CUSIP: 008511AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2400000 | PA      | $2402860.80    | 0.01%             | 2034-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312936U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        50948 | PA      | $52034.73      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19749037 | PA      | $17342498.03   | 0.09%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3385093 | PA      | $3391729.54    | 0.02%             | 2039-02-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -504425000 | PA      | $-512557763.57 | -2.74%            | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XUDS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       456484 | PA      | $422554.41     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAN7<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1502315.40    | 0.01%             | 2038-01-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       540292 | PA      | $489266.00     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       574886 | PA      | $427605.58     | 0.00%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       170849 | PA      | $159427.04     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables                                | Cardiff Auto Receivables Securitisation 2024-1 PLC                               | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      1320000 | PA      | $1815018.09    | 0.01%             | 2031-08-20      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                                          | Bluemountain Euro 2021-2 CLO DAC                                                 | CUSIP: 000000000<br>LEI: 635400FUA3XKDDGLJL55 | Long             | ABS-CBDO         | CORP              | IE        |      3280000 | PA      | $3873130.03    | 0.02%             | 2035-10-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47475724 | PA      | $742368.41     | 0.00%             | 2052-02-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                                      | NAK Naftogaz Ukraine via Kondor Finance PLC                                      | CUSIP: 000000000<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      3263640 | PA      | $3267744.02    | 0.02%             | 2026-07-19      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       655000 | PA      | $902465.41     | 0.00%             | 2032-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr                                | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       600000 | PA      | $560256.00     | 0.00%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                 | UK Logistics 2024-2 DAC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1381905 | PA      | $1910612.31    | 0.01%             | 2035-02-17      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6339993 | PA      | $5960225.13    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |     78187000 | NC      | $3671499.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                                 | Hermitage 2025 PLC                                                               | CUSIP: 000000000<br>LEI: 635400MSBHAPT1EQBW93 | Long             | ABS-O            | CORP              | GB        |       468000 | PA      | $642564.01     | 0.00%             | 2033-04-21      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      8736000 | PA      | $8503267.46    | 0.05%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                   | Vistra Corp                                                                      | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |        13960 | NS      | $2705587.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -16585 | NC      | $-37667316.05  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q8AT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7684 | PA      | $7044.16       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2018-COR3 Mortgage Trust                                                    | CUSIP: 12595VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $134894.72     | 0.00%             | 2051-05-10      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1001000 | PA      | $1046021.68    | 0.01%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4271067 | PA      | $4284712.38    | 0.02%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       269201 | PA      | $212008.43     | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     91501000 | PA      | $91823576.71   | 0.49%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                | Solventum Corp                                                                   | CUSIP: 83444MAN1<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      2088000 | PA      | $2122063.57    | 0.01%             | 2027-02-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                           | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       250000 | PA      | $221174.65     | 0.00%             | 2033-03-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-132663.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QTXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        73330 | PA      | $71011.40      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15103 | PA      | $14560.61      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      5686000 | PA      | $5707875.75    | 0.03%             | 2037-04-28      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAN4<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |      1070000 | PA      | $1072419.91    | 0.01%             | 2031-04-26      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                              | Altria Group Inc                                                                 | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      1835000 | PA      | $1436008.67    | 0.01%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XF5V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73743 | PA      | $72176.04      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       590847 | PA      | $559227.10     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4328437 | PA      | $3336943.42    | 0.02%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                                     | Wellington Management Clo 4 Ltd                                                  | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |      1840000 | PA      | $1837392.17    | 0.01%             | 2038-04-18      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                 | Ballyrock Clo 29 Ltd                                                             | CUSIP: 05876GAA2<br>LEI: 254900DD7OSYIC2KWA70 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250062.50     | 0.00%             | 2038-07-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QTSD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        42490 | PA      | $40238.77      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4947838 | PA      | $4929629.26    | 0.03%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                          | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      6464000 | PA      | $5827882.16    | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1547417 | PA      | $1425243.24    | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLEXSYS CAYMAN HOLDINGS LP: TL LOAN/TERM                      | FLEXSYS CAYMAN HOLDINGS LP: TL LOAN/TERM                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      1962310 | PA      | $993419.44     | 0.01%             | 2029-08-01      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| SUN COUNTRY 2022-1A                                           | SUN COUNTRY 2022-1A                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3297590 | PA      | $3219437.53    | 0.02%             | 2031-03-15      | Fixed         | 4.84%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416XXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100963 | PA      | $100577.99     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109200 | PA      | $92044.94      | 0.00%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307LZ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1349 | PA      | $1311.89       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        49810 | PA      | $48089.77      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307LRK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        21459 | PA      | $20730.76      | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27348 | PA      | $27135.30      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2812000 | PA      | $2220613.51    | 0.01%             | 2049-01-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | AUD/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-14881.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                               | DR Horton Inc                                                                    | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |      2394000 | PA      | $2437702.33    | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2531454 | PA      | $2400883.50    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7796100 | PA      | $7766864.63    | 0.04%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                                            | Elmwood CLO 39 Ltd                                                               | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1248685.13    | 0.01%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FREED CORP 4A2                                                | FREED CORP 4A2                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     28966238 | PA      | $29148725.30   | 0.16%             | 2028-11-30      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| CME GROUP INC.                                                | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |        -7820 | NC      | $-879750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Series 2014-4R                                                              | CUSIP: 12648JDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          326 | PA      | $325.33        | 0.00%             | 2036-02-27      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(                                | Golub Capital Partners CLO 52 B R Ltd                                            | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |       940000 | PA      | $945423.80     | 0.01%             | 2037-04-20      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FWD GROUP HOLDINGS LTD                                        | FWD Group Holdings Ltd                                                           | CUSIP: 000000000<br>LEI: 254900HEGGDS8WU5QZ97 | Long             | DBT              | CORP              | KY        |      1400000 | PA      | $1440985.00    | 0.01%             | 2029-04-05      | Fixed         | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       681418 | PA      | $667936.09     | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10753030 | PA      | $10690340.72   | 0.06%             | 2067-12-25      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       666534 | PA      | $626607.80     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9074493 | PA      | $9475055.00    | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hamlin Park CLO                                               | Hamlin Park CLO Ltd                                                              | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1460000 | PA      | $1464986.63    | 0.01%             | 2037-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28515935 | PA      | $24012683.34   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VMSZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1414177 | PA      | $1373999.53    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAVERICK GAMING LLC FO:TL-FO                                  | MAVERICK GAMING LLC FO:TL-FO                                                     | CUSIP: 57770JAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1540758 | PA      | $1394385.80    | 0.01%             | 2028-06-03      | Floating      | 11.78%                | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                            | BMO 2023-C5 Mortgage Trust                                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14237999 | PA      | $664908.84     | 0.00%             | 2056-06-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116111 | PA      | $115209.55     | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |      4046954 | PA      | $4047396.24    | 0.02%             | 2030-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140MBCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2553449 | PA      | $2058370.19    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCEANA A 4YR NOTE UPSIZE                                      | OCEANA A 4YR NOTE UPSIZE                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |      4228000 | PA      | $2821058.88    | 0.02%             | 2028-07-31      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| Bombardier Capital Mortgage Se                                | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1674455 | PA      | $117099.32     | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                   | Taurus 2025-2 UK DAC                                                             | CUSIP: 000000000<br>LEI: 635400ZUSGYHROR9ZX12 | Long             | ABS-MBS          | CORP              | IE        |      2332179 | PA      | $3175658.40    | 0.02%             | 2035-02-18      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2452000 | PA      | $2558505.07    | 0.01%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14240712 | PA      | $14255800.10   | 0.08%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $74178.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     49496000 | PA      | $46671247.94   | 0.25%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu                                | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12930176 | PA      | $13091016.19   | 0.07%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                        | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | CH        |     -6848000 | NC      | $-0.64         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2020-3 Mortgage Loan Trust                                                  | CUSIP: 12597QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       144989 | PA      | $141818.73     | 0.00%             | 2065-04-27      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       644682 | PA      | $623528.03     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        65035 | PA      | $61112.33      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW GENERATION GAS BOND                                       | NEW GENERATION GAS BOND                                                          | CUSIP: 000000000<br>LEI: 9845008CB7EPB0KCD474 | Long             | DBT              | CORP              | US        |      8999783 | PA      | $8932284.97    | 0.05%             | 2029-09-30      | Floating      | 10.04%                | No            |                  3 | On Loan: No      |
| First Horizon Alternative Mort                                | First Horizon Alternative Mortgage Securities Trust 2005-AA12                    | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18832 | PA      | $11534.24      | 0.00%             | 2036-02-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2224885 | PA      | $2292437.18    | 0.01%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y2TU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        41843 | PA      | $40675.49      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Jubilee Place                                                 | Jubilee Place 7 BV                                                               | CUSIP: 000000000<br>LEI: 724500E73QDBSXZ44959 | Long             | ABS-MBS          | CORP              | NL        |       185000 | PA      | $215997.60     | 0.00%             | 2062-09-18      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                    | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1963000 | PA      | $1966411.30    | 0.01%             | 2042-04-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13905865 | PA      | $13905865.38   | 0.07%             | 2037-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                       | Philippine Government International Bond                                         | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     11468000 | PA      | $11078088.00   | 0.06%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX 2021-MFM1                                                                     | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1017100 | PA      | $1015843.68    | 0.01%             | 2034-01-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1850449 | PA      | $1642751.00    | 0.01%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       309814 | PA      | $316641.36     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LTD                                          | JSW Hydro Energy Ltd                                                             | CUSIP: 000000000<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |     11360000 | PA      | $10394400.00   | 0.06%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                      | Permian Resources Operating LLC                                                  | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       172000 | PA      | $171707.86     | 0.00%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DREAM FINDERS HOMES INC                                       | DREAM FINDERS HOMES INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        15124 | NS      | $14897140.00   | 0.08%             |  |  |  | No            |                  3 | On Loan: No      |
| Exmoor Funding PLC                                            | Exmoor Funding 2024-1 PLC                                                        | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |       454000 | PA      | $628966.86     | 0.00%             | 2094-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                                | Residential Mortgage Loan Trust 2019-3                                           | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       282000 | PA      | $276992.89     | 0.00%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       630000 | PA      | $504337.49     | 0.00%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                  | UBS Group AG                                                                     | CUSIP: 902613AJ7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       483000 | PA      | $469787.63     | 0.00%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1524722.40    | 0.01%             | 2039-11-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312936NC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29025 | PA      | $29779.30      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                 | LUX 2023-LION                                                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2293684 | PA      | $2308864.75    | 0.01%             | 2040-08-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       225978 | PA      | $227031.52     | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lewey Park CLO Ltd                                            | Lewey Park CLO Ltd                                                               | CUSIP: 527911AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       470000 | PA      | $470626.60     | 0.00%             | 2037-10-21      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                              | Alabama Power Co                                                                 | CUSIP: 010392FP8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      1946000 | PA      | $1628657.70    | 0.01%             | 2046-01-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4813367 | PA      | $4259386.25    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       276352 | PA      | $276093.34     | 0.00%             | 2037-02-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1282831 | PA      | $1185252.14    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                               | Madison Park Funding XL Ltd                                                      | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |      2151556 | PA      | $2153269.57    | 0.01%             | 2030-05-28      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | MXN CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              | CORP              | GB        |    280420000 | NC      | $6281487.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-22T1                                                 | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2571093 | PA      | $2265666.52    | 0.01%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3921719 | PA      | $3132808.43    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1277000 | PA      | $1287289.56    | 0.01%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                                | Merrill Lynch Mortgage Investors Trust Series 2006-RM3                           | CUSIP: 590217AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       819272 | PA      | $171954.42     | 0.00%             | 2037-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                           | Suzano Austria GmbH                                                              | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      7236000 | PA      | $6349553.82    | 0.03%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12763970 | PA      | $10235322.75   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                             | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       471000 | PA      | $458576.95     | 0.00%             | 2067-08-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Auto1 Car Funding                                             | Auto1 Car Funding Sarl                                                           | CUSIP: 000000000<br>LEI: 984500380CAE46K6F380 | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $353846.17     | 0.00%             | 2033-12-15      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12194346 | PA      | $9812063.05    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                            | Energy Transfer LP                                                               | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      6516000 | PA      | $6262362.16    | 0.03%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securiti                                | Asset-Backed European Securitisation Transaction Twenty-Three Sarl               | CUSIP: 000000000<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $356136.10     | 0.00%             | 2034-03-21      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAC7<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1501837.20    | 0.01%             | 2031-05-20      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD 2024-VICT Mortgage Trust                                                    | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4170000 | PA      | $4180425.00    | 0.02%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Winchester PLC                                                | Winchester 1 PLC                                                                 | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |       393000 | PA      | $538952.46     | 0.00%             | 2056-10-21      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                       | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |       429000 | PA      | $410040.59     | 0.00%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2025000 | PA      | $1865978.17    | 0.01%             | 2041-04-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-20630.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                        | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1876000 | PA      | $1817665.40    | 0.01%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1983300 | PA      | $2000130.88    | 0.01%             | 2064-06-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                                       | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1020000 | PA      | $1023510.84    | 0.01%             | 2035-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8860000 | PA      | $8873843.75    | 0.05%             | 2041-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                                 | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12115249 | PA      | $11636283.81   | 0.06%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |      1220000 | PA      | $1218727.91    | 0.01%             | 2032-05-29      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA53<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       844000 | PA      | $933233.17     | 0.00%             | 2034-10-24      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1835590 | PA      | $1500470.15    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                            | Myers Park CLO Ltd                                                               | CUSIP: 62848FAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250554.75     | 0.00%             | 2030-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5463147 | PA      | $5479250.40    | 0.03%             | 2040-12-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4970200 | PA      | $4735478.33    | 0.03%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                               | CDS ITRAXX.EU.43.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-440249.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                                | PRET 2024-NPL5 LLC                                                               | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |      4934691 | PA      | $4940033.17    | 0.03%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| TTAN                                                          | TTAN 2021-MHC                                                                    | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3783699 | PA      | $3787246.16    | 0.02%             | 2038-03-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21095657 | PA      | $847885.07     | 0.00%             | 2052-05-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                    | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3805000 | PA      | $3822306.28    | 0.02%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1826103 | PA      | $1853292.97    | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2762226 | PA      | $2613077.39    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                               | Oaktree CLO 2020-1 Ltd                                                           | CUSIP: 67402FAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       930000 | PA      | $925905.77     | 0.00%             | 2038-01-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9391363 | PA      | $9208647.11    | 0.05%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 53 CLO Ltd                                                                | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11555554 | PA      | $11561331.78   | 0.06%             | 2031-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BNY Capital Markets, LLC                                      | BRL/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: VJW2DOOHGDT6PR0ZRO63 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-155406.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | GBP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-714956.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                                | CFCRE Commercial Mortgage Trust 2016-C3                                          | CUSIP: 12531WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5497000 | PA      | $45750.98      | 0.00%             | 2048-01-10      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                                  | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2910000 | PA      | $2184710.15    | 0.01%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      3457000 | PA      | $2609396.66    | 0.01%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X9GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       232633 | PA      | $228889.55     | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                              | Georgia Power Co                                                                 | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     10389000 | PA      | $9708827.49    | 0.05%             | 2052-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                                       | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |      1600000 | PA      | $1604212.64    | 0.01%             | 2034-06-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                                      | Regatta XII Funding Ltd                                                          | CUSIP: 75888HAW1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |      3340000 | PA      | $3352880.71    | 0.02%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                           | DBGS 2024-SBL                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5582000 | PA      | $5582000.00    | 0.03%             | 2034-08-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1025000 | PA      | $937152.64     | 0.01%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec                                | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       679000 | PA      | $600623.03     | 0.00%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/PLN FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1065086.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138Y23L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36628 | PA      | $35468.13      | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27897000 | PA      | $20025904.97   | 0.11%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       618045 | PA      | $591011.52     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                              | Viper Energy Inc                                                                 | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     32793000 | PA      | $32828677.14   | 0.18%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2022-NQM2 Trust                                                             | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       853000 | PA      | $709127.05     | 0.00%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| NORTHWIND MIDSTREAM 1L TL:TL LOAN/TERM                        | NORTHWIND MIDSTREAM 1L TL:TL LOAN/TERM                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     20759000 | PA      | $20370806.70   | 0.11%             | 2029-03-18      | Floating      | 6.25%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     46292700 | PA      | $29354273.29   | 0.16%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWHEQ Home Equity Loan Trust Series 2006-S5                                      | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39184 | PA      | $60416.14      | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KHPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       156839 | PA      | $152561.95     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -627000 | PA      | $-636158.76    | -0.00%            | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      3466000 | PA      | $3623051.46    | 0.02%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2965411 | PA      | $2745094.53    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       303859 | PA      | $247026.90     | 0.00%             | 2036-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     22579000 | PA      | $22953908.49   | 0.12%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     28339000 | PA      | $24245284.09   | 0.13%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| WOM NEW HOLDCO COMMON                                         | WOM NEW HOLDCO COMMON                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |         9330 | NS      | $261240.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3344964 | PA      | $3257053.93    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                                | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2288000 | PA      | $1980332.41    | 0.01%             | 2067-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                                  | St Paul's CLO XII DAC                                                            | CUSIP: 000000000<br>LEI: 635400TG25DYCKV8CW74 | Long             | ABS-CBDO         | CORP              | IE        |      1420000 | PA      | $1662828.83    | 0.01%             | 2033-04-15      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307CLK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        17595 | PA      | $17227.99      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                         | Level 3 Financing Inc                                                            | CUSIP: 527298CK7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |       945720 | PA      | $955169.92     | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-184424.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                   | Equinix Inc                                                                      | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      5153000 | PA      | $3447190.66    | 0.02%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                 | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251281 | PA      | $248300.57     | 0.00%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042475<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27824000 | PA      | $27644415.00   | 0.15%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       423134 | PA      | $409650.24     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2006-AR15                                       | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268215 | PA      | $261877.62     | 0.00%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                       | Bryant Park Funding 2024-24 Ltd                                                  | CUSIP: 11766DAA0<br>LEI: 3912003A96YDRT8EGP15 | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1505162.70    | 0.01%             | 2037-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XUUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       324980 | PA      | $318421.69     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4860000 | PA      | $4911267.65    | 0.03%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5931354 | PA      | $4771264.76    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                        | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |      9857248 | PA      | $10326094.78   | 0.06%             | 2041-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4426956 | PA      | $4163167.25    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37481854 | PA      | $37722183.75   | 0.20%             | 2065-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                         | Foundry JV Holdco LLC                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      7542000 | PA      | $7735800.59    | 0.04%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       951012 | PA      | $942096.26     | 0.01%             | 2034-09-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11052946 | PA      | $10380157.58   | 0.06%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Autonoria                                                     | AutoNoria Spain 2025-1 FT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       500000 | PA      | $589140.83     | 0.00%             | 2043-04-30      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1215566 | PA      | $998081.20     | 0.01%             | 2051-12-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| AVAYA HOLDINGS CORP                                           | AVAYA HOLDINGS CORP                                                              | CUSIP: 05351X507<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          333 | NS      | $2414.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47387500 | PA      | $44372100.22   | 0.24%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWM30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        47757 | PA      | $45314.50      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS USD                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $170384.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                                | Bankers Healthcare Group Securitization Trust 2020-A                             | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       410000 | PA      | $409244.90     | 0.00%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $499174.05     | 0.00%             | 2031-07-19      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2100739 | PA      | $2056119.71    | 0.01%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4056237 | PA      | $4063923.11    | 0.02%             | 2034-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2182328 | PA      | $1979448.44    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                 | Boeing Co/The                                                                    | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      4914000 | PA      | $5397277.45    | 0.03%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                      | Service Properties Trust                                                         | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      5709000 | PA      | $5937856.68    | 0.03%             | 2029-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      3369000 | PA      | $3113544.77    | 0.02%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2006-AR41                                       | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       375012 | PA      | $353185.39     | 0.00%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                                | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1120000 | PA      | $1121291.14    | 0.01%             | 2041-01-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4114187 | PA      | $4125724.04    | 0.02%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2617000 | PA      | $2438287.16    | 0.01%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                         | Western Alliance Bank                                                            | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |      7586514 | PA      | $7905296.77    | 0.04%             | 2059-07-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |      1467272 | PA      | $1467562.77    | 0.01%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance P                                | Grace Trust 2020-GRCE                                                            | CUSIP: 38406JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1489000 | PA      | $1261091.13    | 0.01%             | 2040-12-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6200 | PA      | $5560.20       | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2972360 | PA      | $3048702.14    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4461494 | PA      | $4151990.12    | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                 | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1540000 | PA      | $1308832.60    | 0.01%             | 2042-11-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                                | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1554106 | PA      | $112216.89     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12397305 | PA      | $10808207.29   | 0.06%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 18 Ltd                                                                        | CUSIP: 749752AE1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |       485000 | PA      | $485874.21     | 0.00%             | 2034-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     12950000 | PA      | $12806729.36   | 0.07%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Inc                                          | Invitation Homes Inc                                                             | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       138148 | NS      | $4531254.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                              | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     23558000 | PA      | $22879948.93   | 0.12%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                                | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       547041 | PA      | $437514.69     | 0.00%             | 2035-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                             | USD CALL VERSUS EUR PUT                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | GB        |      6848000 | NC      | $0.64          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QG3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       982637 | PA      | $848132.74     | 0.00%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10754786 | PA      | $9141785.14    | 0.05%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6051721 | PA      | $6160882.85    | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34391165 | PA      | $762734.14     | 0.00%             | 2029-05-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       930000 | PA      | $933176.66     | 0.00%             | 2030-10-22      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | Oak Hill Credit Partners X-R Ltd                                                 | CUSIP: 67707CBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2680000 | PA      | $2677598.18    | 0.01%             | 2038-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| PCL Funding                                                   | PCL Funding IX PLC                                                               | CUSIP: 000000000<br>LEI: 213800OC928ETRJNHM43 | Long             | ABS-O            | CORP              | GB        |       151000 | PA      | $206776.64     | 0.00%             | 2029-07-16      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11617000 | PA      | $11671533.68   | 0.06%             | 2031-06-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                 | UBS Commercial Mortgage Trust 2017-C7                                            | CUSIP: 90276WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       880000 | PA      | $862573.80     | 0.00%             | 2050-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3628637 | PA      | $3075169.06    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       367623 | PA      | $355528.16     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                 | LGI Homes Inc                                                                    | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      1568000 | PA      | $1629997.15    | 0.01%             | 2028-12-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1171871 | PA      | $1128255.56    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5495000 | PA      | $5696989.66    | 0.03%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1288681 | PA      | $1239683.29    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15351687 | PA      | $12927309.46   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                | CWHEQ Revolving Home Equity Loan Trust Series 2005-B                             | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        37909 | PA      | $37543.57      | 0.00%             | 2035-05-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                     | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       680719 | PA      | $616196.11     | 0.00%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt                                | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      3559964 | PA      | $3130044.32    | 0.02%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2915 | PA      | $2826.44       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272675 | PA      | $263447.44     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                                | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       260000 | PA      | $260913.35     | 0.00%             | 2037-10-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       371505 | PA      | $347129.92     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NQR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77551 | PA      | $75349.64      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227932 | PA      | $190600.49     | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                            | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $962.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7033586.00    | 0.04%             | 2037-01-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05533YBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1323496 | PA      | $1274545.32    | 0.01%             | 2036-05-28      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST LOCAL GOVT ENVRNM                                | Louisiana Local Government Environmental Facilities & Community Development Auth | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | ABS-O            | MUN               | US        |      2630000 | PA      | $2595070.31    | 0.01%             | 2033-02-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2025-II Ltd                                                         | CUSIP: 17181DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3640000 | PA      | $3634671.04    | 0.02%             | 2038-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                                  | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597000 | PA      | $567030.78     | 0.00%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV                                | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |       854520 | PA      | $854805.10     | 0.00%             | 2031-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4413500 | PA      | $4245947.65    | 0.02%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| DIG HLDNG/DIG FIN/DIFL                                        | Digicel Intermediate Holdings Ltd / Digicel International Finance Ltd / Difl US  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       566577 | PA      | $572242.77     | 0.00%             | 2027-05-25      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                         | Northrop Grumman Corp                                                            | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      3130000 | PA      | $2813304.57    | 0.02%             | 2053-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       876284 | PA      | $878015.71     | 0.00%             | 2032-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-183634.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1589711 | PA      | $1545367.75    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-PURE                                           | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      1343000 | PA      | $996439.33     | 0.01%             | 2041-11-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2022-CM1 Trust                                                              | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       277936 | PA      | $259297.76     | 0.00%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                                    | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $10070.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4422000 | PA      | $3380888.30    | 0.02%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6790507 | PA      | $5438977.99    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                           | Elevance Health Inc                                                              | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      3954000 | PA      | $2782737.78    | 0.01%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3175334 | PA      | $3225681.36    | 0.02%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/CZK FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $39897.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                       | NYMT Loan Trust 2024-INV1                                                        | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |      1212502 | PA      | $1211329.51    | 0.01%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1860000 | PA      | $1870176.80    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| LEHMAN BROTHERS HOLDINGS                                      | Lehman Brothers Holdings Inc                                                     | CUSIP: 5249087M6<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |      7360000 | PA      | $0.74          | 0.00%             | 2017-12-28      | Fixed         | 6.75%                 | No            |                  3 | On Loan: No      |
| AREIT CRE Trust                                               | AREIT 2023-CRE8 LLC                                                              | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      2912322 | PA      | $2921253.48    | 0.02%             | 2041-08-17      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4665900 | PA      | $4353503.44    | 0.02%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                                    | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      2990000 | PA      | $3001005.89    | 0.02%             | 2037-04-26      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CommScope Holding Co Inc                                      | CommScope Holding Co Inc                                                         | CUSIP: 20337X109<br>LEI: 254900AW4CEPCQWSRI58 | Long             | EC               | CORP              | US        |       180889 | NS      | $1497760.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                              | CSC Holdings LLC                                                                 | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      3346000 | PA      | $3194582.02    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15637721 | PA      | $14266917.51   | 0.08%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 2 Ltd                                                               | CUSIP: 370910AE1<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |      2970000 | PA      | $2975472.23    | 0.02%             | 2037-10-22      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| SPLT_23-1                                                     | SPLT_23-1                                                                        | CUSIP: 78474N102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177894 | PA      | $8185606.51    | 0.04%             | 2030-10-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                           | MidOcean Credit CLO XII Ltd                                                      | CUSIP: 59803TAQ4<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |      3170000 | PA      | $3173566.25    | 0.02%             | 2036-04-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117094 | PA      | $114151.31     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416521 | PA      | $416520.67     | 0.00%             | 2038-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PIONEER MIDCO 144A NOTES                                      | PIONEER MIDCO 144A NOTES                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8122860 | PA      | $8234955.93    | 0.04%             | 2030-11-18      | Floating      | 10.50%                | No            |                  3 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     26934000 | PA      | $18070132.11   | 0.10%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165471 | PA      | $153990.57     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HJUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171143 | PA      | $166984.08     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                           | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250546.88     | 0.00%             | 2031-07-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       210774 | PA      | $190585.95     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2893417 | PA      | $2533306.68    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30201000 | PA      | $27057028.79   | 0.14%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                                   | Tenneco Inc                                                                      | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |      2722000 | PA      | $2691778.72    | 0.01%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33503017 | PA      | $5655748.08    | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2006-2                                            | CUSIP: 07324YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       386075 | PA      | $370115.02     | 0.00%             | 2036-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       544036 | PA      | $491814.27     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2022-2                                    | CUSIP: 92259UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1920481 | PA      | $1852620.55    | 0.01%             | 2052-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2140000 | PA      | $1864846.65    | 0.01%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5914102 | PA      | $6468313.01    | 0.03%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L                                | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |      8360001 | PA      | $8388710.54    | 0.04%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| iShares AAA CLO Active ETF                                    | iShares AAA CLO Active ETF                                                       | CUSIP: 092528504<br>LEI: 529900KNSFG5S5J6YP44 | Long             | EC               | RF                | US        |       200000 | NS      | $10384000.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES CLO Ltd                                                  | Ares LIX CLO Ltd                                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $501585.10     | 0.00%             | 2034-04-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                                | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       781259 | PA      | $746400.36     | 0.00%             | 2037-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74119500 | PA      | $72764502.89   | 0.39%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       770000 | PA      | $771627.09     | 0.00%             | 2037-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       143946 | PA      | $134234.26     | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9318000 | PA      | $9323823.75    | 0.05%             | 2038-04-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                  | Huntington Bank Auto Credit-Linked Notes Series 2024-2                           | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6984978 | PA      | $7020207.17    | 0.04%             | 2032-10-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                | Structured Asset Mortgage Investments II Trust 2006-AR4                          | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1561802 | PA      | $1356633.62    | 0.01%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QQYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33557 | PA      | $31871.79      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |      4766000 | PA      | $4775360.90    | 0.03%             | 2029-10-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6020000 | PA      | $4009984.25    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                            | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21013.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                   | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       652724 | PA      | $322819.22     | 0.00%             | 2047-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                                | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12490000 | PA      | $74947.49      | 0.00%             | 2050-11-15      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Pony                                                          | Pony SA                                                                          | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $354288.61     | 0.00%             | 2033-01-14      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 104 CLO Ltd                                                               | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3180000 | PA      | $3187842.52    | 0.02%             | 2034-08-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        21181 | PA      | $20458.69      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3935462 | PA      | $2332930.95    | 0.01%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                        | Verizon Communications Inc                                                       | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      7347000 | PA      | $6345780.01    | 0.03%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3536185 | PA      | $1021639.11    | 0.01%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK FA                                              | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11911000 | PA      | $1.19          | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17579486 | PA      | $15547264.58   | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       373706 | PA      | $362544.46     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1209595 | PA      | $1100592.64    | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO 12 Ltd                                                           | CUSIP: 09090MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $748903.13     | 0.00%             | 2038-04-22      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       764706 | PA      | $610907.99     | 0.00%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1312374 | PA      | $1257795.97    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6816690 | PA      | $6797868.19    | 0.04%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1442000 | PA      | $1460241.88    | 0.01%             | 2064-01-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                             | Store Capital LLC                                                                | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     20283000 | PA      | $20550315.34   | 0.11%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                               | CVS Health Corp                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1497000 | PA      | $1325764.58    | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4287507 | PA      | $3764821.86    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       707000 | PA      | $710318.87     | 0.00%             | 2031-06-16      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                                 | EUR/USD ONE-TOUCH BARRIER OPTION; BARRIER PRICE EUR 1.00000                      | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | GB        |      2221000 | NC      | $40.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |      6765000 | PA      | $6790458.05    | 0.04%             | 2037-11-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                          | Glencore Funding LLC                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      8204000 | PA      | $7392103.36    | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-XL5                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       180283 | PA      | $180451.86     | 0.00%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 4 Ltd                                                         | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3170000 | PA      | $3177895.52    | 0.02%             | 2038-01-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     85265200 | PA      | $61547485.79   | 0.33%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBE7<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |       670621 | PA      | $671073.27     | 0.00%             | 2037-10-24      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                                  | OCP Euro CLO 2019-3 DAC                                                          | CUSIP: 000000000<br>LEI: 635400AITKFDK9OZEW62 | Long             | ABS-CBDO         | CORP              | IE        |       250000 | PA      | $295519.97     | 0.00%             | 2033-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                             | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       190707 | PA      | $182487.59     | 0.00%             | 2037-01-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH                                         | Dominion Energy South Carolina Inc                                               | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1124562.59    | 0.01%             | 2035-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36095256 | PA      | $6019988.45    | 0.03%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36200KST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25699 | PA      | $25711.73      | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      3502000 | PA      | $3309670.16    | 0.02%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1574532 | PA      | $1453136.11    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                   | Gartner Inc                                                                      | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     26272000 | PA      | $24978600.54   | 0.13%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TCW Ltd                                                       | TCW CLO 2019-2 Ltd                                                               | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1270000 | PA      | $1272157.35    | 0.01%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                            | Visio 2019-2 Trust                                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       906000 | PA      | $813131.19     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                                | Residential Mortgage Loan Trust 2019-2                                           | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2434000 | PA      | $2402571.71    | 0.01%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS DEUTSCHE BANK AG                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-97618.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2442211 | PA      | $2638535.06    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                 | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8083000 | PA      | $8067403.04    | 0.04%             | 2039-12-15      | None          | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                    | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3231000 | PA      | $3399262.08    | 0.02%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                     | CDS PACIFICORP                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-3909.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos Clo Lii                                                                   | CUSIP: 03771NAA8<br>LEI: 254900XJH54T9O9TH452 | Long             | ABS-CBDO         | CORP              | KY        |      2680000 | PA      | $2674640.00    | 0.01%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | CDS CMBX.NA.AAA.6.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |            1 | NC      | $-0.54         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                           | LCM 26 Ltd                                                                       | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       838227 | PA      | $838651.51     | 0.00%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6610000 | PA      | $6648090.13    | 0.04%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Winchester PLC                                                | Winchester 1 PLC                                                                 | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |       425000 | PA      | $581827.39     | 0.00%             | 2056-10-21      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                  | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       908000 | PA      | $939229.84     | 0.01%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Regatta XX Funding Ltd                                        | Regatta XX Funding Ltd                                                           | CUSIP: 75884YAK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1189000 | PA      | $1189930.63    | 0.01%             | 2038-01-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                        | RR 12 Ltd                                                                        | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |      1040000 | PA      | $1041021.90    | 0.01%             | 2036-01-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31586000 | PA      | $27933372.53   | 0.15%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        73449 | PA      | $70293.95      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1640062 | PA      | $1641599.35    | 0.01%             | 2039-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                            | Meta Platforms Inc                                                               | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     10428000 | PA      | $10190630.04   | 0.05%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                  | Ares XLVIII CLO Ltd                                                              | CUSIP: 04017FAE9<br>LEI: 5493005WFBSWHJ1WGQ35 | Long             | ABS-CBDO         | CORP              | KY        |       370000 | PA      | $370708.81     | 0.00%             | 2030-07-20      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                      | Florida Power & Light Co                                                         | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      1829000 | PA      | $1854496.88    | 0.01%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8960000 | PA      | $8991607.30    | 0.05%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                      | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $115212.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7815630 | PA      | $6596273.47    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      1850000 | PA      | $1842351.73    | 0.01%             | 2037-10-24      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                | Wynn Macau Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      8000000 | PA      | $7846000.00    | 0.04%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4516486 | PA      | $4513663.20    | 0.02%             | 2042-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128PY5Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         9083 | PA      | $8937.26       | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33152906 | PA      | $27851763.02   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 92556HAE7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      1698000 | PA      | $1668345.35    | 0.01%             | 2062-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      5690000 | PA      | $5121265.38    | 0.03%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                                | Natixis Commercial Mortgage Securities Trust 2018-SOX                            | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4162000 | PA      | $4095397.18    | 0.02%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       606000 | PA      | $593520.46     | 0.00%             | 2067-08-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     20312000 | PA      | $21253350.91   | 0.11%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66576 | PA      | $64076.84      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        45820 | PA      | $44366.05      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14665094 | PA      | $13889630.18   | 0.07%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-15CB                                                 | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306309 | PA      | $139890.64     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       331675 | PA      | $323833.78     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort                                | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                       | CUSIP: 50184BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3456488 | PA      | $89360.58      | 0.00%             | 2036-02-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16421 | PA      | $15348.62      | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2765151 | PA      | $2768598.87    | 0.01%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7312695 | PA      | $1243115.74    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPACE EXPLORATION TECHNOLOGIES CORP                           | SPACE EXPLORATION TECHNOLOGIES CORP                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        27504 | NS      | $5088240.00    | 0.03%             |  |  |  | Yes           |                  3 | On Loan: No      |
| LCM Ltd Partnership                                           | LCM XVII LP                                                                      | CUSIP: 50190AAK8<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | KY        |       101935 | PA      | $102027.66     | 0.00%             | 2031-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120138000 | PA      | $120295655.90  | 0.64%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36642000 | PA      | $32015947.50   | 0.17%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502000 | PA      | $89026.50      | 0.00%             | 2036-05-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       967596 | PA      | $864714.16     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Rakuten Group Inc                                             | Rakuten Group Inc                                                                | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Long             | EC               | CORP              | JP        |       306300 | NS      | $1687768.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                                    | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2290000 | PA      | $2287594.36    | 0.01%             | 2041-11-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JPTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        55545 | PA      | $54314.36      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                                      | Olympus Water US Holding Corp                                                    | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      2149000 | PA      | $2262961.47    | 0.01%             | 2028-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3811000 | PA      | $3825711.22    | 0.02%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| REDSTONE HOLDCO 2 LP                                          | Redstone Holdco 2 LP                                                             | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4319374 | PA      | $2310865.34    | 0.01%             | 2028-04-27      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       182000 | PA      | $445574.77     | 0.00%             | 2040-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3010243 | PA      | $2885041.99    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8838375 | PA      | $8752869.16    | 0.05%             | 2061-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10375 | PA      | $9662.93       | 0.00%             | 2043-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                             | Vedanta Resources Finance II PLC                                                 | CUSIP: 000000000<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      6746000 | PA      | $6986204.82    | 0.04%             | 2029-09-17      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                            | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       223641 | PA      | $205793.65     | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Loan Trust 2020-A                                      | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       928280 | PA      | $925608.38     | 0.00%             | 2068-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                      | Uruguay Government International Bond                                            | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      5923011 | PA      | $5937818.53    | 0.03%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      9412000 | PA      | $9493830.28    | 0.05%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                                | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387928 | PA      | $362843.69     | 0.00%             | 2036-03-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEEX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188966 | PA      | $182143.36     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                                 | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597457 | PA      | $523502.86     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                       | USD/MXN FORWARD                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $120018.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                      | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     21789000 | PA      | $17733742.23   | 0.09%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                                           | GSAT Trust 2025-BMF                                                              | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1936000 | PA      | $1936605.00    | 0.01%             | 2030-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc                                                | GE Vernova Inc                                                                   | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |         6173 | NS      | $3266442.95    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                                 | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 000000000<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250750.00     | 0.00%             | 2038-01-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2721697 | PA      | $2189972.46    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      6352000 | PA      | $6516119.86    | 0.03%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $648485.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                                   | HIT Trust 2022-HI32                                                              | CUSIP: 40442AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       980280 | PA      | $981505.08     | 0.01%             | 2039-07-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2809363 | PA      | $2852354.79    | 0.02%             | 2063-10-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                | NewDay Funding                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       981000 | PA      | $1346569.65    | 0.01%             | 2033-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21350 | PA      | $17876.87      | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                      | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     18836000 | PA      | $19344014.64   | 0.10%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      4530000 | PA      | $4552147.17    | 0.02%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                     | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3112000 | PA      | $2942945.27    | 0.02%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2008-2                                            | CUSIP: 07326HAJ3<br>LEI: 5493000GL2JJAFF26M50 | Long             | ABS-MBS          | CORP              | US        |       938746 | PA      | $925496.17     | 0.00%             | 2038-04-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       390907 | PA      | $355330.24     | 0.00%             | 2036-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24222016 | PA      | $687297.28     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1440759 | PA      | $1114676.43    | 0.01%             | 2036-03-27      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133A7JB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90420 | PA      | $80748.23      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54536700 | PA      | $30340299.78   | 0.16%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Panorama Auto Trust                                           | Panorama Auto Trust 2025-1                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |       540000 | PA      | $350642.18     | 0.00%             | 2033-03-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      1645000 | PA      | $2277936.18    | 0.01%             | 2032-07-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                                | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       640000 | PA      | $626307.78     | 0.00%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                               | Sands China Ltd                                                                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       300000 | PA      | $301395.00     | 0.00%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       178128 | PA      | $166050.94     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                             | CDS CREDIT SUISSE GROUP AG                                                       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-32185.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners Clo XXXVII Ltd                                           | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4500000 | PA      | $4516060.95    | 0.02%             | 2038-01-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Sage AR Funding                                               | Sage AR Funding                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1435000 | PA      | $1981208.83    | 0.01%             | 2037-05-17      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       270000 | PA      | $270853.66     | 0.00%             | 2037-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                             | Generate CLO 20 Ltd                                                              | CUSIP: 370912AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       260000 | PA      | $260533.05     | 0.00%             | 2038-01-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                           | Dominion Energy Inc                                                              | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      6582000 | PA      | $7062038.42    | 0.04%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                      | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    116364000 | PA      | $108301221.06  | 0.58%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                      | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      1636717 | PA      | $1638079.53    | 0.01%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WCZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2342771 | PA      | $2294018.15    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220387 | PA      | $219274.63     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                                | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1697576 | PA      | $1711817.45    | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                                   | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |       506000 | PA      | $695483.28     | 0.00%             | 2060-04-28      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3246238 | PA      | $2976494.48    | 0.02%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10998746 | PA      | $8284183.53    | 0.04%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1342700 | PA      | $1317820.98    | 0.01%             | 2064-12-26      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1294288 | PA      | $1225744.17    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       153889 | PA      | $154032.56     | 0.00%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9311888 | PA      | $9392235.42    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134693 | PA      | $129632.53     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        75011 | PA      | $70134.01      | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3428863 | PA      | $2979728.24    | 0.02%             | 2066-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       432431 | PA      | $432107.45     | 0.00%             | 2054-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      3399000 | PA      | $3258999.23    | 0.02%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |      6960000 | PA      | $6980880.70    | 0.04%             | 2039-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                          | Cross 2024-H7 Mortgage Trust                                                     | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4549169 | PA      | $4562028.11    | 0.02%             | 2069-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2020-VIV2                                           | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2550000 | PA      | $2346292.49    | 0.01%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                                     | Golden Bar Securitisation Srl 2025-1                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       509000 | PA      | $599578.47     | 0.00%             | 2044-12-22      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                                | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       286014 | PA      | $284158.65     | 0.00%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                             | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4940000 | PA      | $4961740.94    | 0.03%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       101647 | PA      | $93580.13      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BlackRock Capital Finance L.P.                                | BlackRock Capital Finance LP                                                     | CUSIP: 05535DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          830 | PA      | $0.00          | 0.00%             | 2035-12-25      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     73679000 | PA      | $73961052.05   | 0.40%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                             | USD/CAD ONE-TOUCH BARRIER OPTION; BARRIER PRICE USD 1.33500                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | GB        |      -372000 | NC      | $-39472.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA16                                                 | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2934732 | PA      | $2165147.03    | 0.01%             | 2046-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Golden Ray S.A.                                               | Golden Ray SA - Compartment 1                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $350016.89     | 0.00%             | 2057-12-27      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6755774 | PA      | $286560.34     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YJDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       424745 | PA      | $382032.43     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STEWART PARK CLO LTD                                          | Stewart Park CLO Ltd                                                             | CUSIP: 860444AS7<br>LEI: 549300FC1IHOM4H6GL63 | Long             | ABS-CBDO         | CORP              | KY        |      1630000 | PA      | $1633684.62    | 0.01%             | 2030-01-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276354000 | PA      | $270799328.82  | 1.45%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       271350 | PA      | $267095.27     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                                 | Goldentree Loan Management US Clo 7 Ltd                                          | CUSIP: 38138LAW8<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |       270000 | PA      | $270013.23     | 0.00%             | 2034-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                       | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2735000 | PA      | $2735459.48    | 0.01%             | 2039-09-19      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1167166 | PA      | $1085520.67    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022477<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -477000 | PA      | $-445261.89    | -0.00%            | 2040-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                           | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1600000 | PA      | $1603124.00    | 0.01%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     43328000 | PA      | $44989926.03   | 0.24%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                | Romark CLO Ltd                                                                   | CUSIP: 77587UAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $751679.25     | 0.00%             | 2030-10-23      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       753206 | PA      | $652585.58     | 0.00%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAG4<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251563.75     | 0.00%             | 2037-04-21      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417WHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7838 | PA      | $8012.77       | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2025-3                                    | CUSIP: 92262RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1605461 | PA      | $1621200.17    | 0.01%             | 2055-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2259000 | PA      | $2322736.60    | 0.01%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Auto1 Car Funding                                             | Auto1 Car Funding Sarl                                                           | CUSIP: 000000000<br>LEI: 984500380CAE46K6F380 | Long             | ABS-O            | CORP              | LU        |       300000 | PA      | $364387.64     | 0.00%             | 2033-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       481135 | PA      | $492750.50     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                                 | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138RAJ4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $248882.60     | 0.00%             | 2034-10-20      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1185447 | PA      | $1145330.33    | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176376 | PA      | $171597.75     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2354480 | PA      | $1870499.67    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                             | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       949423 | PA      | $1121374.12    | 0.01%             | 2038-07-20      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |       560000 | PA      | $560952.00     | 0.00%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OC1                                                  | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1014517 | PA      | $1000010.67    | 0.01%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                     | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1772503 | PA      | $1113161.84    | 0.01%             | 2042-02-10      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Autonoria                                                     | AutoNoria Spain 2025-1 FT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       400000 | PA      | $471317.58     | 0.00%             | 2043-04-30      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     13790000 | PA      | $12626147.27   | 0.07%             | 2052-10-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307LGD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        35400 | PA      | $34342.13      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                                    | INCREF 2025-FL1 LLC                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4155000 | PA      | $4163177.87    | 0.02%             | 2042-10-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5018938 | PA      | $4882524.73    | 0.03%             | 2039-02-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                      | Foundation Finance Trust 2024-2                                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1529888 | PA      | $1526516.64    | 0.01%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46625 | PA      | $45162.87      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117262 | PA      | $113982.52     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12505384 | PA      | $10579371.59   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    104749000 | PA      | $104843110.69  | 0.56%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-170500.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5349429 | PA      | $5413479.39    | 0.03%             | 2054-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-363283.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                                  | Point Au Roche Park CLO Ltd                                                      | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |       370000 | PA      | $370935.18     | 0.00%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3129382K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1824 | PA      | $1851.67       | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3470000 | PA      | $3068899.58    | 0.02%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1313674 | PA      | $1282288.61    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2637330 | PA      | $74833.96      | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3300000 | PA      | $3321358.92    | 0.02%             | 2034-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22874211 | PA      | $19443328.77   | 0.10%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 16 Ltd                                                                   | CUSIP: 75009LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       325000 | PA      | $326329.22     | 0.00%             | 2037-07-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22590000 | PA      | $19978801.57   | 0.11%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5021000 | PA      | $4825530.21    | 0.03%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |      5120000 | PA      | $5129216.00    | 0.03%             | 2034-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31292LHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       278545 | PA      | $261888.97     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |      1049000 | PA      | $1018042.65    | 0.01%             | 2048-07-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                            | Ohio Power Co                                                                    | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      2332000 | PA      | $2146560.06    | 0.01%             | 2030-04-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42106047 | PA      | $1355482.08    | 0.01%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3291282 | PA      | $2649265.39    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417WHE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29430 | PA      | $30086.50      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       924000 | PA      | $942957.67     | 0.01%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5745971 | PA      | $5408000.10    | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       271000 | PA      | $273053.48     | 0.00%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2829000 | PA      | $2817507.19    | 0.02%             | 2041-06-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                                | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       288247 | PA      | $190744.45     | 0.00%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | Wells Fargo & Co                                                                 | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      6299000 | PA      | $6459736.81    | 0.03%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8645000 | PA      | $9005651.07    | 0.05%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| MEDCO LAUREL TREE                                             | Medco Laurel Tree Pte Ltd                                                        | CUSIP: 000000000<br>LEI: 254900SX7FFGRREZD046 | Long             | DBT              | CORP              | SG        |      7457000 | PA      | $7379372.63    | 0.04%             | 2028-11-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                       | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4657000 | PA      | $4948098.50    | 0.03%             | 2031-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38966000 | PA      | $39999752.39   | 0.21%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8530128 | PA      | $7836300.73    | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                                            | Elmwood CLO IV Ltd                                                               | CUSIP: 29002GAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $998042.90     | 0.01%             | 2037-04-18      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10166342 | PA      | $8164568.19    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132AEE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1474544 | PA      | $1433107.58    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI Properties LP                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      2384000 | PA      | $2403500.21    | 0.01%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       712900 | PA      | $615979.53     | 0.00%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                   | Southern Co/The                                                                  | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      2145000 | PA      | $2182422.98    | 0.01%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                                  | OCP Euro CLO 2019-3 DAC                                                          | CUSIP: 000000000<br>LEI: 635400AITKFDK9OZEW62 | Long             | ABS-CBDO         | CORP              | IE        |       250000 | PA      | $296214.26     | 0.00%             | 2033-04-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $861614.30     | 0.00%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70578 | PA      | $73989.50      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                                            | Elmwood CLO 29 Ltd                                                               | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4760000 | PA      | $4776825.65    | 0.03%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                 | AppLovin Corp                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     21016000 | PA      | $20524884.66   | 0.11%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7682319 | PA      | $221213.14     | 0.00%             | 2052-11-10      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                          | Targa Resources Corp                                                             | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     10030000 | PA      | $8367244.45    | 0.04%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Miltonia Mortgage Finance                                     | Miltonia Mortgage Finance Srl                                                    | CUSIP: 000000000<br>LEI: 815600BC278905BA4594 | Long             | ABS-MBS          | CORP              | IT        |      1776000 | PA      | $2062568.64    | 0.01%             | 2062-04-28      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                           | DBWF 2024-LCRS Mortgage Trust                                                    | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       705000 | PA      | $703457.81     | 0.00%             | 2037-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2025-I Ltd                                                          | CUSIP: 12572VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249793.33     | 0.00%             | 2038-04-23      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       234289 | PA      | $245619.32     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                            | Seasoned Loans Structured Transaction Trust Series 2020-3                        | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       376064 | PA      | $371378.24     | 0.00%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                     | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2636000 | PA      | $2627523.68    | 0.01%             | 2041-06-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                 | AppLovin Corp                                                                    | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     30576000 | PA      | $31113347.21   | 0.17%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PFSFC_22-E                                                    | PFSFC_22-E                                                                       | CUSIP: 69335PFR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     12000000 | PA      | $12020400.00   | 0.06%             | 2026-10-30      | Fixed         | 5.54%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4215251 | PA      | $2753699.56    | 0.01%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6128275 | PA      | $4877137.91    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                           | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249799.50     | 0.00%             | 2037-10-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63013500 | PA      | $51439691.99   | 0.28%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HRNI HOLDINGS LLC                                             | HRNI Holdings LLC                                                                | CUSIP: 40443NAC4<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |      7565536 | PA      | $7357483.87    | 0.04%             | 2028-12-11      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        37624 | PA      | $37549.69      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER NORTH INC                                            | Frontier North Inc                                                               | CUSIP: 362337AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1533960.00    | 0.01%             | 2028-02-15      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       292111 | PA      | $286215.51     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                | CDS PITNEY BOWES INC                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |            1 | NC      | $834.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNY Capital Markets, LLC                                      | USD/COP FORWARD                                                                  | CUSIP: 000000000<br>LEI: VJW2DOOHGDT6PR0ZRO63 | N/A              | DFE              | CORP              | US        |            1 | NC      | $104461.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                                 | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       326948 | PA      | $452614.96     | 0.00%             | 2033-04-21      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | Reperforming Loan REMIC Trust 2005-R3                                            | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51899 | PA      | $42644.23      | 0.00%             | 2035-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20379006 | PA      | $21048480.30   | 0.11%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 41 Senior Loan Fund                                                       | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |      1528779 | PA      | $1529197.69    | 0.01%             | 2031-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBY0<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      1140000 | PA      | $1150160.71    | 0.01%             | 2037-04-28      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31412NEN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26723 | PA      | $28015.28      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1380561 | PA      | $1339258.03    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3463717 | PA      | $2786291.39    | 0.01%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back                                | Ownit Mortgage Loan Trust Series 2006-2                                          | CUSIP: 69121PDF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1524170 | PA      | $1395129.42    | 0.01%             | 2037-01-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 31329JJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        27693 | PA      | $26010.57      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2018-15 Ltd                                                              | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |       535000 | PA      | $535697.96     | 0.00%             | 2038-01-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4133547 | PA      | $3850620.13    | 0.02%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     25005000 | PA      | $22677751.89   | 0.12%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                   | Gartner Inc                                                                      | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     37510000 | PA      | $37118969.50   | 0.20%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2576530 | PA      | $2378150.44    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                | Asimi Funding 2025-1 PLC                                                         | CUSIP: 000000000<br>LEI: 6354002PZBGQEXUI2V51 | Long             | ABS-O            | CORP              | GB        |       753510 | PA      | $1035456.82    | 0.01%             | 2032-05-16      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| REDSTONE HOLDCO 2 LP                                          | Redstone Holdco 2 LP                                                             | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4728000 | PA      | $1093350.00    | 0.01%             | 2029-04-27      | Floating      | 12.29%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       110289 | PA      | $97830.09      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157550 | PA      | $147461.21     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119035 | PA      | $111292.82     | 0.00%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       931000 | PA      | $929830.09     | 0.00%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                                | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1768000 | PA      | $1785370.95    | 0.01%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53120 | PA      | $51516.43      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                                | Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1                         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1302000 | PA      | $1296142.82    | 0.01%             | 2068-09-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FANATICS COMMERCE                                             | Fanatics Commerce Intermediate Holdco LLC                                        | CUSIP: 30709UAB0<br>LEI: 254900YDIRBC66RGAG10 | Long             | LON              | CORP              | US        |       490876 | PA      | $489648.44     | 0.00%             | 2028-11-24      | Floating      | 7.69%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       485588 | PA      | $438774.47     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                                   | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |       483000 | PA      | $663871.73     | 0.00%             | 2060-04-28      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd                                                | Octagon 66 Ltd                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4970000 | PA      | $4992111.53    | 0.03%             | 2036-11-16      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                                | New Century Home Equity Loan Trust Series 2005-C                                 | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2183388 | PA      | $1862370.90    | 0.01%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68944 | PA      | $68532.04      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EIS GROUP INC LOAN/TERM                                       | EIS GROUP INC LOAN/TERM                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12825582 | PA      | $12376686.63   | 0.07%             | 2028-07-08      | Floating      | 11.32%                | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       269448 | PA      | $237010.22     | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2015-1 PTT A                                       | Spirit Airlines Pass Through Trust 2015-1A                                       | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        87363 | PA      | $80145.49      | 0.00%             | 2028-04-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                                | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3297186 | PA      | $3332246.99    | 0.02%             | 2032-06-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                      | Embraer Netherlands Finance BV                                                   | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      4222000 | PA      | $4336205.10    | 0.02%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2732000 | PA      | $2747357.66    | 0.01%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FG5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       113728 | PA      | $110705.71     | 0.00%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33247351 | PA      | $34339565.35   | 0.18%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4564836 | PA      | $3673046.48    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5112424 | PA      | $5047317.20    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     49466000 | PA      | $51263758.17   | 0.27%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8824000 | PA      | $8875358.42    | 0.05%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       579167 | PA      | $592107.14     | 0.00%             | 2054-01-25      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                                       | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1390000 | PA      | $1394559.48    | 0.01%             | 2035-04-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                             | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |      1122045 | PA      | $1325281.47    | 0.01%             | 2038-07-20      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4741208 | PA      | $4474525.99    | 0.02%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                    | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10742000 | PA      | $10840308.64   | 0.06%             | 2033-06-10      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      6983598 | PA      | $7003097.10    | 0.04%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                   | Equinix Inc                                                                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     17653000 | PA      | $15640230.89   | 0.08%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       534000 | PA      | $533099.04     | 0.00%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-247151.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23156781 | PA      | $20348761.08   | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.                                         | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1750000 | PA      | $1744476.48    | 0.01%             | 2042-08-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                | Fannie Mae-Aces                                                                  | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125297 | PA      | $125467.18     | 0.00%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23274 | PA      | $22370.02      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HNG HOSPITALITY OFFSHORE LP                                   | HNG HOSPITALITY OFFSHORE LP                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13871000 | NS      | $10819380.00   | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Hermitage Plc                                                 | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       525733 | PA      | $723718.89     | 0.00%             | 2033-04-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                     | BXP Trust 2017-CC                                                                | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1450000 | PA      | $1163559.46    | 0.01%             | 2037-08-13      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                                | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       810000 | PA      | $799668.61     | 0.00%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73712 | PA      | $70582.03      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                      | Italian Stella Loans Srl                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       243719 | PA      | $289645.33     | 0.00%             | 2039-05-27      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XLH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        18342 | PA      | $17233.67      | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      9615000 | PA      | $9641960.46    | 0.05%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                          | Fannie Mae REMIC Trust 2003-W5                                                   | CUSIP: 31393AS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          734 | PA      | $723.97        | 0.00%             | 2033-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7520013 | PA      | $7062271.40    | 0.04%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS Mortgage Trust 2023-5C23                                                   | CUSIP: 05493QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       553000 | PA      | $551621.48     | 0.00%             | 2056-12-15      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4611806 | PA      | $4725136.90    | 0.03%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                   | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7390000 | PA      | $7278323.80    | 0.04%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       642134 | PA      | $620903.46     | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                                     | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1190000 | PA      | $1194009.23    | 0.01%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MX43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       303862 | PA      | $296642.07     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5946486 | PA      | $4788104.56    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       836000 | PA      | $717761.34     | 0.00%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| SPLT_24-1                                                     | SPLT_24-1                                                                        | CUSIP: 83407R105<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       162328 | PA      | $4574558.71    | 0.02%             | 2031-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1297000 | PA      | $924605.19     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO XI Ltd                                                             | CUSIP: 07132LAN9<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1002938.90    | 0.01%             | 2034-04-24      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      5364000 | PA      | $4035259.48    | 0.02%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2024-7                                                | CUSIP: 924925AG5<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |       870000 | PA      | $859773.50     | 0.00%             | 2069-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                                    | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $752723.78     | 0.00%             | 2037-04-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                        | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6626000 | PA      | $5898379.06    | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1744000 | PA      | $1254991.47    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                      | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4345855 | PA      | $4351556.96    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                       | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AJ2<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $499048.75     | 0.00%             | 2038-01-18      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Refi Loan Trust 2020-F                                 | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2590000 | PA      | $2194063.33    | 0.01%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| EURO PARFUMS FZE                                              | EURO PARFUMS FZE                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      1159080 | PA      | $1183768.40    | 0.01%             | 2028-09-01      | Floating      | 10.44%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31819 | PA      | $31059.08      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS PITNEY BOWES INC                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $2602.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2016-UBS9                                         | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13984000 | PA      | $306167.09     | 0.00%             | 2049-03-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35118700 | PA      | $34709896.56   | 0.19%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2310909 | PA      | $1844577.01    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                                | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1190723 | PA      | $252965.48     | 0.00%             | 2035-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| WOM MOBILE SA                                                 | WOM Mobile SA                                                                    | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |      1719938 | PA      | $1691645.50    | 0.01%             | 2031-04-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                              | AMC Networks Inc                                                                 | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      1854000 | PA      | $1922069.61    | 0.01%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250000.00     | 0.00%             | 2038-07-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13401906 | PA      | $11984805.35   | 0.06%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418MNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19954 | PA      | $19908.29      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH OF GEORGIA                                     | Municipal Electric Authority of Georgia                                          | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      3139000 | PA      | $3392491.64    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       296704 | PA      | $273192.19     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15708 | PA      | $15406.01      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13003604 | PA      | $11053242.42   | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                              | BAT Capital Corp                                                                 | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       800000 | PA      | $881099.82     | 0.00%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                   | Oracle Corp                                                                      | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      6627000 | PA      | $6615832.84    | 0.04%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                   | Equinix Inc                                                                      | CUSIP: 29444UBM7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      1547000 | PA      | $953613.44     | 0.01%             | 2051-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                   | Southern Co/The                                                                  | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      1084000 | PA      | $991192.83     | 0.01%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10244610 | PA      | $8536407.75    | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                       | Loanpal Solar Loan 2021-1 Ltd                                                    | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4075964 | PA      | $3397036.02    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ECL ENTERTAINMENT LLC                                         | ECL ENTERTAINMENT LLC                                                            | CUSIP: 26826TAL7<br>LEI: 254900UPSGHOBB360Z85 | Long             | LON              | CORP              | US        |      5675150 | PA      | $5668056.31    | 0.03%             | 2030-08-30      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11131764 | PA      | $8973524.50    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                        | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       953000 | PA      | $975511.19     | 0.01%             | 2032-06-21      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                                 | UK Logistics 2024-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | GB        |      1165000 | PA      | $1602335.52    | 0.01%             | 2034-05-17      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       679105 | PA      | $654511.33     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERIAMA HOLDINGS LLC/DE                                       | Periama Holdings LLC/DE                                                          | CUSIP: 000000000<br>LEI: 254900NINXO00BLT2Z47 | Long             | DBT              | CORP              | US        |       425000 | PA      | $424749.25     | 0.00%             | 2026-04-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2086000 | PA      | $1923534.81    | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -1926000 | PA      | $-1733795.56   | -0.01%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1715856 | PA      | $1718773.16    | 0.01%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                           | Euro-Galaxy III CLO DAC                                                          | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |      1585000 | PA      | $1869722.50    | 0.01%             | 2034-04-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                               | DR Horton Inc                                                                    | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     10177000 | PA      | $10061434.67   | 0.05%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                      | Duke Energy Progress LLC                                                         | CUSIP: 26442UAR5<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      7886000 | PA      | $7498800.16    | 0.04%             | 2053-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS 2018-CHRS Mortgage Trust                                                   | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       640000 | PA      | $532032.64     | 0.00%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1753079 | PA      | $1622016.78    | 0.01%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56872709 | PA      | $2619687.77    | 0.01%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                           | United Kingdom Gilt                                                              | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     23992389 | PA      | $28526696.92   | 0.15%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                              | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      9566000 | PA      | $9458746.77    | 0.05%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | MXN CALL VERSUS USD PUT                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              | CORP              | GB        |   -280420000 | NC      | $-1508476.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     19095000 | PA      | $19696389.96   | 0.11%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53749028 | PA      | $43249307.93   | 0.23%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25028424 | PA      | $25196547.81   | 0.13%             | 2064-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2327000 | PA      | $2383554.48    | 0.01%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2082000 | PA      | $1806989.68    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                            | Elmwood CLO I Ltd                                                                | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250883.70     | 0.00%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QC6Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       257936 | PA      | $248148.35     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       573892 | PA      | $558275.67     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       249434 | PA      | $248815.09     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -964000 | PA      | $-965265.05    | -0.01%            | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1973392 | PA      | $1985880.28    | 0.01%             | 2064-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                                | Deephaven Residential Mortgage Trust 2022-2                                      | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1629000 | PA      | $1441149.10    | 0.01%             | 2067-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                  | Enbridge Inc                                                                     | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |       922000 | PA      | $931232.99     | 0.00%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402ER34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153864 | PA      | $150182.66     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                                | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        30746 | PA      | $25895.69      | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5280000 | PA      | $5295160.46    | 0.03%             | 2037-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                 | Ballyrock CLO 2020-2 Ltd                                                         | CUSIP: 05876EAE9<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250250.28     | 0.00%             | 2031-10-20      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XQM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       412119 | PA      | $385870.05     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA16                                                 | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2016227 | PA      | $1875137.42    | 0.01%             | 2046-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8062277 | PA      | $9410036.50    | 0.05%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36642000 | PA      | $31523570.63   | 0.17%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       337832 | PA      | $325253.30     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EN2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2488745 | PA      | $2249898.27    | 0.01%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                   | Taurus 2025-2 UK DAC                                                             | CUSIP: 000000000<br>LEI: 635400ZUSGYHROR9ZX12 | Long             | ABS-MBS          | CORP              | IE        |      1886480 | PA      | $2583828.53    | 0.01%             | 2035-02-18      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBL0<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1006778.90    | 0.01%             | 2037-01-22      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       735957 | PA      | $712774.15     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                               | Venture 32 CLO Ltd                                                               | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |       640305 | PA      | $639930.10     | 0.00%             | 2031-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2328632 | PA      | $2333995.24    | 0.01%             | 2053-05-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       720921 | PA      | $341006.23     | 0.00%             | 2052-02-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1159778 | PA      | $1132547.88    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                                 | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4156326 | PA      | $4110646.53    | 0.02%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      2643000 | PA      | $2062422.95    | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-222545.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132AEJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1426676 | PA      | $1382987.76    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Silk Finance                                                  | TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 6              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       500000 | PA      | $589450.30     | 0.00%             | 2039-12-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                      | Florida Power & Light Co                                                         | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      3475000 | PA      | $2640333.29    | 0.01%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                       | AEP Transmission Co LLC                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      1476000 | PA      | $984439.00     | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                          | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 174551700000 | PA      | $27542017.21   | 0.15%             | 2036-07-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       490655 | PA      | $472463.80     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                                            | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2410000 | PA      | $2418086.76    | 0.01%             | 2037-07-17      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QCLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767103 | PA      | $746062.89     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       303015 | PA      | $299033.67     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Lt                                | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2141551 | PA      | $2141950.88    | 0.01%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                          | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       400000 | PA      | $401641.60     | 0.00%             | 2037-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                         | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250000.00     | 0.00%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2832300 | PA      | $2686720.36    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                                    | Clover CLO 2021-3 LLC                                                            | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       270000 | PA      | $270156.06     | 0.00%             | 2035-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $210873.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34917 | PA      | $32952.16      | 0.00%             | 2036-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2022-8 Mortgage Loan Trust                                                  | CUSIP: 19688MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1172000 | PA      | $1166529.92    | 0.01%             | 2067-08-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |     18450600 | NC      | $904234.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1846534 | PA      | $1797675.90    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BlackRock Cash Funds - Institutional                          | BlackRock Cash Funds - Institutional                                             | CUSIP: 066922519<br>LEI: 549300JDHS1T46VWOG19 | Long             | STIV             | RF                | US        |     10479440 | NS      | $10483631.80   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED MEXICAN STATES                                         | Mexico Government International Bond                                             | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     45111000 | PA      | $46125997.50   | 0.25%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                      | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 000000000<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |      8524000 | PA      | $8609214.43    | 0.05%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                   | Oracle Corp                                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1288000 | PA      | $950665.90     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VF UKRAINE (VFU FUNDING)                                      | VF Ukraine PAT via VFU Funding PLC                                               | CUSIP: 918212AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | UA        |      1351905 | PA      | $1291069.70    | 0.01%             | 2027-02-11      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -563274000 | PA      | $-538727352.73 | -2.88%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       655286 | PA      | $630050.22     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72330 | PA      | $70235.21      | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                                | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1121074 | PA      | $85704.09      | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132WGPM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       179202 | PA      | $174844.86     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12631707 | PA      | $9506124.41    | 0.05%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                                 | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248824 | PA      | $216644.33     | 0.00%             | 2036-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36290VCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69790 | PA      | $71131.35      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/CNH FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $6324.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | Countrywide Asset-Backed Certificates                                            | CUSIP: 12666MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         4724 | PA      | $27446.62      | 0.00%             | 2025-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     47048000 | PA      | $51706356.57   | 0.28%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1751830 | PA      | $1445791.77    | 0.01%             | 2046-11-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       361195 | PA      | $337509.48     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      4204000 | PA      | $4186241.04    | 0.02%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Asset Backed Notes Trust 2007-Sea2                                         | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1318608 | PA      | $1052195.57    | 0.01%             | 2047-06-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                             | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAL0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |       119445 | PA      | $119436.67     | 0.00%             | 2031-01-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                            | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2414659 | PA      | $2403379.38    | 0.01%             | 2037-02-15      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     27618000 | PA      | $28087215.46   | 0.15%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JHBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       355781 | PA      | $345453.50     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XIX Ltd                                                         | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3370000 | PA      | $3378915.67    | 0.02%             | 2034-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |       742790 | PA      | $743534.96     | 0.00%             | 2030-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXVII Ltd                                                   | CUSIP: 55820YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $499815.35     | 0.00%             | 2038-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                  | Navient Education Loan Trust 2025-A                                              | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       404000 | PA      | $406856.40     | 0.00%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       456821 | PA      | $446178.02     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                                | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17369792 | PA      | $17402165.45   | 0.09%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     59275000 | PA      | $48346171.88   | 0.26%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6302414 | PA      | $5805244.84    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12140000 | PA      | $12152140.00   | 0.07%             | 2034-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-223355.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWAC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15693 | PA      | $15260.50      | 0.00%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       302067 | PA      | $277674.98     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                            | USD/TRY FORWARD                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $38820.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                              | Georgia Power Co                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      5947000 | PA      | $5945844.26    | 0.03%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                      | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    138700000 | PA      | $23424978.95   | 0.13%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU                                | New Jersey Turnpike Authority                                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      4596000 | PA      | $5486887.71    | 0.03%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        83574 | PA      | $78012.46      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXI Ltd                                                     | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1696874 | PA      | $1700270.14    | 0.01%             | 2032-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10539000 | PA      | $7058897.84    | 0.04%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                 | LGI Homes Inc                                                                    | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      1816000 | PA      | $1728378.00    | 0.01%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86327916 | PA      | $75570004.11   | 0.40%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                         | Indonesia Government International Bond                                          | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     11595000 | PA      | $7664295.00    | 0.04%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6979550 | PA      | $5615935.94    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Brignole CO                                                   | Brignole Co                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       219604 | PA      | $259826.45     | 0.00%             | 2042-02-24      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6623744 | PA      | $185303.89     | 0.00%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                            | Energy Transfer LP                                                               | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4889000 | PA      | $4650892.84    | 0.02%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                         | Northrop Grumman Corp                                                            | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     10787000 | PA      | $8600920.93    | 0.05%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1662347 | PA      | $1589635.17    | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2537668 | PA      | $2442189.26    | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                           | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2583000 | PA      | $2526462.00    | 0.01%             | 2062-08-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                                | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2014550 | PA      | $631192.03     | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                                | Deephaven Residential Mortgage Trust 2024-1                                      | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2309634 | PA      | $2321973.83    | 0.01%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                       | AEP Transmission Co LLC                                                          | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      4185000 | PA      | $2560137.42    | 0.01%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                         | Silver Point Clo 4 Ltd                                                           | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |       690000 | PA      | $692730.19     | 0.00%             | 2037-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI                                | Bay Area Toll Authority                                                          | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      9275000 | PA      | $10622964.50   | 0.06%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5642936 | PA      | $4538306.26    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OT MIDCO INC                                                  | OT Midco Inc                                                                     | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3103000 | PA      | $2394743.66    | 0.01%             | 2030-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       708206 | PA      | $678396.23     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       535814 | PA      | $542469.80     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       663700 | PA      | $599154.64     | 0.00%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17262000 | PA      | $11847080.29   | 0.06%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.                                   | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249158.85     | 0.00%             | 2035-01-22      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                      | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2592000 | PA      | $1807920.00    | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70408 | PA      | $979.50        | 0.00%             | 2060-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $654115.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8201726 | PA      | $6634429.38    | 0.04%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1749926 | PA      | $1794970.27    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                              | Symphony CLO 46 Ltd                                                              | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250439.93     | 0.00%             | 2038-01-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       827074 | PA      | $837673.37     | 0.00%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                        | Conseco Finance Corp                                                             | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        57516 | PA      | $58503.71      | 0.00%             | 2029-01-15      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| AT&T REIGN II LB PTT                                          | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                     | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21025000 | PA      | $21036448.11   | 0.11%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22832 | PA      | $22348.93      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EHT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49359 | PA      | $49246.67      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                | IndyMac INDX Mortgage Loan Trust 2006-AR35                                       | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       533612 | PA      | $477407.27     | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                              | CVC Cordatus Loan Fund IV DAC                                                    | CUSIP: 000000000<br>LEI: 2138005AFEIY5AMT4165 | Long             | ABS-CBDO         | CORP              | IE        |       990000 | PA      | $1159036.10    | 0.01%             | 2034-02-22      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-273126.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2410000 | PA      | $2419743.87    | 0.01%             | 2036-04-17      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108131000 | PA      | $106200561.05  | 0.57%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2006-12                                           | CUSIP: 41162DAA7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      5028217 | PA      | $3937188.07    | 0.02%             | 2036-12-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ROBERTSHAW US HOLDING                                         | ROBERTSHAW US HOLDING                                                            | CUSIP: 000000000<br>LEI: 549300NMXRV2JIXFIY04 | Long             | LON              | CORP              | US        |      1795000 | PA      | $17950.00      | 0.00%             | 2027-03-01      | Floating      | 12.43%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6109073 | PA      | $5997170.16    | 0.03%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization                                | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1328182 | PA      | $1302960.47    | 0.01%             | 2036-04-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CIRKUL COM 35.41 WARR                                         | CIRKUL COM 35.41 WARR                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        11359 | NC      | $52364.99      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414FQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3016 | PA      | $3069.84       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       498307 | PA      | $446897.41     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250233.50     | 0.00%             | 2034-07-15      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Avoca CLO                                                     | Avoca CLO XXIII DAC                                                              | CUSIP: 000000000<br>LEI: 549300JQ57GOFHS3VT07 | Long             | ABS-CBDO         | CORP              | IE        |       500000 | PA      | $588982.01     | 0.00%             | 2034-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46635000 | PA      | $657063.83     | 0.00%             | 2039-06-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBN4<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $748352.63     | 0.00%             | 2039-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1574211 | PA      | $1357890.59    | 0.01%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11640710 | PA      | $11608015.47   | 0.06%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                   | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16670000 | PA      | $15736101.59   | 0.08%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1914848 | PA      | $1250632.43    | 0.01%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                  | Comcast Corp                                                                     | CUSIP: 20030NEG2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1009000 | PA      | $939668.71     | 0.01%             | 2064-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13142255 | PA      | $13158683.12   | 0.07%             | 2041-05-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     84374000 | PA      | $59997824.06   | 0.32%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042475<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -224000 | PA      | $-222554.23    | -0.00%            | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2699516 | PA      | $2448510.18    | 0.01%             | 2050-02-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86922 | PA      | $85339.42      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1157000 | PA      | $1158444.17    | 0.01%             | 2040-06-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242510 | PA      | $235073.68     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       208400 | PA      | $201837.20     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAVERICK GAMING LLC SO:TL-SO                                  | MAVERICK GAMING LLC SO:TL-SO                                                     | CUSIP: 57770JAE6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2705840 | PA      | $1630268.85    | 0.01%             | 2028-06-03      | Floating      | 11.78%                | No            |                  3 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       690000 | PA      | $692732.19     | 0.00%             | 2037-07-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10671238 | PA      | $9031094.57    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                      | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1122115.45    | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                                       | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |      3530000 | PA      | $3543182.08    | 0.02%             | 2037-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                                | USD/NGN FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |            1 | NC      | $7098.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21622077 | PA      | $19439458.36   | 0.10%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL                                            | CONNECT FINCO SARL                                                               | CUSIP: 000000000<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |      2415538 | PA      | $2288722.37    | 0.01%             | 2029-09-28      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                         | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   3450750000 | PA      | $21988421.98   | 0.12%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8172938 | PA      | $7280536.12    | 0.04%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $1795144.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                              | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $776268.40     | 0.00%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29343 | PA      | $28390.06      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       264709 | PA      | $116869.86     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F012478<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -7425000 | PA      | $-6596656.46   | -0.04%            | 2040-07-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 3620C5BR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        31236 | PA      | $30275.44      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5773684 | PA      | $4964610.15    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1570000 | PA      | $1572654.71    | 0.01%             | 2033-04-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                           | Allegiant Travel Co                                                              | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $1070310.30    | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                              | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6057000 | PA      | $6045643.13    | 0.03%             | 2037-05-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                              | S&P500 EMINI                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         -197 | NC      | $-2166536.32   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RR Ltd                                                        | RR 8 Ltd                                                                         | CUSIP: 74980FAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $501000.00     | 0.00%             | 2037-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin                                | Pagaya AI Technology in Housing Trust 2023-1                                     | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3423000 | PA      | $2832432.55    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        55284 | PA      | $52093.92      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                              | Altria Group Inc                                                                 | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      6482000 | PA      | $5403782.50    | 0.03%             | 2043-05-02      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                | CWHEQ Revolving Home Equity Loan Trust Series 2006-H                             | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       190442 | PA      | $186343.99     | 0.00%             | 2036-11-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2475500 | PA      | $2500143.85    | 0.01%             | 2064-01-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXVII                                                                | CUSIP: 03769FAA9<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |       455000 | PA      | $455886.25     | 0.00%             | 2034-10-22      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                       | Dryden 64 CLO Ltd                                                                | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       270130 | PA      | $270400.31     | 0.00%             | 2031-04-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       207500 | PA      | $164776.43     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ELX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       179780 | PA      | $179167.69     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OFFERPAD SOLUTIONS INC                                        | OFFERPAD SOLUTIONS INC -CW25                                                     | CUSIP: 67623L117<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       111610 | NC      | $524.57        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXVII                                                                | CUSIP: 03769HAA5<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |       450000 | PA      | $450451.76     | 0.00%             | 2034-10-22      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2338370 | PA      | $2251448.47    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer                                | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       458000 | PA      | $460149.99     | 0.00%             | 2038-06-16      | Fixed         | 13.31%                | No            |                  2 | On Loan: No      |
| COREWEAVE SENIOR                                              | COREWEAVE SENIOR                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12566625 | PA      | $12457295.37   | 0.07%             | 2028-07-30      | Floating      | 13.92%                | No            |                  3 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20491000 | PA      | $20865212.17   | 0.11%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1334549 | PA      | $1294159.79    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                       | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |      2200000 | PA      | $570127.80     | 0.00%             | 2018-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                         | CDS PITNEY BOWES INC                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |            1 | NC      | $2068.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      4022000 | PA      | $2722320.30    | 0.01%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                   | Southern Co/The                                                                  | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     12946000 | PA      | $12655531.50   | 0.07%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                                                | AGL CLO 13 Ltd                                                                   | CUSIP: 00120JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250500.00     | 0.00%             | 2034-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                             | Elmwood CLO X Ltd                                                                | CUSIP: 29002VAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1251302.50    | 0.01%             | 2034-04-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                                 | BLP Commercial Mortgage Trust 2023-IND                                           | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1984000 | PA      | $1985860.00    | 0.01%             | 2040-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                        | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      1887000 | PA      | $1655719.85    | 0.01%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3437095 | PA      | $3497443.55    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       830000 | PA      | $844087.42     | 0.00%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       442171 | PA      | $442283.61     | 0.00%             | 2031-04-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                                | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       275621 | PA      | $116519.79     | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31415VK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1509 | PA      | $1543.07       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                             | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       300000 | PA      | $353945.47     | 0.00%             | 2040-01-21      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4019470 | PA      | $3912301.37    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding                                         | CIFC European Funding CLO II DAC                                                 | CUSIP: 000000000<br>LEI: 549300NYQTL91Z5R9B69 | Long             | ABS-CBDO         | CORP              | IE        |       900000 | PA      | $1063605.80    | 0.01%             | 2033-04-15      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                  | Atrium Hotel Portfolio Trust 2017-ATRM                                           | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3269000 | PA      | $3072859.35    | 0.02%             | 2036-12-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        27449 | PA      | $27050.30      | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO IX Ltd                                                             | CUSIP: 07132EAQ8<br>LEI: 549300JMWGEYZEC6GK98 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $245101.38     | 0.00%             | 2031-07-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                          | CHNGE Mortgage Trust 2022-4                                                      | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       489296 | PA      | $491004.84     | 0.00%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                      | Pioneer Natural Resources Co                                                     | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      2877000 | PA      | $2550137.36    | 0.01%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| SONDER COMMON 5 YR WARRANTS                                   | SONDER COMMON 5 YR WARRANTS                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       262154 | NC      | $495471.97     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030470<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70000 | PA      | $66739.14      | 0.00%             | 2040-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22170915 | PA      | $20959775.93   | 0.11%             | 2062-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1077052 | PA      | $1078734.75    | 0.01%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                           | American Tower Corp                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      6764000 | PA      | $5879501.62    | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1049216 | PA      | $1005702.66    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 32 Ltd                                                                   | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1900000 | PA      | $1905928.19    | 0.01%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RFU1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1181000 | PA      | $1062272.07    | 0.01%             | 2050-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     11215000 | PA      | $9333479.64    | 0.05%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1533935 | PA      | $1415680.43    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VMPG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       619124 | PA      | $605486.24     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                 | Bear Stearns Mortgage Funding Trust 2007-AR3                                     | CUSIP: 07401VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306178 | PA      | $285611.66     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1729000 | PA      | $519581.79     | 0.00%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                             | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       480000 | PA      | $453145.58     | 0.00%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                                | Residential Mortgage Loan Trust 2020-2                                           | CUSIP: 76123MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7854000 | PA      | $7461336.13    | 0.04%             | 2060-05-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1500770.40    | 0.01%             | 2037-01-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                              | FirstEnergy Corp                                                                 | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      4330000 | PA      | $3975719.66    | 0.02%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       841093 | PA      | $794017.09     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2687312 | PA      | $2634777.40    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SITIO ROYAL OP / SIT FIN                                      | Sitio Royalties Operating Partnership LP / Sitio Finance Corp                    | CUSIP: 82983MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1352000 | PA      | $1415638.11    | 0.01%             | 2028-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -33793000 | PA      | $-30718969.40  | -0.16%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1443 | PA      | $498.76        | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |      3170000 | PA      | $3180068.87    | 0.02%             | 2037-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                            | TRY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |            1 | NC      | $51956.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       152285 | PA      | $145284.08     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu                                | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1072000 | PA      | $1091185.80    | 0.01%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3637 | PA      | $3626.98       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     16202000 | PA      | $15321145.06   | 0.08%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032476<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -2261000 | PA      | $-2181624.70   | -0.01%            | 2040-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2015-I Ltd                                                          | CUSIP: 12548MBF1<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |        97810 | PA      | $97876.73      | 0.00%             | 2031-01-22      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS, LLC                              | USD/ZAR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |            1 | NC      | $32461.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset-Backed European Securiti                                | Asset-Backed European Securitisation Transaction Twenty-Five Srl                 | CUSIP: 000000000<br>LEI: 8156006F7517955B5E95 | Long             | ABS-O            | CORP              | IT        |       314000 | PA      | $369942.88     | 0.00%             | 2039-11-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       143572 | PA      | $140822.46     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                      | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     15433000 | PA      | $13081070.68   | 0.07%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FANTASIA HOLDINGS GROUP                                       | Fantasia Holdings Group Co Ltd                                                   | CUSIP: 000000000<br>LEI: 5493005JQNLB3I01JW62 | Long             | DBT              | CORP              | KY        |      2430000 | PA      | $66825.00      | 0.00%             | 2022-04-17      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        23944 | PA      | $22502.42      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1285901 | PA      | $1182119.60    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRIDENT ENERGY FINANCE                                        | Trident Energy Finance PLC                                                       | CUSIP: 000000000<br>LEI: 9845004ECK3FYO64I382 | Long             | DBT              | CORP              | GB        |      1538000 | PA      | $1536750.18    | 0.01%             | 2029-11-30      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES                                      | Texas Capital Bancshares Inc                                                     | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |      4001000 | PA      | $3883372.24    | 0.02%             | 2031-05-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21388891 | PA      | $3677824.16    | 0.02%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Juniper Valley Park CLO, Ltd                                  | Juniper Valley Park CLO Ltd                                                      | CUSIP: 48206KAS5<br>LEI: 213800ACSV8GAJ4CCO70 | Long             | ABS-CBDO         | CORP              | JE        |      2680000 | PA      | $2683275.76    | 0.01%             | 2036-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2668605 | PA      | $2515501.02    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                            | Energy Transfer LP                                                               | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      7093000 | PA      | $5927408.66    | 0.03%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      1510000 | PA      | $1512194.33    | 0.01%             | 2038-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8297000 | PA      | $8164837.17    | 0.04%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAS6<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |      6729000 | PA      | $6753435.02    | 0.04%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       371055 | PA      | $363355.75     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47172 | PA      | $47758.99      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      5038000 | PA      | $4619259.17    | 0.02%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                                | William Carter Co/The                                                            | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |       105000 | PA      | $104347.29     | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                      | Uruguay Government International Bond                                            | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     10406600 | PA      | $9594885.20    | 0.05%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                             | EURO-BOBL                                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1497 | NC      | $-251400.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                        | Orbia Advance Corp SAB de CV                                                     | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      8739000 | PA      | $8953105.50    | 0.05%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                        | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8351000 | PA      | $7776808.62    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXI                                                                  | CUSIP: 03767VAL2<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500910.10     | 0.00%             | 2031-04-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CVR CHC LP                                                    | CVR CHC LP                                                                       | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3003858 | PA      | $2998841.63    | 0.02%             | 2027-12-30      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                | Transocean Inc                                                                   | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |      1674000 | PA      | $1547683.48    | 0.01%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80905 | PA      | $75938.44      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1331724 | PA      | $1294981.26    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |       273805 | PA      | $259274.58     | 0.00%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SOFTBANK GROUP CORP                                           | SoftBank Group Corp                                                              | CUSIP: 000000000<br>LEI: 5493003BZYYYCDIO0R13 | Long             | DBT              | CORP              | JP        |     11000000 | PA      | $11266477.42   | 0.06%             | 2031-07-08      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       859609 | PA      | $770790.93     | 0.00%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86646 | PA      | $80772.26      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15713389 | PA      | $13914626.41   | 0.07%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1184254 | PA      | $1175576.28    | 0.01%             | 2054-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2016-667M Mortgage Trust                                                    | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       312760 | PA      | $227096.94     | 0.00%             | 2036-10-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9QK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       670097 | PA      | $680040.74     | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                           | Sandstone Peak Ltd                                                               | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250656.25     | 0.00%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1812580 | PA      | $1718858.04    | 0.01%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                                            | Cook Park CLO Ltd                                                                | CUSIP: 21623PAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250401.68     | 0.00%             | 2030-04-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac REMICS                                                               | CUSIP: 3137H0RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19382857 | PA      | $3600197.02    | 0.02%             | 2051-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                                | Barings CLO Ltd 2015-I                                                           | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |       980000 | PA      | $982666.48     | 0.01%             | 2031-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SONDER HOLDINGS CLS A LEGENDED                                | SONDER HOLDINGS CLS A LEGENDED                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        45465 | NS      | $122754.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6482024 | PA      | $8621091.41    | 0.05%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74719500 | PA      | $71193673.59   | 0.38%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       687000 | PA      | $683565.00     | 0.00%             | 2033-10-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                 | State of California                                                              | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      4000000 | PA      | $4795180.66    | 0.03%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                     | AUD/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1081.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                           | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       250000 | PA      | $216479.60     | 0.00%             | 2033-03-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27748 | PA      | $25908.72      | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securiti                                | Asset-Backed European Securitisation Transaction Twenty-Five Srl                 | CUSIP: 000000000<br>LEI: 8156006F7517955B5E95 | Long             | ABS-O            | CORP              | IT        |       810000 | PA      | $956237.65     | 0.01%             | 2039-11-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YD3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        83576 | PA      | $75379.65      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                | Asimi Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |       600000 | PA      | $823784.37     | 0.00%             | 2031-09-16      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                                   | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       425000 | PA      | $436056.59     | 0.00%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        24557 | NC      | $22446305.12   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                                   | INV 2024-IND Mortgage Trust                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4830000 | PA      | $4827240.62    | 0.03%             | 2041-11-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2025-A                                                 | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14365239 | PA      | $14261887.04   | 0.08%             | 2057-03-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3195800 | PA      | $3269301.16    | 0.02%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                      | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1082000 | PA      | $1081888.77    | 0.01%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                | Adjustable Rate Mortgage Trust 2005-8                                            | CUSIP: 007036QG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3315329 | PA      | $2310131.21    | 0.01%             | 2035-11-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                         | KKR CLO 10 Ltd                                                                   | CUSIP: 48250GAS9<br>LEI: 549300N7FISC1W1QKR21 | Long             | ABS-CBDO         | CORP              | KY        |       131245 | PA      | $131318.89     | 0.00%             | 2029-09-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22596757 | PA      | $18044081.49   | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       481923 | PA      | $448540.61     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                      | Connect Finco SARL / Connect US Finco LLC                                        | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      1213000 | PA      | $1219220.26    | 0.01%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7007629 | PA      | $6943975.33    | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                  | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       967101 | PA      | $513023.33     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL Core CLO 38 Ltd                                                              | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |      3370000 | PA      | $3373370.00    | 0.02%             | 2038-01-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31412MPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6144 | PA      | $6246.53       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       291000 | PA      | $226315.41     | 0.00%             | 2066-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XUKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164620 | PA      | $162233.00     | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3830000 | PA      | $3836751.14    | 0.02%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                                    | Henley CLO IV DAC                                                                | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |       540000 | PA      | $634719.93     | 0.00%             | 2034-04-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2014-2R Ltd                                 | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |       556694 | PA      | $557030.29     | 0.00%             | 2031-05-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                      | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       739580 | PA      | $630442.41     | 0.00%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE                                | City of San Antonio TX Electric & Gas Systems Revenue                            | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |      4375000 | PA      | $4409194.71    | 0.02%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | USD/BRL FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $903409.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INSIGHT M INC SERIES D                                        | INSIGHT M INC SERIES D                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      3271821 | NS      | $744339.28     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2448000 | PA      | $2455321.31    | 0.01%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249650.15     | 0.00%             | 2037-04-25      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                | Carrington Mortgage Loan Trust Series 2006-NC1                                   | CUSIP: 144531EZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       610000 | PA      | $535015.45     | 0.00%             | 2036-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-383854.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1816995 | PA      | $1722958.70    | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                 | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3700000 | PA      | $3706937.49    | 0.02%             | 2038-04-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                         | MidAmerican Energy Co                                                            | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      3411000 | PA      | $2301227.23    | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281192 | PA      | $197951.58     | 0.00%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |      2395000 | PA      | $2399082.04    | 0.01%             | 2034-10-27      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $1276558.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417FSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215890 | PA      | $195121.32     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      4155000 | PA      | $4060546.50    | 0.02%             | 2026-10-04      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                               | IHS Holding Ltd                                                                  | CUSIP: 000000000<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      6943000 | PA      | $7008125.34    | 0.04%             | 2031-11-29      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                              | TRESTLES CLO III LTD                                                             | CUSIP: 89532TAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3670000 | PA      | $3687376.72    | 0.02%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497801 | PA      | $466258.76     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XKK40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       638992 | PA      | $599767.61     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     29156400 | PA      | $15360639.40   | 0.08%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       463061 | PA      | $448272.89     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       338884 | PA      | $312611.77     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                     | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12850000 | PA      | $12858010.69   | 0.07%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                                 | First Franklin Mortgage Loan Trust 2006-FF13                                     | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1816905 | PA      | $1170540.42    | 0.01%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                              | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |      7060000 | PA      | $7091233.44    | 0.04%             | 2037-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | CARLYLE US CLO 2019-1 LTD                                                        | CUSIP: 14316BAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1093904 | PA      | $1095544.92    | 0.01%             | 2031-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                                | RALI Series 2007-QO2 Trust                                                       | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221012 | PA      | $66931.05      | 0.00%             | 2047-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                            | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      2033000 | PA      | $2060085.86    | 0.01%             | 2069-11-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2023-NQM4 Trust                                                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5888434 | PA      | $5590015.56    | 0.03%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                          | ACE Securities Corp Home Equity Loan Trust Series 2007-HE4                       | CUSIP: 00442LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       205127 | PA      | $32631.70      | 0.00%             | 2037-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                          | Birch Grove CLO 10 Ltd                                                           | CUSIP: 09090JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2550000 | PA      | $2559675.47    | 0.01%             | 2038-01-22      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY MUNI WTR FIN                                 | New York City Municipal Water Finance Authority                                  | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      1665000 | PA      | $1682584.81    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXIX Ltd                                             | CUSIP: 08186EAL2<br>LEI: 549300DICNUWMUKL3816 | Long             | ABS-CBDO         | CORP              | JE        |      2150000 | PA      | $2147850.00    | 0.01%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       955000 | PA      | $946164.62     | 0.01%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30552669 | PA      | $30874269.24   | 0.17%             | 2065-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4390735 | PA      | $4392329.91    | 0.02%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                                | Natixis Commercial Mortgage Securities Trust 2019-LVL                            | CUSIP: 63874TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1404350.38    | 0.01%             | 2038-08-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       598647 | PA      | $586923.87     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2014-4 Ltd                                                              | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |        75982 | PA      | $76082.42      | 0.00%             | 2031-07-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GCAT                                                          | GCAT 2022-NQM1 Trust                                                             | CUSIP: 36168VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       564000 | PA      | $426673.28     | 0.00%             | 2067-02-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9645156 | PA      | $7774562.40    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $34782.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                       | Duke Energy Florida LLC                                                          | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       782000 | PA      | $493874.58     | 0.00%             | 2051-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       898000 | PA      | $934776.85     | 0.01%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| CML TERRANEA RESORT                                           | CML TERRANEA RESORT                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7500000 | PA      | $7500000.00    | 0.04%             | 2028-01-01      | Floating      | 8.67%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93857 | PA      | $91299.58      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                              | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          184 | NC      | $13546.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2024-NPL1 Trust                                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4901024 | PA      | $4914177.73    | 0.03%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       655171 | PA      | $653082.88     | 0.00%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2892283 | PA      | $2591703.84    | 0.01%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2476127 | PA      | $2301398.77    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                 | CAFL 2024-RTL1 Issuer LLC                                                        | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1281000 | PA      | $1298566.74    | 0.01%             | 2031-11-28      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                                | EGP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-80105.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $287123.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac REMICS                                                               | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137847530 | PA      | $138191597.80  | 0.74%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                                 | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158654 | PA      | $138152.98     | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                  | SM Energy Co                                                                     | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |       175000 | PA      | $174356.65     | 0.00%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       161407 | PA      | $160957.26     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TAV HAVALIMANLARI HOLDIN                                      | TAV Havalimanlari Holding AS                                                     | CUSIP: 000000000<br>LEI: 789000PBM9TT5D88M597 | Long             | DBT              | CORP              | TR        |      6704000 | PA      | $6984763.52    | 0.04%             | 2028-12-07      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EIS GROUP REVOLVER                                            | EIS GROUP REVOLVER                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1282558 | PA      | $1237668.66    | 0.01%             | 2028-07-10      | Floating      | 11.32%                | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                | JPMBB Commercial Mortgage Securities Trust 2014-C23                              | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3599655 | PA      | $32.76         | 0.00%             | 2047-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                      | OCP SA                                                                           | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      1283000 | PA      | $1327314.82    | 0.01%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY COSTA RICA SR SF                                      | Liberty Costa Rica Senior Secured Finance                                        | CUSIP: 000000000<br>LEI: 549300W6O2PHTPCYQ751 | Long             | DBT              | CORP              | KY        |      1071000 | PA      | $1140722.10    | 0.01%             | 2031-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1342000 | PA      | $1282627.50    | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3013000 | PA      | $3064430.10    | 0.02%             | 2065-05-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1010410 | PA      | $275409.92     | 0.00%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CRESCENT MIDSTREAM FUND LP MF-BOND                            | CRESCENT MIDSTREAM FUND LP MF-BOND                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2954000 | NS      | $2954000.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| RMIT_21-3                                                     | RMIT_21-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21460000 | PA      | $20547950.00   | 0.11%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244867 | PA      | $218195.57     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | CDS CMBX.NA.AAA.9                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |            1 | NC      | $-1631.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15210409 | PA      | $12831764.33   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37785672 | PA      | $37752779.32   | 0.20%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6647646 | PA      | $331148.50     | 0.00%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3467130 | PA      | $3260989.08    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31403FHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       105421 | PA      | $102443.21     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45098 | PA      | $42333.89      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                          | ACE Securities Corp Home Equity Loan Trust Series 2003-OP1                       | CUSIP: 004427BK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       481139 | PA      | $460402.01     | 0.00%             | 2033-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9HW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1979985 | PA      | $1925853.90    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                       | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AA1<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |      2250000 | PA      | $2257200.23    | 0.01%             | 2038-01-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization                                | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3839543 | PA      | $782366.01     | 0.00%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Viper Energy Inc                                              | Viper Energy Inc                                                                 | CUSIP: 927959106<br>LEI: 5299009LINL232255G03 | Long             | EC               | CORP              | US        |        29267 | NS      | $1115950.71    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BBAM US CLO LTD.                                              | BBAM US CLO I Ltd                                                                | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |      2024000 | PA      | $2023293.42    | 0.01%             | 2038-03-30      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                     | Amgen Inc                                                                        | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      8319000 | PA      | $6493563.58    | 0.03%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       565157 | PA      | $575273.82     | 0.00%             | 2052-08-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| LAVORO LTD-CL A                                               | Lavoro Ltd                                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | BR        |        79561 | NC      | $2864.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2013-I Ltd                                                          | CUSIP: 12549AAS9<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $253230.30     | 0.00%             | 2030-07-16      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1409000 | PA      | $950719.73     | 0.01%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-48083.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |       970000 | PA      | $970378.11     | 0.01%             | 2031-10-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     21484000 | PA      | $23289501.61   | 0.12%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6225973 | PA      | $5856002.91    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                                        | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |     15180000 | PA      | $15235233.95   | 0.08%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                               | Recette Clo Ltd                                                                  | CUSIP: 75620TAX6<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500126.75     | 0.00%             | 2034-04-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4024545 | PA      | $3394271.17    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307JVS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        49978 | PA      | $48344.71      | 0.00%             | 2029-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential 2021-SFR3                                                   | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6640000 | PA      | $6547107.73    | 0.04%             | 2026-05-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YTMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154166 | PA      | $148358.14     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5842258 | PA      | $5830405.48    | 0.03%             | 2033-02-15      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| HoustonCenter(B)Loan/Term                                     | HoustonCenter(B)Loan/Term                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7132076 | PA      | $0.71          | 0.00%             | 2030-05-09      | Floating      | 5.75%                 | No            |                  3 | On Loan: No      |
| DUKE ENERGY OHIO INC                                          | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      1719000 | PA      | $1770373.50    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       131777 | PA      | $131597.99     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                                | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1716000 | PA      | $1509211.53    | 0.01%             | 2067-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       823902 | PA      | $698875.60     | 0.00%             | 2047-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89639704 | PA      | $969005.20     | 0.01%             | 2051-12-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                          | Targa Resources Corp                                                             | CUSIP: 87612GAN1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      1720000 | PA      | $1682611.12    | 0.01%             | 2055-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Together Asset Backed Securiti                                | Together Asset Backed Securitisation 2025-Cre-1 PLC                              | CUSIP: 000000000<br>LEI: 635400IHLPBPFA2IVG30 | Long             | ABS-MBS          | CORP              | GB        |       860000 | PA      | $1181293.53    | 0.01%             | 2057-01-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                                      | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3325000 | PA      | $3350456.87    | 0.02%             | 2027-07-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                      | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13906000 | PA      | $13930190.88   | 0.07%             | 2034-03-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                                     | EUR/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-306767.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                                           | DENTSPLY SIRONA Inc                                                              | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |       514000 | PA      | $516835.78     | 0.00%             | 2055-09-12      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GREENKO POWER II LTD                                          | Greenko Power II Ltd                                                             | CUSIP: 000000000<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |      6380000 | PA      | $5989990.60    | 0.03%             | 2028-12-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                                | Bain Capital Credit CLO 2021-3 Ltd                                               | CUSIP: 05683NAG7<br>LEI: 254900XV68IP5ZAT0548 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $248232.80     | 0.00%             | 2034-07-24      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132A4DH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       564544 | PA      | $530069.71     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2197689 | PA      | $2000282.19    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2366336 | PA      | $2011665.53    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mila B.V.                                                     | Mila 2024-1 BV                                                                   | CUSIP: 000000000<br>LEI: 7245000GAIRCK7Y7VJ68 | Long             | ABS-O            | CORP              | NL        |       188000 | PA      | $222094.16     | 0.00%             | 2041-09-16      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                                | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                         | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1220265 | PA      | $1225621.48    | 0.01%             | 2069-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                     | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |      2800000 | PA      | $2816032.80    | 0.02%             | 2034-10-27      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        38054 | PA      | $37758.29      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     62850000 | PA      | $62999759.61   | 0.34%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERITAS NEWCO PFD                                             | VERITAS NEWCO PFD                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        13357 | NS      | $300532.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3365313 | PA      | $3519534.84    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                                | Asimi Funding 2025-1 PLC                                                         | CUSIP: 000000000<br>LEI: 6354002PZBGQEXUI2V51 | Long             | ABS-O            | CORP              | GB        |       296585 | PA      | $406645.11     | 0.00%             | 2032-05-16      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                        | SLM Private Credit Student Loan Trust 2004-A                                     | CUSIP: 78443CBH6<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |       257515 | PA      | $256456.84     | 0.00%             | 2033-06-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1893809 | PA      | $1937744.13    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF 2018-K80 Mortgage Trust                                                    | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1043000 | PA      | $1019428.93    | 0.01%             | 2050-08-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| AFFINITY INTERACTIVE                                          | Affinity Interactive                                                             | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       617000 | PA      | $378683.75     | 0.00%             | 2027-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2123850 | PA      | $1762721.96    | 0.01%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CROWN PROPTECH ACQUISITIONS FOUNDE                            | CROWN PROPTECH ACQUISITIONS FOUNDE                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       147660 | NS      | $196387.80     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-26788.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                                          | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4497014 | PA      | $4499717.32    | 0.02%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                | Galaxy XXVI CLO Ltd                                                              | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       386418 | PA      | $386630.50     | 0.00%             | 2031-11-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2020-5                                                | CUSIP: 92538CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       400000 | PA      | $364520.72     | 0.00%             | 2065-05-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| SONDER WARRANTS                                               | SONDER WARRANTS                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        26279 | NC      | $70690.51      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1289116 | PA      | $1241253.64    | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                              | T-Mobile USA Inc                                                                 | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      2612000 | PA      | $2452446.24    | 0.01%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       331304 | PA      | $298947.91     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                      | EQT Corp                                                                         | CUSIP: 26884LAU3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      1498000 | PA      | $1521176.35    | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 6 Ltd                                                         | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       850000 | PA      | $852808.23     | 0.00%             | 2037-10-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9038380 | PA      | $7194844.54    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44516 | PA      | $42568.45      | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                              | Trinitas CLO XVIII Ltd                                                           | CUSIP: 89640LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250437.13     | 0.00%             | 2035-01-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6807788 | PA      | $5483536.78    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       382318 | PA      | $368108.75     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410LN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       770884 | PA      | $755734.79     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250437.35     | 0.00%             | 2034-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                           | LCM 29 Ltd                                                                       | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       662910 | PA      | $663599.31     | 0.00%             | 2031-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2019-V Ltd                                                          | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       400000 | PA      | $400976.04     | 0.00%             | 2035-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act                                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |        95080 | PA      | $97952.32      | 0.00%             | 2051-07-25      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       865778 | PA      | $842671.47     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                  | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2974955 | PA      | $2512097.22    | 0.01%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | USD/TRY FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-61645.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      7852000 | PA      | $5617289.47    | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                                    | CENT Trust 2023-CITY                                                             | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9481830 | PA      | $9493614.97    | 0.05%             | 2038-09-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4652733 | PA      | $4720034.80    | 0.03%             | 2063-10-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10370000 | PA      | $10379700.10   | 0.06%             | 2034-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| HR OTTAWA LP                                                  | HR Ottawa LP                                                                     | CUSIP: 44331MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     23577000 | PA      | $25619798.17   | 0.14%             | 2031-03-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                   | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RAW8<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |      1890000 | PA      | $1890024.00    | 0.01%             | 2037-10-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS JPY                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-1016928.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        95000 | PA      | $93627.39      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29219173 | PA      | $24607866.66   | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding                                          | Tower Bridge Funding 2024-3 PLC                                                  | CUSIP: 000000000<br>LEI: 635400XMA28GDAPK1E69 | Long             | ABS-MBS          | CORP              | GB        |       333913 | PA      | $459236.95     | 0.00%             | 2066-12-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC                        | USD/CAD ONE-TOUCH BARRIER OPTION; BARRIER PRICE USD 1.33500                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              | CORP              | GB        |       372000 | NC      | $39472.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Clover CLO                                                    | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4120000 | PA      | $4134493.34    | 0.02%             | 2037-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Vasco Finance                                                 | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |       400000 | PA      | $474592.76     | 0.00%             | 2042-10-27      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2014 Ltd                                                            | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |      3320000 | PA      | $3318690.26    | 0.02%             | 2031-01-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                                       | Sasol Financing USA LLC                                                          | CUSIP: 000000000<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |      6988000 | PA      | $6893382.48    | 0.04%             | 2029-05-03      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXIII Ltd                                                   | CUSIP: 55820TAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500819.00     | 0.00%             | 2031-07-27      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1030 | PA      | $1068.71       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIZAL COMMERCIAL BANKING                                      | Rizal Commercial Banking Corp                                                    | CUSIP: 000000000<br>LEI: CIKZWI6KV077KV2E2J69 | Long             | DBT              | CORP              | PH        |       500000 | PA      | $498750.00     | 0.00%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2024-1 Ltd                                            | CUSIP: 69703NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1680000 | PA      | $1680678.05    | 0.01%             | 2032-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                                      | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |        75000 | PA      | $72799.13      | 0.00%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     21018000 | PA      | $20293035.58   | 0.11%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2020-4                                                  | CUSIP: 03464LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       527464 | PA      | $508741.10     | 0.00%             | 2065-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     31049500 | PA      | $18965665.22   | 0.10%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2288504 | PA      | $2164307.11    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                                      | SoFi Personal Loan Trust 2024-1                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5478167 | PA      | $5502488.69    | 0.03%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X8KC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       571205 | PA      | $498836.99     | 0.00%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housin                                | Greenpoint Manufactured Housing                                                  | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       558863 | PA      | $557866.54     | 0.00%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                   | TRS CFD EQUITY BASKET                                                            | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DE               | CORP              | GB        |            1 | NC      | $-1473266.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       472414 | PA      | $454858.50     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LATCH INC LEGENDED                                            | LATCH INC LEGENDED                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       411849 | NS      | $57658.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAU0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1246647.38    | 0.01%             | 2035-10-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31419JPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20427 | PA      | $20566.49      | 0.00%             | 2040-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXII                                                                  | CUSIP: 03765XAJ5<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500878.90     | 0.00%             | 2031-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        74690 | PA      | $68891.70      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                   | US 10YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1347 | NC      | $2667203.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RRE Loan Management                                           | RRE 5 Loan Management DAC                                                        | CUSIP: 000000000<br>LEI: 549300D6UNTEPRSJ6X22 | Long             | ABS-CBDO         | CORP              | IE        |      1160000 | PA      | $1369221.53    | 0.01%             | 2037-01-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $35210.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3290704 | PA      | $2649646.04    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                           | 522 Funding CLO 2019-5 Ltd                                                       | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |       510000 | PA      | $511237.41     | 0.00%             | 2035-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXVII Ltd                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |     12020000 | PA      | $12064880.28   | 0.06%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                   | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1252590 | PA      | $1109139.56    | 0.01%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       678368 | PA      | $614016.92     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                          | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAS1<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251180.20     | 0.00%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                                   | KeyBank NA/Cleveland OH                                                          | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     14304000 | PA      | $14115080.92   | 0.08%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                                | GoodLeap Sustainable Home Solutions Trust 2022-3                                 | CUSIP: 38237TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       459419 | PA      | $414180.04     | 0.00%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4    | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4030000 | PA      | $3457982.20    | 0.02%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9Y23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       758083 | PA      | $755713.89     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7704336 | PA      | $7769384.75    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1007558 | PA      | $840485.94     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                           | American Tower Corp                                                              | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     24084000 | PA      | $24797340.38   | 0.13%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                      | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     29097000 | PA      | $29271667.55   | 0.16%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                     | College Ave Student Loans Trust 2024-A                                           | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8055477 | PA      | $8191170.28    | 0.04%             | 2054-06-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2410000 | PA      | $2421514.98    | 0.01%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                                | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       527000 | PA      | $535066.53     | 0.00%             | 2064-03-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor                                | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       519000 | PA      | $513827.13     | 0.00%             | 2039-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                            | Ohio Power Co                                                                    | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      6843000 | PA      | $4178337.92    | 0.02%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     41622000 | PA      | $41946397.71   | 0.22%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        38141 | PA      | $37845.29      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4284 | PA      | $4143.67       | 0.00%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36202FAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       120051 | PA      | $113939.70     | 0.00%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-25160.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1484700 | PA      | $1474696.83    | 0.01%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2750000 | PA      | $2751718.75    | 0.01%             | 2038-04-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO                                             | Harriman Park CLO LTD                                                            | CUSIP: 413717AN9<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $500745.90     | 0.00%             | 2034-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062689<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42435000 | PA      | $43751813.22   | 0.23%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6022402 | PA      | $5260993.07    | 0.03%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37124 | PA      | $35102.21      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18970026 | PA      | $15958623.89   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                         | Western Alliance Bank                                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |      5763065 | PA      | $5995129.63    | 0.03%             | 2059-07-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                           | ASSURANT CLO II LTD                                                              | CUSIP: 04623TAA3<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |       100221 | PA      | $100212.76     | 0.00%             | 2031-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27690000 | PA      | $28665712.53   | 0.15%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                                | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       636000 | PA      | $508302.33     | 0.00%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |       780000 | PA      | $779176.87     | 0.00%             | 2037-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138Y2EH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       395822 | PA      | $389627.33     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                      | AT&T Inc                                                                         | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     12425000 | PA      | $8687781.29    | 0.05%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 19 Ltd                                                        | CUSIP: 67100SAE6<br>LEI: 254900WSB9O7FH7DWN37 | Long             | ABS-CBDO         | CORP              | BM        |       250000 | PA      | $250488.15     | 0.00%             | 2037-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25000 | PA      | $25340.32      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                                            | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1690177.04    | 0.01%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       842428 | PA      | $774469.50     | 0.00%             | 2037-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                           | JPMorgan Chase & Co                                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |        48038 | NS      | $13926696.58   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Greensky Home Improvement Issu                                | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1474000 | PA      | $1482354.93    | 0.01%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                            | Energy Transfer LP                                                               | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     26362000 | PA      | $27623185.50   | 0.15%             | 2031-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                            | MVM Energetika Zrt                                                               | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |      8364000 | PA      | $8661967.50    | 0.05%             | 2031-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IREN Ltd                                                      | IREN Ltd                                                                         | CUSIP: 000000000<br>LEI: 254900FZF02RB3NNGB71 | Long             | EC               | CORP              | AU        |        94768 | NS      | $1380769.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                              | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-43094.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382RNJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3351188 | PA      | $574479.83     | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19047646 | PA      | $18686887.12   | 0.10%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                                             | 720 East CLO VII Ltd                                                             | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7410000 | PA      | $7412348.97    | 0.04%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act                                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |      1221778 | PA      | $1220605.91    | 0.01%             | 2051-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4346767 | PA      | $4454727.66    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                        | Diamondback Energy Inc                                                           | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      8152000 | PA      | $6290232.54    | 0.03%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust 2015-590M                                           | CUSIP: 36250WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1055780.88    | 0.01%             | 2035-10-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2020-IV Ltd                                                         | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9120000 | PA      | $9148405.15    | 0.05%             | 2040-01-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       413886 | PA      | $391742.61     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo                                | EDvestinU Private Education Loan Issue No 4 LLC                                  | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2191964 | PA      | $2174378.45    | 0.01%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                           | JPMorgan Chase & Co                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      9085000 | PA      | $9316476.44    | 0.05%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                    | Morgan Stanley ABS Capital I Inc Trust 2005-HE1                                  | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       819807 | PA      | $771618.52     | 0.00%             | 2034-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133B3TW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2340659 | PA      | $1886837.93    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                       | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3702000 | PA      | $3743047.78    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                           | Eaton Vance CLO 2013-1 Ltd                                                       | CUSIP: 27830BBQ6<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |      1190000 | PA      | $1192572.07    | 0.01%             | 2034-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| PREFERRED SPV BORROWER LOAN/TERM                              | PREFERRED SPV BORROWER LOAN/TERM                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        34640 | PA      | $34207.17      | 0.00%             | 2027-12-06      | Floating      | 15.00%                | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14935000 | PA      | $15686355.51   | 0.08%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36802000 | PA      | $29017514.36   | 0.16%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                        | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       221000 | PA      | $209624.44     | 0.00%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                                      | Auto ABS Italian Stella Loans 2024-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       397479 | PA      | $472654.29     | 0.00%             | 2036-12-29      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31416BCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13663 | PA      | $13786.10      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 1 Ltd.                                         | Newark BSL CLO 1 Ltd                                                             | CUSIP: 65023TAJ1<br>LEI: 549300R0C043JWD1XY94 | Long             | ABS-CBDO         | CORP              | KY        |        36307 | PA      | $36324.09      | 0.00%             | 2029-12-21      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34337 | PA      | $35885.33      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2021-NQM1 Trust                                                              | CUSIP: 55283FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3310000 | PA      | $2695310.82    | 0.01%             | 2065-04-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3203608 | PA      | $1445576.92    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2025-TAIL                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698000 | PA      | $698144.14     | 0.00%             | 2035-06-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128PY3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10103 | PA      | $9936.17       | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       107079 | PA      | $100438.81     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV                                | Octagon Investment Partners XV Ltd                                               | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |      1430000 | PA      | $1430357.79    | 0.01%             | 2030-07-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18910 | PA      | $17670.60      | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4606 | PA      | $4555.28       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | RAD CLO 27 Ltd                                                                   | CUSIP: 749972AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       930000 | PA      | $932736.06     | 0.00%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                      | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     25142000 | PA      | $24871413.75   | 0.13%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                            | Forestar Group Inc                                                               | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |      1413000 | PA      | $1391045.51    | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust 2020-GSA2                                           | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17517237 | PA      | $1187665.17    | 0.01%             | 2053-12-12      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Dowson                                                        | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |       496000 | PA      | $677087.09     | 0.00%             | 2031-08-20      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       421979 | PA      | $397258.45     | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54835 | PA      | $53694.07      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | CDS DEUTSCHE BANK AG                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |            1 | NC      | $-97618.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47879800 | PA      | $41422756.03   | 0.22%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                                | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       695015 | PA      | $611261.17     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                  | AGL CLO 20 Ltd                                                                   | CUSIP: 00119CAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      3331000 | PA      | $3334507.54    | 0.02%             | 2037-10-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2020-PT-A                                       | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6983983 | PA      | $6569582.33    | 0.04%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                      | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27113532 | PA      | $1357710.14    | 0.01%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                             | Park Blue CLO 2022-II Ltd                                                        | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |      1460000 | PA      | $1465842.77    | 0.01%             | 2037-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       766376 | PA      | $716627.62     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                          | ACE Securities Corp Home Equity Loan Trust Series 2007-HE4                       | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2324442 | PA      | $365219.85     | 0.00%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4199488 | PA      | $4172357.73    | 0.02%             | 2064-12-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | TRS GSVISK10 INDEX                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |            1 | NC      | $18794.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7630138 | PA      | $7411609.82    | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                       | Regatta VI Funding Ltd                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |      4700000 | PA      | $4712715.38    | 0.03%             | 2034-04-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    107572600 | PA      | $96294285.22   | 0.52%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Crown PropTech Acquisitions                                   | Crown PropTech Acquisitions                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        85597 | NS      | $974093.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                       | HCA Inc                                                                          | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     16041000 | PA      | $16540490.59   | 0.09%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201901 | PA      | $148181.74     | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8005187 | PA      | $242013.62     | 0.00%             | 2052-03-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2021-III Ltd                                                        | CUSIP: 12564DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       490000 | PA      | $490244.95     | 0.00%             | 2036-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54725520 | PA      | $2339844.34    | 0.01%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WEV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       488481 | PA      | $477971.58     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                       | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |      6300000 | PA      | $1632638.70    | 0.01%             | 2019-01-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4694000 | PA      | $4788038.42    | 0.03%             | 2034-04-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                 | Boeing Co/The                                                                    | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        38550 | NS      | $2621400.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NMLT Trust                                                    | NLT 2021-INV2 Trust                                                              | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910000 | PA      | $688405.63     | 0.00%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4110000 | PA      | $4123034.04    | 0.02%             | 2037-07-23      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1541928 | PA      | $1555228.39    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LESSEN INC SR VR 144A NT 28                                   | LESSEN INC SR VR 144A NT 28                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11539153 | PA      | $10631021.66   | 0.06%             | 2028-01-05      | Floating      | 12.79%                | No            |                  3 | On Loan: No      |
| Bank                                                          | BANK 2019-BNK20                                                                  | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39279000 | PA      | $560703.80     | 0.00%             | 2062-09-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1558591 | PA      | $1560147.00    | 0.01%             | 2032-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VN3L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1694639 | PA      | $1649798.83    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34799764 | PA      | $1457633.38    | 0.01%             | 2064-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC RR 2014-1                                       | Union Pacific Railroad Co 2014-1 Pass Through Trust                              | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2023317 | PA      | $1999135.57    | 0.01%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 5 Ltd                                                                    | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2300936 | PA      | $2304705.80    | 0.01%             | 2032-07-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13121363 | PA      | $11062876.32   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8727438 | PA      | $8682505.25    | 0.05%             | 2033-02-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                                | Port Authority of New York & New Jersey                                          | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      2780000 | PA      | $2905951.57    | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2013-I Ltd                                                          | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1254177.38    | 0.01%             | 2030-07-16      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004193 | PA      | $906545.03     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                  | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $752760.75     | 0.00%             | 2037-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XUM53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       183145 | PA      | $170554.08     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XXIII Ltd                                            | CUSIP: 08186VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       800000 | PA      | $801680.32     | 0.00%             | 2034-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $833463.30     | 0.00%             | 2066-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23510000 | PA      | $587404.40     | 0.00%             | 2052-06-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20504 | PA      | $20480.04      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132QU4N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22726 | PA      | $21558.69      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Brignole CO                                                   | Brignole Co                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       316913 | PA      | $377779.16     | 0.00%             | 2042-02-24      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7980000 | PA      | $7952096.33    | 0.04%             | 2029-07-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| CHINA CITY CONST INTL                                         | CHINA CITY CONSTRUCTION INTERNATIONAL CO LTD                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | HK        |       339725 | PA      | $0.00          | 0.00%             | 2017-07-03      | Fixed         | 5.35%                 | No            |                  3 | On Loan: No      |
| BROADCOM INC                                                  | Broadcom Inc                                                                     | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     27727000 | PA      | $24768341.39   | 0.13%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                 | AEP Texas Inc                                                                    | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      2473000 | PA      | $1808621.87    | 0.01%             | 2047-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                 | Citigroup Inc                                                                    | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |        35584 | NS      | $3028910.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAN1<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |      2750000 | PA      | $2756184.75    | 0.01%             | 2029-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                        | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13926000 | PA      | $13471413.16   | 0.07%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3010856 | PA      | $2781667.30    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        50940 | PA      | $45232.59      | 0.00%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132JNRR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        37623 | PA      | $37026.97      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                                 | Ares European CLO XII DAC                                                        | CUSIP: 000000000<br>LEI: 635400XCOLUI5RNVIZ11 | Long             | ABS-CBDO         | CORP              | IE        |       889000 | PA      | $1048900.08    | 0.01%             | 2032-04-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| RENEW POWER PVT LTD                                           | ReNew Pvt Ltd                                                                    | CUSIP: 000000000<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |     14000000 | PA      | $13885900.00   | 0.07%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                          | Sagard-Halseypoint Clo 8 Ltd                                                     | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |      2920000 | PA      | $2928692.55    | 0.02%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                     | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1058000 | PA      | $1052405.61    | 0.01%             | 2039-06-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2159800 | PA      | $1858265.35    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                                | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10434000 | PA      | $10588986.64   | 0.06%             | 2037-11-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       298315 | PA      | $283457.62     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        78590 | PA      | $73558.19      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3381000 | PA      | $3371885.84    | 0.02%             | 2034-11-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243065 | PA      | $219428.75     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                             | Rakuten Group Inc                                                                | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     14000000 | PA      | $15335302.64   | 0.08%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor                                | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11850000 | PA      | $95566.70      | 0.00%             | 2050-02-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                                | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2002687.80    | 0.01%             | 2037-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| TVC DSCR_21-1: A                                              | TVC DSCR_21-1: A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15093869 | PA      | $13848671.18   | 0.07%             | 2028-03-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       290877 | PA      | $286760.65     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99838 | PA      | $89399.40      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2020-PT-A                                       | CUSIP: 78449VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6740000 | PA      | $5984605.06    | 0.03%             | 2054-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                        | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6471000 | PA      | $6371820.02    | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                                | Trust Fibra Uno                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      8211000 | PA      | $8557401.56    | 0.05%             | 2032-01-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                      | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2183384 | PA      | $2142351.63    | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                                | Onemain Financial Issuance Trust 2025-1                                          | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2126000 | PA      | $2145962.03    | 0.01%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                        | Conseco Finance Corp                                                             | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       335425 | PA      | $340994.75     | 0.00%             | 2028-03-15      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2                                | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3715000 | PA      | $3717315.93    | 0.02%             | 2039-06-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9967 | PA      | $10104.01      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman CLO XV                                                          | CUSIP: 64129KBG1<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $249958.78     | 0.00%             | 2029-10-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                        | Canyon CLO 2023-2 Ltd                                                            | CUSIP: 13887AAE8<br>LEI: 254900FXDN97BW4YMK55 | Long             | ABS-CBDO         | CORP              | JE        |      6800000 | PA      | $6825861.76    | 0.04%             | 2037-05-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                             | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       600000 | PA      | $600541.80     | 0.00%             | 2038-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                | NRG Energy Inc                                                                   | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     32423000 | PA      | $35590564.99   | 0.19%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                                 | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5251616 | PA      | $4313887.36    | 0.02%             | 2039-05-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X6U78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       410247 | PA      | $403069.56     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                           | Petroleos Mexicanos                                                              | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       116348 | PA      | $120254.97     | 0.00%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1821649 | PA      | $1605275.12    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                            | Seasoned Loans Structured Transaction Trust Series 2020-2                        | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8831648 | PA      | $8739083.95    | 0.05%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418RXJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4652 | PA      | $4755.35       | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VF UKRAINE (VFU FUNDING)                                      | VF Ukraine PAT via VFU Funding PLC                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | UA        |       228819 | PA      | $218521.81     | 0.00%             | 2027-02-11      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| MP Clo III, LTD                                               | MP CLO III LTD                                                                   | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |        50312 | PA      | $50316.15      | 0.00%             | 2030-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      1984000 | PA      | $1950916.05    | 0.01%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |      1770000 | PA      | $1775574.26    | 0.01%             | 2037-07-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       903216 | PA      | $858696.38     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       175253 | PA      | $165183.71     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN PROPTECH ACQUISITION-A                                  | Crown PropTech Acquisitions                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       128396 | NC      | $320.99        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan                                 | New Residential Mortgage Loan Trust 2024-NQM3                                    | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |       781000 | PA      | $767438.09     | 0.00%             | 2064-11-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  -1037650000 | NC      | $-209943.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | SWOP IRS USD                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |     15968730 | NC      | $525714.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust 2020-4                                                | CUSIP: 92538LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3120000 | PA      | $3058973.74    | 0.02%             | 2065-05-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                       | GSR Mortgage Loan Trust 2007-1F                                                  | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22361 | PA      | $42669.16      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                                     | Avoca CLO XXII DAC                                                               | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |       500000 | PA      | $589833.61     | 0.00%             | 2035-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       499443 | PA      | $472735.60     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32069 | PA      | $30097.24      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6419173 | PA      | $6446172.62    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VNJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       365515 | PA      | $355224.36     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     30983000 | PA      | $24972542.15   | 0.13%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4357569 | PA      | $4302371.56    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        38068 | PA      | $35530.58      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       487550 | PA      | $468385.54     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                      | Foundation Finance Trust 2024-1                                                  | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       855826 | PA      | $873821.17     | 0.00%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                      | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4850000 | PA      | $4857679.01    | 0.03%             | 2034-03-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                              | Marble Point CLO XXII Ltd                                                        | CUSIP: 56606GAC8<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $251124.25     | 0.00%             | 2034-07-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                    | MFA 2024-RTL1 Trust                                                              | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5663000 | PA      | $5681891.77    | 0.03%             | 2029-02-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                         | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       780000 | PA      | $781233.80     | 0.00%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6985035 | PA      | $5898545.42    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131Y9XR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1247934 | PA      | $1212409.70    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                                 | Thornburg Mortgage Securities Trust 2006-3                                       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       957562 | PA      | $574056.59     | 0.00%             | 2046-06-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       997000 | PA      | $977060.00     | 0.01%             | 2034-09-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                                    | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7958542 | PA      | $2945575.76    | 0.02%             | 2057-07-31      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3100000 | PA      | $3082562.50    | 0.02%             | 2029-07-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Green Lakes Park CLO LLC                                      | Green Lakes Park CLO LLC                                                         | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4060000 | PA      | $4061015.00    | 0.02%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Together Asset Backed Securiti                                | Together Asset Backed Securitisation 2025-Cre-1 PLC                              | CUSIP: 000000000<br>LEI: 635400IHLPBPFA2IVG30 | Long             | ABS-MBS          | CORP              | GB        |       223000 | PA      | $306388.99     | 0.00%             | 2057-01-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2890000 | PA      | $2873740.86    | 0.02%             | 2034-11-15      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox CLO III Ltd                                                             | CUSIP: 96467JAE2<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1001336.00    | 0.01%             | 2035-10-15      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -65566000 | PA      | $-64248133.89  | -0.34%            | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1650832 | PA      | $1520087.85    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148601 | PA      | $144227.81     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     19626000 | PA      | $20010672.54   | 0.11%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                  | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |      4420000 | PA      | $53798.03      | 0.00%             | 2049-08-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                           | Eaton Vance CLO 2014-1R Ltd                                                      | CUSIP: 27830TAC9<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250167.98     | 0.00%             | 2030-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                                       | Allied Universal Holdco LLC                                                      | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      3644025 | PA      | $3660131.64    | 0.02%             | 2028-05-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       952980 | PA      | $932762.80     | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     11091000 | PA      | $11121058.72   | 0.06%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4278095 | PA      | $4182822.73    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                               | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1520000 | PA      | $1520000.00    | 0.01%             | 2038-07-19      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CML LAKE TAHOE RESORT HOTEL 10-26                             | CML LAKE TAHOE RESORT HOTEL 10-26                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9699000 | PA      | $9746570.69    | 0.05%             | 2026-10-25      | Floating      | 7.34%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78209000 | PA      | $79351419.98   | 0.42%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | Morgan Stanley                                                                   | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      7829000 | PA      | $7639938.26    | 0.04%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| CML LA QUINTA RESORT                                          | CML LA QUINTA RESORT                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     15100000 | PA      | $15100000.00   | 0.08%             | 2027-12-09      | Floating      | 3.69%                 | No            |                  3 | On Loan: No      |
| Southwick Park CLO, Ltd.                                      | Southwick Park CLO LLC                                                           | CUSIP: 846031AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       525985 | PA      | $526732.21     | 0.00%             | 2032-07-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                   | Southern Co/The                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       888000 | PA      | $927935.98     | 0.00%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       448212 | PA      | $417116.22     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2348744 | PA      | $2230826.16    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48076 | PA      | $22496.41      | 0.00%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                        | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      2945000 | PA      | $2956228.70    | 0.02%             | 2037-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       343874 | PA      | $331925.34     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DAVIDSON HOMES WARRANTS                                       | DAVIDSON HOMES WARRANTS                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       129494 | NC      | $524450.70     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JMLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       354483 | PA      | $344069.12     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                     | Amgen Inc                                                                        | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      8298000 | PA      | $4920927.51    | 0.03%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13528324 | PA      | $574282.76     | 0.00%             | 2030-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                             | CPPIB OVM MEMBER US LLC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2840540 | PA      | $2829888.10    | 0.02%             | 2031-08-20      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      5744000 | PA      | $5717963.37    | 0.03%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                      | OZLM XXII Ltd                                                                    | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |       129865 | PA      | $129864.87     | 0.00%             | 2031-01-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WESTBAY 4A2 NOTES                                             | WESTBAY 4A2 NOTES                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21604000 | PA      | $21632085.20   | 0.12%             | 2030-02-06      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| CITIGROUP INC                                                 | Citigroup Inc                                                                    | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3479000 | PA      | $3155144.90    | 0.02%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                              | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       573000 | PA      | $502575.26     | 0.00%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                          | Glencore Funding LLC                                                             | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      2563000 | PA      | $2249924.99    | 0.01%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3955842 | PA      | $3773676.57    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                     | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440000 | PA      | $438380.01     | 0.00%             | 2041-10-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                              | Beazer Homes USA Inc                                                             | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |      3721000 | PA      | $3756156.01    | 0.02%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS USD                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $50624.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                      | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       937300 | PA      | $847242.90     | 0.00%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                 | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31712 | PA      | $31712.01      | 0.00%             | 2038-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                | NACC Reperforming Loan REMIC Trust 2004-R1                                       | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       325498 | PA      | $304818.05     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                            | Myers Park CLO Ltd                                                               | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1302869.62    | 0.01%             | 2030-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38378KBK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2368152 | PA      | $34271.43      | 0.00%             | 2053-09-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26720900 | PA      | $28049638.44   | 0.15%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                   | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1981695 | PA      | $1985581.39    | 0.01%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                           | Elevance Health Inc                                                              | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      1569000 | PA      | $1520444.82    | 0.01%             | 2055-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       158402 | PA      | $160568.44     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22987168 | PA      | $19357027.73   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                      | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAG1<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |       390000 | PA      | $390854.53     | 0.00%             | 2030-11-21      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                                             | Prima Capital CRE Securitization 2016-VI Ltd                                     | CUSIP: 74165WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3005542 | PA      | $2960062.76    | 0.02%             | 2040-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus                                | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2708000 | PA      | $2774087.12    | 0.01%             | 2040-07-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14244476 | PA      | $14150439.35   | 0.08%             | 2033-02-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| ORLEN SA                                                      | ORLEN SA                                                                         | CUSIP: 000000000<br>LEI: 259400VVMM70CQREJT74 | Long             | DBT              | CORP              | PL        |      8411000 | PA      | $8625480.50    | 0.05%             | 2035-01-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       363727 | PA      | $351756.00     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae                                                                       | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64903000 | PA      | $55131164.08   | 0.30%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                         | Cayuga Park CLO Ltd                                                              | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |      3270000 | PA      | $3275377.52    | 0.02%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1078178 | PA      | $967298.54     | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     81700300 | PA      | $83311965.87   | 0.45%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27897000 | PA      | $21165759.09   | 0.11%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                        | Canyon CLO 2018-1 Ltd                                                            | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       638836 | PA      | $639439.05     | 0.00%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                          | Bank of America Corp                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5455000 | PA      | $5332174.02    | 0.03%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1277000 | PA      | $1328809.04    | 0.01%             | 2036-09-22      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| MELANGE SECONDARIES PARTNERS                                  | MELANGE SECONDARIES PARTNERS                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3517428 | NS      | $4326436.28    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Warner Bros Discovery Inc                                     | Warner Bros Discovery Inc                                                        | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |       359051 | NS      | $4114724.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| TOUCAN FINCO LTD/CAN/US                                       | Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC                        | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      3818000 | PA      | $3902827.29    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |      3808265 | PA      | $3813168.34    | 0.02%             | 2031-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138YRQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23356 | PA      | $22522.25      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                              | Duke Energy Corp                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      8504000 | PA      | $7455490.05    | 0.04%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                      | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     18860000 | PA      | $19036795.71   | 0.10%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                 | SCC Power PLC                                                                    | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      1792401 | PA      | $1160579.65    | 0.01%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46377068 | PA      | $1297430.94    | 0.01%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                                | IRS USD                                                                          | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |            1 | NC      | $4678.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138XSTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108524 | PA      | $106974.36     | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                | MF1 2024-FL14 LLC                                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1770000 | PA      | $1776653.78    | 0.01%             | 2039-03-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2358911 | PA      | $1891573.84    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                                            | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1040000 | PA      | $1043548.27    | 0.01%             | 2037-04-18      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80259 | PA      | $76212.98      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26671000 | PA      | $19403152.50   | 0.10%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DWDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5390631 | PA      | $5024510.39    | 0.03%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3132524 | PA      | $2525245.19    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                    | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-11295.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7474000 | PA      | $7555131.02    | 0.04%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       415572 | PA      | $360238.99     | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27320032 | PA      | $21678502.31   | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding PLC                                            | Exmoor Funding 2024-1 PLC                                                        | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |       197000 | PA      | $269944.24     | 0.00%             | 2094-03-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                | Apidos CLO XXXII                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |       825977 | PA      | $825895.28     | 0.00%             | 2033-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 165ESCAQ7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |       623000 | PA      | $0.06          | 0.00%             | 2026-08-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7064922 | PA      | $5695251.32    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                   | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1300000 | PA      | $1280425.12    | 0.01%             | 2047-02-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $2758502.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       390000 | PA      | $390868.53     | 0.00%             | 2030-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                | Freddie Mac Multiclass Certificates Series 2024-P015                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2110970 | PA      | $2067994.89    | 0.01%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4772916 | PA      | $3888879.34    | 0.02%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIRKUL COM 0.01 WARR                                          | CIRKUL COM 0.01 WARR                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        11075 | NC      | $151506.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307LX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       113171 | PA      | $110017.31     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440760 | PA      | $78566.74      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1852221 | PA      | $1641385.50    | 0.01%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5908550 | PA      | $5919603.98    | 0.03%             | 2041-10-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                      | Angel Oak Mortgage Trust 2024-10                                                 | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |      2083068 | PA      | $2078461.96    | 0.01%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                              | Greenko Dutch BV                                                                 | CUSIP: 000000000<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |      7040000 | PA      | $6902720.00    | 0.04%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CORE SCIENTIFIC INC                                           | Core Scientific Inc                                                              | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |       546000 | PA      | $593092.50     | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2524852 | PA      | $2038184.88    | 0.01%             | 2065-04-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                      | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $999441.90     | 0.01%             | 2039-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                   | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2349000 | PA      | $2359107.75    | 0.01%             | 2058-02-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43117000 | PA      | $7174323.82    | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | CARLYLE US CLO 2023-1 LTD                                                        | CUSIP: 14318RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $751015.43     | 0.00%             | 2035-07-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                       | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       396721 | PA      | $370491.51     | 0.00%             | 2037-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                   | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1779785 | PA      | $1782009.79    | 0.01%             | 2038-07-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                         | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      4688000 | PA      | $3167477.81    | 0.02%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                             | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |      1827000 | PA      | $1832447.02    | 0.01%             | 2036-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                    | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13264111 | PA      | $13435422.34   | 0.07%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                        | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       151140 | PA      | $145404.49     | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| OCEANA A NOTE 3 YEAR                                          | OCEANA A NOTE 3 YEAR                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |      3013000 | PA      | $2032581.10    | 0.01%             | 2026-07-31      | Fixed         | 12.50%                | No            |                  3 | On Loan: No      |
| WHARF Commercial Mortgage Trus                                | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4623000 | PA      | $4712925.21    | 0.03%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                             | USD/JPY UP-AND-IN BARRIER OPTION; BARRIER PRICE USD 155.00000                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | GB        |    198796000 | NC      | $299311.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                              | THREE-MONTH SOFR                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        11494 | NC      | $1930006.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                              | Paramount Global                                                                 | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      3519000 | PA      | $3404742.05    | 0.02%             | 2028-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18353713 | PA      | $18347977.46   | 0.10%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                              | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     10522000 | PA      | $10562764.33   | 0.06%             | 2037-10-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                          | Halseypoint CLO 7 LTD                                                            | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |      1080000 | PA      | $1080000.00    | 0.01%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $11947.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       766187 | PA      | $765716.88     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                              | Altria Group Inc                                                                 | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      7491000 | PA      | $5540234.38    | 0.03%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                     | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       990000 | PA      | $871006.75     | 0.00%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1810000 | PA      | $1815850.28    | 0.01%             | 2030-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2312041 | PA      | $2178492.56    | 0.01%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741796 | PA      | $712633.22     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                                            | Sesac Finance LLC                                                                | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2827500 | PA      | $2814753.63    | 0.02%             | 2049-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WJXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2281747 | PA      | $2042606.63    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6127821 | PA      | $6076575.82    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                 | UBS Commercial Mortgage Trust 2018-C15                                           | CUSIP: 90278LAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1480602.90    | 0.01%             | 2051-12-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133C0G22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3259420 | PA      | $3315248.64    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 31307MSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        46202 | PA      | $44547.84      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       235258 | PA      | $228739.49     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                     | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       320000 | PA      | $326311.36     | 0.00%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       237950 | PA      | $221492.34     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97072 | PA      | $97253.96      | 0.00%             | 2039-08-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133KYUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1233093 | PA      | $1064310.07    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                                 | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8737828 | PA      | $8690135.41    | 0.05%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                           | Synchrony Financial                                                              | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     23937000 | PA      | $20768702.75   | 0.11%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5202358 | PA      | $5323049.70    | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Quarzo Srl                                                    | Quarzo Srl                                                                       | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       280790 | PA      | $334267.59     | 0.00%             | 2041-06-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83945000 | PA      | $62371790.61   | 0.33%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8829389 | PA      | $8157113.05    | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 3132VPG44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       695257 | PA      | $675683.76     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Government National Mortgage Association                                         | CUSIP: 38379UZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3054052 | PA      | $115087.66     | 0.00%             | 2057-12-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24109 | PA      | $22476.30      | 0.00%             | 2037-03-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469000 | PA      | $470170.25     | 0.00%             | 2041-10-15      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140HN5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       260634 | PA      | $252688.82     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31419AR25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43797 | PA      | $43615.91      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                                  | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2180000 | PA      | $2182885.23    | 0.01%             | 2040-04-13      | Variable      | 10.66%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3138WDWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325291 | PA      | $314414.38     | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                              | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAL8<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |      1160000 | PA      | $1163486.03    | 0.01%             | 2036-05-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS IFS USD                                                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               | CORP              | GB        |            1 | NC      | $-164622.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    137048933 | PA      | $138550159.96  | 0.74%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1499231 | PA      | $1188407.75    | 0.01%             | 2037-05-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3131XJ4U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       120456 | PA      | $113175.76     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                      | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC  | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       192500 | PA      | $193819.80     | 0.00%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                       | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      4809000 | PA      | $4794542.41    | 0.03%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                           | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3695431 | PA      | $3693499.77    | 0.02%             | 2035-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                | Solventum Corp                                                                   | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      1373000 | PA      | $1413868.21    | 0.01%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                    | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1692031.08    | 0.01%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2015-CCRE25 Mortgage Trust                                                  | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1324939 | PA      | $21.99         | 0.00%             | 2048-08-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4021605 | PA      | $3697298.86    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                  | CUSIP: 94989XBF1<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |      1936684 | PA      | $392.57        | 0.00%             | 2048-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1837261 | PA      | $1685418.57    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                   | Rad CLO 18 Ltd                                                                   | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $250812.95     | 0.00%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140JGV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       375524 | PA      | $365143.09     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                                 | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       887911 | PA      | $825701.39     | 0.00%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                           | Elevance Health Inc                                                              | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      1971000 | PA      | $2008584.29    | 0.01%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7123733 | PA      | $5742665.97    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                     | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7350000 | PA      | $7356890.63    | 0.04%             | 2041-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 31329JHY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       351490 | PA      | $329950.91     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS LLC                                        | AP GRANGE HOLDINGS LLC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12241000 | PA      | $12134503.30   | 0.06%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                  | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7110000 | PA      | $7249914.14    | 0.04%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                  | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |       119937 | PA      | $120000.80     | 0.00%             | 2030-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                              | USD/EGP FORWARD                                                                  | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |            1 | NC      | $77997.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                           | Elevance Health Inc                                                              | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      3403000 | PA      | $2781473.09    | 0.01%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                          | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1539051 | PA      | $1540721.63    | 0.01%             | 2030-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                             | Riserva Clo Ltd                                                                  | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |      5690000 | PA      | $5700242.00    | 0.03%             | 2034-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                     | Ashford Hospitality Trust 2018-ASHF                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1525000 | PA      | $1500234.00    | 0.01%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9526484 | PA      | $7679581.11    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                            | Mattamy Group Corp                                                               | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      1074000 | PA      | $1068833.31    | 0.01%             | 2027-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140X82G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16434690 | PA      | $15044023.67   | 0.08%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Pool                                                                 | CUSIP: 3132DQQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8653058 | PA      | $8875070.38    | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                            | Expand Energy Corp                                                               | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     20784000 | PA      | $20210068.55   | 0.11%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XGPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1452867 | PA      | $1375989.01    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM 2015-LC19 Mortgage Trust                                                    | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512000 | PA      | $504249.70     | 0.00%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1201090 | PA      | $1135365.93    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                                                | Bardot CLO Ltd                                                                   | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |      1454864 | PA      | $1454393.23    | 0.01%             | 2032-10-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS USD                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $359654.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                      | BX Trust 2025-LIFE                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3018000 | PA      | $3074175.54    | 0.02%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA CMNTY CLG DIST                                 | Los Angeles Community College District/CA                                        | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      3990000 | PA      | $4234616.42    | 0.02%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                                  | Post CLO VI Ltd                                                                  | CUSIP: 73742RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       950000 | PA      | $954537.20     | 0.01%             | 2038-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       670390 | PA      | $617454.67     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bletchley Park Funding                                        | Bletchley Park Funding 2025-1 PLC                                                | CUSIP: 000000000<br>LEI: 635400OJVL3HJJTKNB05 | Long             | ABS-MBS          | CORP              | GB        |      1222000 | PA      | $1677928.48    | 0.01%             | 2070-01-27      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040479<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4439000 | PA      | $4341434.86    | 0.02%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                                       | Regatta 30 Funding Ltd                                                           | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1710000 | PA      | $1715661.98    | 0.01%             | 2038-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                  | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       260000 | PA      | $236784.70     | 0.00%             | 2052-11-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                                | Carlyle Global Market Strategies CLO 2014-5 Ltd                                  | CUSIP: 14311AAU6<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |       830000 | PA      | $830639.68     | 0.00%             | 2031-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                     | BXP Trust 2017-GM                                                                | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1240000 | PA      | $1164803.05    | 0.01%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | TRY/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-48359.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                               | United States Treasury Note/Bond                                                 | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16447000 | PA      | $15953590.00   | 0.09%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                                | DBJPM 2017-C6 Mortgage Trust                                                     | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5780000 | PA      | $94755.59      | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                | CDS PITNEY BOWES INC                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |            1 | NC      | $1267.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5381182 | PA      | $4763207.15    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                      | USD/NGN FORWARD                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-121460.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                                | Velocity Commercial Capital Loan Trust 2018-1                                    | CUSIP: 92257AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109384 | PA      | $103077.28     | 0.00%             | 2048-04-25      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                | Romark CLO Ltd                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       859098 | PA      | $860169.55     | 0.00%             | 2030-10-23      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 31414S2T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42526 | PA      | $43380.10      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                        | Pacific Gas and Electric Co                                                      | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1413000 | PA      | $1318355.32    | 0.01%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae I Pool                                                                | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       200898 | PA      | $187343.73     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                        | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       434730 | PA      | $382641.10     | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                       | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1821000 | PA      | $1761073.62    | 0.01%             | 2037-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                        | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAC4<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |       600000 | PA      | $601145.28     | 0.00%             | 2031-10-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                      | EQM Midstream Partners LP                                                        | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     12940000 | PA      | $13231570.03   | 0.07%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                    | Fannie Mae Pool                                                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1790365 | PA      | $1688753.61    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                   | Freddie Mac Gold Pool                                                            | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40018 | PA      | $38719.19      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                      | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1142000 | PA      | $965645.45     | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                                | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                         | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000873 | PA      | $8050211.81    | 0.04%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                              | CIFC Funding 2015-IV Ltd                                                         | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |       510000 | PA      | $511086.66     | 0.00%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                             | EURO-BTP                                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -51 | NC      | $496.80        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       835528 | PA      | $376209.97     | 0.00%             | 2035-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1317357 | PA      | $1240475.51    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       502520 | PA      | $467664.49     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROJECT MONTAGE NOTE: TL LOAN/REVOLVE                         | PROJECT MONTAGE NOTE: TL LOAN/REVOLVE                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2768097 | PA      | $2698894.94    | 0.01%             | 2029-02-16      | Floating      | 5.15%                 | No            |                  3 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -43643000 | PA      | $-45060376.69  | -0.24%            | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                  | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3144500 | PA      | $3192547.96    | 0.02%             | 2065-01-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                | Ginnie Mae II Pool                                                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25373810 | PA      | $22524912.73   | 0.12%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                           | LCM XIV LP                                                                       | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |        88560 | PA      | $88585.09      | 0.00%             | 2031-07-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| DIAMOND II LTD                                                | Diamond II Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900KL4GQ2XC50XL44 | Long             | DBT              | CORP              | MU        |     14000000 | PA      | $14113400.00   | 0.08%             | 2026-07-28      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus                                | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       695000 | PA      | $711831.72     | 0.00%             | 2032-08-20      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2829000 | PA      | $2845958.72    | 0.02%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc                                | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       433376 | PA      | $151345.64     | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF 2019-KW08 Mortgage Trust                                                   | CUSIP: 30297YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150211139 | PA      | $390669.13     | 0.00%             | 2029-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                                   | IRS EUR                                                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $-615484.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                         | Melco Resorts Finance Ltd                                                        | CUSIP: 000000000<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      8000000 | PA      | $7980000.00    | 0.04%             | 2027-07-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                                | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9935000 | PA      | $9995627.34    | 0.05%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** BlackRock Bond Fund, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer