# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-25-000715
**Filing Date:** 2025-9
**Character Count:** 189182
**Document Hash:** d661187d0c98664c4acb634ea9a4a679
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-000715.hdr.sgml**: 20250918

**ACCESSION NUMBER**: 0002071691-25-000715

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250918

**DATE AS OF CHANGE**: 20250918

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 251322672

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1390302043.30

**Total Liabilities:** $365114206.96

**Net Assets:** $1025187836.34

**Delayed Delivery Securities:** $667000.00

**Cash Not Reported:** $4180384.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2469.44353289 | **1-Year:** -52992.38354344 | **5-Year:** -134538.36581862 | **10-Year:** -116824.36470972 | **30-Year:** -31415.92497745

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

- **3-Month:** -1940.56080904 | **1-Year:** -38809.15611347 | **5-Year:** -51420.09940916 | **10-Year:** -57139.21210040 | **30-Year:** -8110.61781668

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246278 | 0.37%                | 1.20%                | 0.09%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1114539.81              | $-1440442.55                               |
| Month 2  | $-778025.48              | $6789321.92                                |
| Month 3  | $714868.92               | $-3650633.87                               |

**Designated Index Information**

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

- **Index Identifier:** INTRNL-2732079061

### Schedule of Portfolio Investments

| Name                                           | Title                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-4A, Class B                          | CUSIP: 57108UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $519347.89    | 0.05%             | 2033-12-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class E               | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1431302 | PA      | $1435551.74   | 0.14%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2021-1, Class C                              | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4371793.32   | 0.43%             | 2051-11-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2024-CES1, Class A1B                  | CUSIP: 46658CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4521348 | PA      | $4528072.09   | 0.44%             | 2054-06-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                       | Rain City Mortgage Trust, Series 2024-RTL1, Class A2                     | CUSIP: 75079KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $561960.00    | 0.05%             | 2029-11-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Alloya Auto Receivables Trust                  | Alloya Auto Receivables Trust, Series 2025-1A, Class B                   | CUSIP: 01986QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $895423.58    | 0.09%             | 2030-03-25      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-7, Class A2                        | CUSIP: 03466TAB3<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |     13861 | PA      | $13869.68     | 0.00%             | 2070-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BIO2, Class D                  | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4702000 | PA      | $4647847.19   | 0.45%             | 2041-08-13      | Variable      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2          | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   2677000 | PA      | $2696989.96   | 0.26%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M2                      | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3036569.97   | 0.30%             | 2044-03-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class D        | CUSIP: 05377RJS4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   4868000 | PA      | $4919624.90   | 0.48%             | 2029-06-20      | Fixed         | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                  | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301696 | PA      | $293532.12    | 0.03%             | 2050-02-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25880000 | PA      | $24549431.56  | 2.39%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2025-1A, Class C                              | CUSIP: 30227XAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2536592.20   | 0.25%             | 2054-07-25      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class D       | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   1091331 | PA      | $1098640.17   | 0.11%             | 2031-12-26      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1      | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4731912 | PA      | $4698082.79   | 0.46%             | 2029-04-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1 | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   2831464 | PA      | $2709450.65   | 0.26%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2             | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $721521.61    | 0.07%             | 2049-03-22      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class C                   | CUSIP: 525935AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2602217.69   | 0.25%             | 2030-09-15      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                     | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5696531 | PA      | $5707464.12   | 0.56%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-1A, Class D               | CUSIP: 36267FAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $426773.49    | 0.04%             | 2030-07-15      | Fixed         | 7.93%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M4                        | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755798 | PA      | $797208.62    | 0.08%             | 2057-10-25      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B1              | CUSIP: 20469AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4545469.11   | 0.44%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-WPT, Class D                   | CUSIP: 05612JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002375.11   | 0.20%             | 2034-03-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D          | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314922 | PA      | $318269.06    | 0.03%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class D                | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $704925.33    | 0.07%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class D                                      | CUSIP: 05610AAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1942500 | PA      | $1934022.59   | 0.19%             | 2039-04-15      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                         | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |   3115053 | PA      | $3116460.36   | 0.30%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1B                         | CUSIP: 749421AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1745574 | PA      | $1746504.23   | 0.17%             | 2044-11-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G               | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354407 | PA      | $356865.87    | 0.03%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| CPC Asset Securitization III LLC               | CPC Asset Securitization III LLC, Series 2024-1A, Class D                | CUSIP: 126203AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999873.60    | 0.10%             | 2030-08-15      | Fixed         | 13.45%                | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class D        | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4894618.40   | 0.48%             | 2027-08-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK86                       | CUSIP: 05494BBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1892604 | PA      | $1392385.17   | 0.14%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class C                                    | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1077305 | PA      | $1096577.28   | 0.11%             | 2054-03-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class B                 | CUSIP: 62475WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2498450.51   | 0.24%             | 2039-03-15      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                   | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6125828 | PA      | $5878477.34   | 0.57%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2023-2A, Class A2             | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $150808.29    | 0.01%             | 2048-11-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Affirm Master Trust                            | Affirm Master Trust, Series 2025-2A, Class D                             | CUSIP: 00833BAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7519037.15   | 0.73%             | 2033-07-15      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-CES1, Class A1B                                        | CUSIP: 26846VAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354306 | PA      | $2364810.92   | 0.23%             | 2060-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class C         | CUSIP: 95003PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2509492.10   | 0.24%             | 2035-07-15      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $-17418.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class C7                    | CUSIP: 44422PBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $404068.07    | 0.04%             | 2034-08-05      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  61479000 | PA      | $59838371.41  | 5.84%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -107 | NC      | $-147290.85   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class E                                      | CUSIP: 74939RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1753911.95   | 0.17%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1      | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2941750 | PA      | $2971312.23   | 0.29%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                      | Auxilior Term Funding LLC, Series 2023-1A, Class E                       | CUSIP: 05335JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202931.00    | 0.02%             | 2032-12-15      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 Emini Index                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -70 | NC      | $-175875.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class D        | CUSIP: 82653BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    621933 | PA      | $620607.05    | 0.06%             | 2041-08-20      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class A                                     | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3518994.10   | 0.34%             | 2040-06-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-SOAR, Class D                  | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4164505 | PA      | $4163194.31   | 0.41%             | 2038-06-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       529 | NC      | $-83153.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| IRV Trust                                      | IRV Trust, Series 2025-200P, Class C                                     | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $4090670.48   | 0.40%             | 2047-03-14      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                    | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1613995 | PA      | $1604165.45   | 0.16%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| AMC Networks, Inc.                             | AMC Networks, Inc.                                                       | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    755000 | PA      | $774799.73    | 0.08%             | 2029-01-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-VOLT, Class E                  | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5166760 | PA      | $5153103.56   | 0.50%             | 2036-09-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM2, Class A1                           | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2761550 | PA      | $2765778.23   | 0.27%             | 2070-06-25      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M2                      | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |   5510949 | PA      | $5516895.09   | 0.54%             | 2045-05-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                    | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227111 | PA      | $225498.73    | 0.02%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class C                                   | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1751019.10   | 0.17%             | 2036-08-15      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  65610000 | PA      | $65262791.88  | 6.37%             | 2055-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                            | CALI Mortgage Trust, Series 2019-101C, Class B                           | CUSIP: 129890AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1531983.72   | 0.15%             | 2039-03-10      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 100 oz Gold                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -25 | NC      | $-6500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2021-2, Class G                           | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    898883 | PA      | $900845.03    | 0.09%             | 2028-12-26      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund LLC       | Janus Henderson Cash Collateral Fund LLC                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    809190 | PA      | $809190.00    | 0.08%             | 2025-08-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                      | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   6288000 | PA      | $6555490.11   | 0.64%             | 2041-09-25      | Floating      | 10.60%                | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1      | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3721485 | PA      | $3735768.06   | 0.36%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class E736                       | CUSIP: 05494BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405067 | PA      | $2065289.24   | 0.20%             | 2052-09-27      | Variable      | 0.86%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2024-A, Class E                      | CUSIP: 78437PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1038799.00   | 0.10%             | 2032-04-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class B        | CUSIP: 67118NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015139.10   | 0.10%             | 2031-06-17      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class F                 | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999507.38    | 0.10%             | 2039-03-15      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust     | Exeter Select Automobile Receivables Trust, Series 2025-2, Class D       | CUSIP: 30185EAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2192262.71   | 0.21%             | 2032-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                            | 3 months SOFR                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $38831.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class B7                    | CUSIP: 44422PBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $138709.38    | 0.01%             | 2034-08-05      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class E                                       | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $2846383.33   | 0.28%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                    | Ally Auto Receivables Trust, Series 2024-1, Class D                      | CUSIP: 02008FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505082.50    | 0.05%             | 2032-02-16      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                         | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3130000 | PA      | $3126629.30   | 0.30%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $115393.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                      | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   5274435 | PA      | $5312312.85   | 0.52%             | 2041-11-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust     | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A       | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249728 | PA      | $252835.14    | 0.02%             | 2048-04-25      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                        | CarMax Auto Owner Trust, Series 2024-1, Class D                          | CUSIP: 14318WAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1645486.90   | 0.16%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2          | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615785 | PA      | $617705.68    | 0.06%             | 2041-10-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust, Series 2025-1A, Class C                    | CUSIP: 43283CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3752198 | PA      | $3735122.83   | 0.36%             | 2042-05-27      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-ROIC, Class E                                      | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2771192 | PA      | $2719332.03   | 0.27%             | 2030-03-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       932 | NC      | $157833.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2          | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331138 | PA      | $334446.62    | 0.03%             | 2044-02-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $173206.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                  | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2155813.03   | 0.21%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A2              | CUSIP: 20469AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005933.60   | 0.10%             | 2049-02-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1             | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $9500000.00   | 0.93%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                        | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4631911 | PA      | $4748880.01   | 0.46%             | 2057-10-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Surgery Center Holdings, Inc.                  | Surgery Center Holdings, Inc.                                            | CUSIP: 86881WAF9<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |    310000 | PA      | $318744.17    | 0.03%             | 2032-04-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class B                            | CUSIP: 74690DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1442000 | PA      | $1447298.51   | 0.14%             | 2055-05-25      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30930000 | PA      | $27636604.53  | 2.70%             | 2055-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF1, Class A                                    | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073752 | PA      | $1070248.33   | 0.10%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -44565000 | PA      | $-36513174.06 | -3.56%            | 2055-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust, Series 2024-PMDW, Class D                                     | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2536933.77   | 0.25%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-P1, Class D           | CUSIP: 96043LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2379000 | PA      | $2409676.63   | 0.24%             | 2032-07-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M2                      | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $991894.92    | 0.10%             | 2044-10-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class B                                   | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $233375.51    | 0.02%             | 2036-08-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 5544, Class FC                                      | CUSIP: 3137HLNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11923954 | PA      | $11902459.29  | 1.16%             | 2055-06-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class E                 | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    667000 | PA      | $667000.00    | 0.07%             | 2030-08-15      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D         | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630927 | PA      | $645785.84    | 0.06%             | 2032-05-20      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D    | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509647.57    | 0.05%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class C          | CUSIP: 90945DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1511784.17   | 0.15%             | 2029-10-10      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust      | Santander Consumer Auto Receivables Trust, Series 2021-CA, Class C       | CUSIP: 80281HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139580 | PA      | $138923.02    | 0.01%             | 2028-06-15      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Herbalife Ltd.                                 | Herbalife Ltd.                                                           | CUSIP: 42703MAF0<br>LEI: 549300BA7TYPBSZZIA41 | Long             | DBT              | CORP              | KY        |   1702000 | PA      | $1582860.00   | 0.15%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class D         | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1249344 | PA      | $1262964.49   | 0.12%             | 2032-10-20      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class C          | CUSIP: 38410KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $497796.90    | 0.05%             | 2028-03-01      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                      | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |     63290 | PA      | $63534.43     | 0.01%             | 2034-01-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                         | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716186 | PA      | $719688.27    | 0.07%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                  | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                 | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5902000 | PA      | $5895141.55   | 0.58%             | 2042-03-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-2, Class A1                                        | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3273471 | PA      | $3270981.38   | 0.32%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class B                         | CUSIP: 09531MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202965.94    | 0.02%             | 2030-11-15      | Fixed         | 9.48%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A       | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3443956 | PA      | $3529063.95   | 0.34%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                     | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $288730.11    | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class B              | CUSIP: 68237DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4493380.05   | 0.44%             | 2032-04-19      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class B                   | CUSIP: 525920AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2718259.45   | 0.27%             | 2029-07-16      | Fixed         | 6.52%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class C                           | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1236889.67   | 0.12%             | 2041-06-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A2     | CUSIP: 67181DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441111 | PA      | $398279.43    | 0.04%             | 2050-11-20      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class D                                 | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1049000.64   | 0.10%             | 2031-07-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                 | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192749 | PA      | $193591.72    | 0.02%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust, Series 2021-PRM2, Class G           | CUSIP: 17291HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2391414.53   | 0.23%             | 2038-10-15      | Floating      | 8.96%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust                            | DROP Mortgage Trust, Series 2021-FILE, Class A                           | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1209628.71   | 0.12%             | 2043-10-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A           | CUSIP: 55068XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400987 | PA      | $401621.81    | 0.04%             | 2030-07-15      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| NetCredit Combined Receivables LLC             | NetCredit Combined Receivables LLC, Series 2024-A, Class A               | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430201 | PA      | $431749.62    | 0.04%             | 2030-10-21      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC              | Pawneee Equipment Receivables LLC, Series 2022-1, Class D                | CUSIP: 70410DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246968.15    | 0.02%             | 2028-07-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2022-1A, Class D                            | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81700 | PA      | $81074.32     | 0.01%             | 2036-08-20      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class E          | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3701988 | PA      | $3747662.50   | 0.37%             | 2032-06-15      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class B                         | CUSIP: 02157JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1929763 | PA      | $1939296.14   | 0.19%             | 2039-05-16      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class F          | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3248070 | PA      | $3269646.85   | 0.32%             | 2032-06-15      | Fixed         | 10.17%                | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class B                   | CUSIP: 525935AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510830.59    | 0.05%             | 2029-09-15      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class F               | CUSIP: 02007GZ97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590679 | PA      | $607874.53    | 0.06%             | 2032-05-17      | Fixed         | 9.89%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class E       | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    771804 | PA      | $783743.65    | 0.08%             | 2031-12-26      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES2, Class A1B                   | CUSIP: 89182JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    823457 | PA      | $827604.31    | 0.08%             | 2064-02-25      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class C              | CUSIP: 89616LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504520.91    | 0.05%             | 2028-01-18      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2024-1A, Class D                      | CUSIP: 501689AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510913.54    | 0.05%             | 2031-06-16      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1           | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7650000 | PA      | $7641114.53   | 0.75%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                            | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1947248 | PA      | $2000173.31   | 0.20%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class C                                      | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179288 | PA      | $1180352.97   | 0.12%             | 2041-04-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class E                                           | CUSIP: 362414AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2008505.28   | 0.20%             | 2041-05-15      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                      | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   5190704 | PA      | $5192523.70   | 0.51%             | 2045-02-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                     | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303084 | PA      | $2214835.72   | 0.22%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2025-1A, Class B1              | CUSIP: 20469CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5006596.11   | 0.49%             | 2050-05-25      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                         | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3136796 | PA      | $3133394.35   | 0.31%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M3                        | CUSIP: 46591HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386591 | PA      | $399132.83    | 0.04%             | 2057-10-25      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class F                                      | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3088000 | PA      | $3083262.29   | 0.30%             | 2036-10-15      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4739984 | PA      | $4767871.00   | 0.47%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                         | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-O            | CORP              | US        |    234340 | PA      | $234917.70    | 0.02%             | 2055-06-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                     | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1313281 | PA      | $1221351.75   | 0.12%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2024-1A, Class D                        | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298323 | PA      | $1364386.34   | 0.13%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE2, Class A                                    | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1140489 | PA      | $1142761.39   | 0.11%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2021-ESH, Class F                    | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2959161 | PA      | $2959176.87   | 0.29%             | 2038-07-15      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-X1, Class C               | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194841 | PA      | $194840.92    | 0.02%             | 2028-11-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B1          | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2293407.01   | 0.22%             | 2041-12-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                          | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400119 | PA      | $384222.83    | 0.04%             | 2048-11-27      | Variable      | 1.14%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES2, Class A1A            | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193783 | PA      | $2197235.58   | 0.21%             | 2060-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class D                          | CUSIP: 91823ABE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1517707.20   | 0.15%             | 2054-05-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding, Series 2023-1A, Class D              | CUSIP: 383931AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2000000 | PA      | $1998072.40   | 0.19%             | 2026-09-01      | Floating      | 8.85%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                         | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321901 | PA      | $324457.15    | 0.03%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2          | CUSIP: 20754KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915750 | PA      | $923071.33    | 0.09%             | 2041-11-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FinBe USA Trust                                | FinBe USA Trust, Series 2025-1A, Class B                                 | CUSIP: 317967AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3266141.87   | 0.32%             | 2030-12-16      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1          | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3976243 | PA      | $3979024.68   | 0.39%             | 2045-05-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1            | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070000 | PA      | $3084446.50   | 0.30%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class F                          | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1186829.56   | 0.12%             | 2054-05-15      | Fixed         | 8.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                     | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4989782 | PA      | $4973187.11   | 0.49%             | 2055-03-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B1          | CUSIP: 20754KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141001 | PA      | $1168456.34   | 0.11%             | 2041-11-25      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1C               | CUSIP: 00834BAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3392000 | PA      | $3405734.11   | 0.33%             | 2029-02-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class D                    | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4737182 | PA      | $4742536.26   | 0.46%             | 2039-02-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -25 | NC      | $-2343.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class C              | CUSIP: 68237DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2492224.75   | 0.24%             | 2032-04-19      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class D          | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $600394.62    | 0.06%             | 2028-03-01      | Floating      | 11.50%                | Yes           |                  2 | On Loan: No      |
| STWD Trust                                     | STWD Trust, Series 2021-FLWR, Class D                                    | CUSIP: 78485GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1198362.76   | 0.12%             | 2036-07-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class D                 | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1174304.74   | 0.11%             | 2039-03-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Pear LLC                                       | Pear LLC, Series 2024-1, Class A                                         | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301464 | PA      | $302845.06    | 0.03%             | 2036-02-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| DC Trust                                       | DC Trust, Series 2024-HLTN, Class C                                      | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1491103.94   | 0.15%             | 2040-04-13      | Variable      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class D       | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768045 | PA      | $786505.85    | 0.08%             | 2047-06-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -135 | NC      | $-113684.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                      | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   6250000 | PA      | $6637147.81   | 0.65%             | 2041-10-25      | Floating      | 11.85%                | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class E                   | CUSIP: 46591HCV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5498791 | PA      | $5463393.74   | 0.53%             | 2033-02-25      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                 | SWCH Commercial Mortgage Trust, Series 2025-DATA, Class E                | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149207.65    | 0.01%             | 2042-02-15      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class D                                      | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6289538 | PA      | $6294456.06   | 0.61%             | 2041-04-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  60613000 | PA      | $62507762.38  | 6.10%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10                  | CUSIP: 44422PBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859000 | PA      | $802666.26    | 0.08%             | 2034-08-05      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class C                  | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389000 | PA      | $1388795.44   | 0.14%             | 2035-11-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                  | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1855747.28   | 0.18%             | 2041-10-15      | Floating      | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2025-1A, Class D                          | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5368000 | PA      | $5367225.97   | 0.52%             | 2035-07-16      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1      | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1663247.66   | 0.16%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class C         | CUSIP: 446438SZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2909592 | PA      | $2909571.47   | 0.28%             | 2033-03-21      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-CGS, Class B                  | CUSIP: 20267XAC7<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |     98238 | PA      | $95420.24     | 0.01%             | 2046-02-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  57605000 | PA      | $58401101.10  | 5.70%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A              | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595884 | PA      | $597187.81    | 0.06%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1           | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675804 | PA      | $1649789.67   | 0.16%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class D                                | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2373000 | PA      | $2449536.23   | 0.24%             | 2031-09-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Zais CLO 11 Ltd.                               | Zais CLO 11 Ltd., Series 2018-11A, Class BR                              | CUSIP: 98887YAQ0<br>LEI: 549300FPW2E2MXLOFH93 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2507269.00   | 0.24%             | 2032-01-20      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2017-AGS, Class B                  | CUSIP: 20267VAC1<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |    172925 | PA      | $156718.65    | 0.02%             | 2041-05-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES4, Class A1A                         | CUSIP: 74937YAA6<br>LEI: 254900VY2F6O6C6XTD40 | Long             | ABS-O            | CORP              | US        |   5374123 | PA      | $5408043.36   | 0.53%             | 2055-04-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL5, Class D                   | CUSIP: 05612GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3963114 | PA      | $3962759.98   | 0.39%             | 2041-03-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2024-1A, Class A                             | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1978383.80   | 0.19%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class D                                      | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3296327.26   | 0.32%             | 2036-10-15      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A         | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4333000 | PA      | $4345786.25   | 0.42%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                       | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2513870 | PA      | $2538392.11   | 0.25%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 Emini Index                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -70 | NC      | $-65625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-1PL, Class D                                 | CUSIP: 00091XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035853 | PA      | $1049580.70   | 0.10%             | 2030-03-18      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class D                            | CUSIP: 90367VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2513245.01   | 0.25%             | 2032-12-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-1A, Class C                                | CUSIP: 30340RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2854000 | PA      | $2872638.54   | 0.28%             | 2031-08-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class C                                    | CUSIP: 31684UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813814 | PA      | $805770.88    | 0.08%             | 2054-09-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                      | Jersey Mike's Funding LLC, Series 2019-1A, Class A2                      | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1975000 | PA      | $1954658.97   | 0.19%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1          | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2285754 | PA      | $2188651.85   | 0.21%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP2, Class F                                   | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334000 | PA      | $2330759.00   | 0.23%             | 2036-11-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A2            | CUSIP: 43789FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3391000 | PA      | $3403022.45   | 0.33%             | 2029-07-25      | Variable      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class C         | CUSIP: 44644NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1682473 | PA      | $1689773.89   | 0.16%             | 2032-05-20      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class D        | CUSIP: 82653HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4653940.63   | 0.45%             | 2044-04-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2023-1A, Class B              | CUSIP: 74390NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65235 | PA      | $65299.80     | 0.01%             | 2029-07-16      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class D                                      | CUSIP: 74939RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1747332.83   | 0.17%             | 2034-07-25      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class B                                          | CUSIP: 751313AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432856 | PA      | $434192.00    | 0.04%             | 2039-02-15      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class E                            | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1040229.05   | 0.10%             | 2038-03-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class B10                  | CUSIP: 44422PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2427640.12   | 0.24%             | 2034-08-05      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class D                  | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959180 | PA      | $959659.69    | 0.09%             | 2041-10-15      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                   | Drive Auto Receivables Trust, Series 2025-1, Class D                     | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4077000 | PA      | $4102327.56   | 0.40%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class D              | CUSIP: 89616LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1535580.45   | 0.15%             | 2028-04-17      | Fixed         | 8.61%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class C                  | CUSIP: 05613QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918360 | PA      | $1919650.34   | 0.19%             | 2041-10-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class D                    | CUSIP: 92943PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504805.38    | 0.05%             | 2040-03-15      | Variable      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2024-1A, Class C                             | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1567931.55   | 0.15%             | 2054-06-20      | Fixed         | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2025-2A, Class C                   | CUSIP: 52611JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2921000 | PA      | $2916149.74   | 0.28%             | 2031-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class E                                      | CUSIP: 05610AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546700 | PA      | $544314.06    | 0.05%             | 2039-04-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                    | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085056 | PA      | $2072353.21   | 0.20%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                      | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040266 | PA      | $1981097.27   | 0.19%             | 2026-10-15      | Floating      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class A                      | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185843 | PA      | $189367.38    | 0.02%             | 2035-04-17      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class C                            | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    724024 | PA      | $731020.88    | 0.07%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class C        | CUSIP: 67118NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1029805.00   | 0.10%             | 2031-06-17      | Fixed         | 8.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                    | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12964396 | PA      | $12905471.44  | 1.26%             | 2055-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-MGP, Class C11        | CUSIP: 95003TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3093332.58   | 0.30%             | 2041-08-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class C         | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1964247 | PA      | $1972013.22   | 0.19%             | 2032-10-20      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class C       | CUSIP: 07336PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790635 | PA      | $787486.35    | 0.08%             | 2047-06-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1D               | CUSIP: 00834BAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503306.83    | 0.05%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-1A, Class D                          | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $721801.48    | 0.07%             | 2033-04-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2021-ESH, Class E                    | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428864 | PA      | $430601.74    | 0.04%             | 2038-07-15      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust           | Mello Warehouse Securitization Trust, Series 2024-1, Class F             | CUSIP: 58553FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542000 | PA      | $539077.10    | 0.05%             | 2057-10-25      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class F                   | CUSIP: 46591HCW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2428795 | PA      | $2453396.49   | 0.24%             | 2033-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| OPEN Trust                                     | OPEN Trust, Series 2023-AIR, Class B                                     | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080000 | PA      | $2080406.79   | 0.20%             | 2040-11-15      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                      | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1622500.00   | 0.16%             | 2041-12-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2023-K511 Mortgage Trust                 | FREMF Mortgage Trust, Series 2023-K511, Class C                          | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3692321.60   | 0.36%             | 2028-11-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                        | MVW LLC, Series 2025-1A, Class C                                         | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1456997 | PA      | $1457239.03   | 0.14%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6314247 | PA      | $6049995.87   | 0.59%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class C                                    | CUSIP: 31684GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2933308 | PA      | $2955556.63   | 0.29%             | 2054-07-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| TSC SPV Funding LLC                            | TSC SPV Funding LLC, Series 2024-1A, Class A2                            | CUSIP: 898912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1492500 | PA      | $1479202.74   | 0.14%             | 2054-08-20      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2                      | CUSIP: 35564KQZ5<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $2505521.72   | 0.24%             | 2042-01-25      | Floating      | 11.45%                | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -25 | NC      | $-4687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class D          | CUSIP: 90945DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1024671.08   | 0.10%             | 2029-11-12      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class E                                      | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3130000 | PA      | $3116318.70   | 0.30%             | 2029-07-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B2              | CUSIP: 20469AAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3266208.45   | 0.32%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class F                  | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2662927.66   | 0.26%             | 2038-04-15      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                        | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6411998 | PA      | $6575169.01   | 0.64%             | 2057-10-25      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                     | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2690000 | PA      | $2681091.53   | 0.26%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001736 | PA      | $957208.37    | 0.09%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                 | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3328827.09   | 0.32%             | 2035-03-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                    | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912281 | PA      | $1907859.13   | 0.19%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2023-3, Class B                     | CUSIP: 91684MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515095.64    | 0.05%             | 2033-10-20      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  50220858 | NS      | $50230902.26  | 4.90%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class E          | CUSIP: 80290CBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51361 | PA      | $51766.80     | 0.01%             | 2033-06-15      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class A2                           | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6028597.25   | 0.59%             | 2055-05-25      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2024-1A, Class C                              | CUSIP: 30227XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1543169.64   | 0.15%             | 2054-07-25      | Fixed         | 9.05%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A2      | CUSIP: 79585UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1463750.93   | 0.14%             | 2030-07-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                          | Theorem Funding Trust, Series 2022-3A, Class B                           | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $914377.41    | 0.09%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A2                         | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1185160.11   | 0.12%             | 2029-03-25      | Variable      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class C                    | CUSIP: 05612EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309909 | PA      | $310312.06    | 0.03%             | 2039-02-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A       | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4314097 | PA      | $4402783.39   | 0.43%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Trust                          | Worldwide Plaza Trust, Series 2017-WWP, Class A                          | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528000 | PA      | $378337.50    | 0.04%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class G                  | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1021464.37   | 0.10%             | 2038-04-15      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1          | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1092583 | PA      | $1092073.48   | 0.11%             | 2044-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                 | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35282 | PA      | $35555.48     | 0.00%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class D                  | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2497941.29   | 0.24%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1 | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902391 | PA      | $875157.46    | 0.09%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class A                                    | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11491850 | PA      | $11499414.82  | 1.12%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2          | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3011953.13   | 0.29%             | 2044-07-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1 | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   2830875 | PA      | $2721592.15   | 0.27%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-2A, Class D                          | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $910505.18    | 0.09%             | 2033-06-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding Trust                          | US Auto Funding Trust, Series 2022-1A, Class A                           | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10163 | PA      | $10128.24     | 0.00%             | 2025-05-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class D        | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544355 | PA      | $548311.16    | 0.05%             | 2041-06-20      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| BX                                             | BX, Series 2021-MFM1, Class E                                            | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1283520 | PA      | $1284808.73   | 0.13%             | 2034-01-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                        | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4788000 | PA      | $4788507.53   | 0.47%             | 2030-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-BGS, Class C                  | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |     84418 | PA      | $77014.07     | 0.01%             | 2045-09-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class D                                      | CUSIP: 05612TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996253.39    | 0.10%             | 2029-07-15      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                         | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   3766000 | PA      | $3747103.72   | 0.37%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                         | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311000 | PA      | $2323025.98   | 0.23%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -207 | NC      | $-12937.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Atlas Warehouse Lending Co. LP                 | Atlas Warehouse Lending Co. LP                                           | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   4854000 | PA      | $4896794.27   | 0.48%             | 2030-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1          | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8117708 | PA      | $8128887.34   | 0.79%             | 2045-01-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                   | JW Commercial Mortgage Trust, Series 2024-MRCO, Class C                  | CUSIP: 46657XAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1499205.86   | 0.15%             | 2039-06-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC         | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1          | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $503408.80    | 0.05%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25640000 | PA      | $21945506.76  | 2.14%             | 2055-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2022-BMR2, Class C                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2051388.21   | 0.20%             | 2039-05-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2025-1A, Class E                 | CUSIP: 73747LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000114.20   | 0.20%             | 2032-05-17      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class B               | CUSIP: 224092AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254883.26    | 0.02%             | 2032-03-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class E                 | CUSIP: 737473AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $462369.20    | 0.05%             | 2031-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class C                                | CUSIP: 31568AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1033057.35   | 0.10%             | 2031-05-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                           | ROYAL BANK OF CANADA                                                     | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | STIV             | CORP              | CA        |    202298 | PA      | $202297.50    | 0.02%             | 2025-08-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                   | Dext ABS LLC, Series 2023-2, Class D                                     | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $318165.30    | 0.03%             | 2034-05-15      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                      | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1029348.61   | 0.10%             | 2041-11-25      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES5, Class A1B                         | CUSIP: 74938KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81038 | PA      | $81416.71     | 0.01%             | 2044-08-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Janus Detroit Street Trust                     | Janus Detroit Street Trust                                               | CUSIP: 47103U753<br>LEI: 5493003MM7OCK5UJW595 | Long             |  | RF                | US        |    827925 | NS      | $40121245.50  | 3.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class F          | CUSIP: 80280BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905260.50    | 0.09%             | 2033-01-18      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Coinstar Funding LLC                           | Coinstar Funding LLC, Series 2017-1A, Class A2                           | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2752500 | PA      | $2538443.03   | 0.25%             | 2047-04-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    920527 | PA      | $32204.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES1, Class A1A            | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4007991 | PA      | $4014898.76   | 0.39%             | 2060-05-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-2A, Class C                                 | CUSIP: 75525QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3533000 | PA      | $3538629.57   | 0.35%             | 2032-08-18      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                  | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5051747 | PA      | $5043490.06   | 0.49%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                     | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250028 | PA      | $5261896.66   | 0.51%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596717 | PA      | $1361201.32   | 0.13%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1 | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   2228017 | PA      | $2154391.49   | 0.21%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-3A, Class E             | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2816267.99   | 0.27%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                  | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3991885 | PA      | $4020567.71   | 0.39%             | 2041-10-15      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2023-VLT3, Class C                  | CUSIP: 05611GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500000.02    | 0.05%             | 2028-11-15      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E          | CUSIP: 80290CCE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1574608 | PA      | $1589219.66   | 0.16%             | 2033-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class D                 | CUSIP: 737473AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $409021.80    | 0.04%             | 2030-10-15      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A2           | CUSIP: 10637YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $2429765.89   | 0.24%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                | FREED ABS Trust, Series 2022-1FP, Class D                                | CUSIP: 35633KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55237 | PA      | $55003.66     | 0.01%             | 2029-03-19      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-TAIL, Class D                                      | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5999619.63   | 0.59%             | 2035-06-15      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class A               | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151814 | PA      | $153136.93    | 0.01%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                    | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912281 | PA      | $1907964.49   | 0.19%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-A, Class B                    | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103500 | PA      | $100051.17    | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2025-SF1, Class D                    | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1751902.42   | 0.17%             | 2031-09-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust      | Bayview Opportunity Master Fund VII Trust, Series 2024-SN1, Class D      | CUSIP: 072926AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511816.33    | 0.05%             | 2029-07-16      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class D                                     | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933000 | PA      | $937229.46    | 0.09%             | 2040-06-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-B, Class 1C               | CUSIP: 00792FAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250712.96    | 0.02%             | 2028-09-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class D              | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3240000 | PA      | $3309665.62   | 0.32%             | 2031-04-15      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class C                | CUSIP: 00834BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502024.49    | 0.05%             | 2029-02-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2021-AGS, Class B                  | CUSIP: 20268WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201386 | PA      | $154878.32    | 0.02%             | 2052-03-25      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class C                              | CUSIP: 39152MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $701679.58    | 0.07%             | 2039-03-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class D                           | CUSIP: 20047DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1234566.92   | 0.12%             | 2041-06-15      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-B, Class B                    | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106143 | PA      | $100698.53    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2016-667M, Class A                           | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120000 | PA      | $1867042.76   | 0.18%             | 2036-10-10      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                      | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |  16814815 | PA      | $16881154.70  | 1.65%             | 2045-02-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class B           | CUSIP: 55068XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $299685.99    | 0.03%             | 2030-07-15      | Fixed         | 10.49%                | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC    | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class E     | CUSIP: 03237CAF9<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $383658.23    | 0.04%             | 2032-04-20      | Fixed         | 9.66%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -307 | NC      | $-330878.77   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                         | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2879712 | PA      | $2859929.59   | 0.28%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                         | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040000 | PA      | $3067943.98   | 0.30%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P1, Class N                  | CUSIP: 14689MAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2294735 | PA      | $2294622.84   | 0.22%             | 2033-03-10      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class C               | CUSIP: 224092AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $245997.95    | 0.02%             | 2032-03-15      | Fixed         | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-2A, Class D           | CUSIP: 96041KAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4998096.27   | 0.49%             | 2031-05-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2          | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $525239.17    | 0.05%             | 2044-01-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-X1, Class C               | CUSIP: 00834XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2511488.93   | 0.24%             | 2029-05-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class C                   | CUSIP: 525920AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4700926.58   | 0.46%             | 2031-05-15      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2025-2A, Class D                   | CUSIP: 52611JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3168000 | PA      | $3196579.80   | 0.31%             | 2032-04-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                          | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5160000 | PA      | $5133691.22   | 0.50%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                          | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $385975.48    | 0.04%             | 2048-11-27      | Variable      | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                     | Garda World Security Corp.                                               | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |   1333000 | PA      | $1307490.38   | 0.13%             | 2029-06-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: —       |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B       | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905077 | PA      | $1899987.61   | 0.19%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                         | CUSIP: 74943AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1499036.46   | 0.15%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                    | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1714000 | PA      | $1710245.31   | 0.17%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Vertical Bridge Holdings LLC                   | Vertical Bridge Holdings LLC, Series 2020-2A, Class B                    | CUSIP: 92535VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1743081.03   | 0.17%             | 2050-09-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Owner Trust                         | Chase Auto Owner Trust, Series 2025-1A, Class C                          | CUSIP: 16145NAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1747519.82   | 0.17%             | 2030-12-26      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class C                            | CUSIP: 90367VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1507997.83   | 0.15%             | 2031-03-17      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -207 | NC      | $-27492.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK73                       | CUSIP: 05494BAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784783 | PA      | $1297640.04   | 0.13%             | 2051-02-27      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                         | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325259 | PA      | $326403.30    | 0.03%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class F                            | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484000 | PA      | $1466426.90   | 0.14%             | 2038-03-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2022-BMR2, Class D                           | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $2029831.93   | 0.20%             | 2039-05-15      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                         | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1318874 | PA      | $1315660.01   | 0.13%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class C                        | CUSIP: 35042NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4952821.87   | 0.48%             | 2052-04-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                     | CONE Trust, Series 2024-DFW1, Class A                                    | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1997500.00   | 0.19%             | 2041-08-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B    | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1531740.12   | 0.15%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                            | TYSN Mortgage Trust, Series 2023-CRNR, Class A                           | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $525578.22    | 0.05%             | 2033-12-10      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7                    | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43123 | PA      | $42808.93     | 0.00%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-1A, Class C                                 | CUSIP: 75526PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295000 | PA      | $2369563.91   | 0.23%             | 2031-02-18      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class D                                           | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3755164.69   | 0.37%             | 2041-06-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class F               | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359737 | PA      | $1372037.54   | 0.13%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class G          | CUSIP: 80280BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905032.35    | 0.09%             | 2033-01-18      | Fixed         | 12.23%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                     | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369875 | PA      | $362150.75    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class D                                       | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2310000 | PA      | $2172368.54   | 0.21%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIV LLC     | Amur Equipment Finance Receivables XIV LLC, Series 2024-2A, Class E      | CUSIP: 03238BAF0<br>LEI: 254900VBZK8DVZNJFJ70 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509436.60    | 0.05%             | 2032-10-20      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding                          | Jersey Mike's Funding, Series 2025-1A, Class A2                          | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4629876.89   | 0.45%             | 2055-08-16      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA2, Class M2                      | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |   3620000 | PA      | $3646018.75   | 0.36%             | 2044-08-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class E                                    | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $293556.81    | 0.03%             | 2038-11-15      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class D                    | CUSIP: 83589CAE8<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1017083.40   | 0.10%             | 2031-12-22      | Fixed         | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XV LLC      | Amur Equipment Finance Receivables XV LLC, Series 2025-1A, Class D       | CUSIP: 03237FAE5<br>LEI: 254900UXD59DZRJ7U848 | Long             | ABS-O            | CORP              | US        |   3129000 | PA      | $3148564.38   | 0.31%             | 2032-08-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A2        | CUSIP: 05601DAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1510674.33   | 0.15%             | 2027-07-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class C                                | CUSIP: 30336NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1202000 | PA      | $1232003.83   | 0.12%             | 2030-07-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class C                    | CUSIP: 92943PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2508265.57   | 0.24%             | 2040-03-15      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-6, Class A2                        | CUSIP: 034937AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896306 | PA      | $1899388.04   | 0.19%             | 2070-04-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Churchill Downs, Inc.                          | Churchill Downs, Inc.                                                    | CUSIP: 171484108<br>LEI: 529900FODTBQC8MIS994 | Long             | EC               | CORP              | US        |      2695 | NS      | $288472.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class D         | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257499 | PA      | $1257486.26   | 0.12%             | 2033-03-21      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES1, Class A1A                         | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7220524 | PA      | $7237525.96   | 0.71%             | 2045-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class B              | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218055 | PA      | $215537.86    | 0.02%             | 2048-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES1, Class A1B                   | CUSIP: 89183CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672382 | PA      | $673685.29    | 0.07%             | 2064-01-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class B         | CUSIP: 22689LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817205 | PA      | $829807.76    | 0.08%             | 2031-01-20      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2          | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6219572 | PA      | $6255869.14   | 0.61%             | 2041-12-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class F                                          | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2025000 | PA      | $1964344.49   | 0.19%             | 2039-01-15      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class D                              | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4425000 | PA      | $4436427.62   | 0.43%             | 2039-03-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                         | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3608520 | PA      | $3606185.66   | 0.35%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                             | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3107318 | PA      | $3123929.96   | 0.30%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Chase Auto Owner Trust                         | Chase Auto Owner Trust, Series 2025-1A, Class D                          | CUSIP: 16145NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3598730.37   | 0.35%             | 2032-11-26      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class B                                | CUSIP: 31568AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1221688.90   | 0.12%             | 2030-03-15      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class C                         | CUSIP: 09531MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546000 | PA      | $524797.67    | 0.05%             | 2030-11-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-1, Class D                 | CUSIP: 83406YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3019780.92   | 0.29%             | 2034-02-27      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class E               | CUSIP: 02007GZ89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    463683 | PA      | $471790.64    | 0.05%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 100 oz Gold                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -25 | NC      | $-3000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A2                         | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1410248.00   | 0.14%             | 2029-05-25      | Variable      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-VLT7, Class E                                      | CUSIP: 123913AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6640000 | PA      | $6644992.84   | 0.65%             | 2044-07-15      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                         | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-O            | CORP              | US        |   4504994 | PA      | $4532036.38   | 0.44%             | 2055-05-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M2                      | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |    382632 | PA      | $387452.13    | 0.04%             | 2044-02-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class C              | CUSIP: 89617CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11502000 | PA      | $11509652.35  | 1.12%             | 2029-10-15      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class E          | CUSIP: 80280BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251008.91    | 0.02%             | 2033-01-18      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class C         | CUSIP: 22689LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817205 | PA      | $843307.32    | 0.08%             | 2031-01-20      | Fixed         | 10.16%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2          | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054000 | PA      | $1054722.55   | 0.10%             | 2045-01-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M2          | CUSIP: 20755TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5168240 | PA      | $5177170.65   | 0.50%             | 2045-05-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                      | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2042500.00   | 0.20%             | 2041-09-25      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B          | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724000 | PA      | $1721894.65   | 0.17%             | 2028-03-01      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class D             | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507102.70    | 0.05%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class D          | CUSIP: 94990GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2776000 | PA      | $2773228.83   | 0.27%             | 2038-03-15      | Variable      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                      | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   2340071 | PA      | $2429853.80   | 0.24%             | 2042-02-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class D                        | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1054756 | PA      | $1119971.84   | 0.11%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2023-1A, Class D                            | CUSIP: 96033EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139376 | PA      | $142120.83    | 0.01%             | 2037-12-20      | Fixed         | 10.14%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                      | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   3719000 | PA      | $3935814.66   | 0.38%             | 2041-12-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                        | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12083000 | PA      | $12053545.27  | 1.18%             | 2030-07-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2024-1A, Class C              | CUSIP: 74363CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $758049.73    | 0.07%             | 2029-08-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class D                            | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    724024 | PA      | $733445.24    | 0.07%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                       | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3672000 | PA      | $3680574.49   | 0.36%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class C                                    | CUSIP: 12659VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3446000 | PA      | $3421949.33   | 0.33%             | 2038-11-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E          | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1735000 | PA      | $1731616.92   | 0.17%             | 2038-03-15      | Variable      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class A                                   | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $790465.86    | 0.08%             | 2036-08-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2          | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2647442 | PA      | $2658355.21   | 0.26%             | 2044-09-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class F                            | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1541000 | PA      | $1019640.20   | 0.10%             | 2040-02-12      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class E                                      | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1497860.09   | 0.15%             | 2036-10-15      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                           | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106402 | PA      | $104771.18    | 0.01%             | 2035-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-LUNR, Class D                                      | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4010245.05   | 0.39%             | 2040-06-15      | Floating      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-GPA3, Class C                  | CUSIP: 123910AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2529952 | PA      | $2536507.81   | 0.25%             | 2039-12-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class B                     | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620268 | PA      | $1652373.55   | 0.16%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class C                    | CUSIP: 83589CAD0<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4273505.05   | 0.42%             | 2031-12-22      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class E             | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $780691.19    | 0.08%             | 2031-08-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class C                                       | CUSIP: 90357PAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82693 | PA      | $84942.25     | 0.01%             | 2032-08-25      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                  | NYC Commercial Mortgage Trust, Series 2025-1155, Class A                 | CUSIP: 67122BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7007000 | PA      | $6773867.19   | 0.66%             | 2042-06-10      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2021-N3, Class E                  | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4757933 | PA      | $4651678.57   | 0.45%             | 2028-06-12      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-B, Class 1D               | CUSIP: 00792FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251011.68    | 0.02%             | 2028-09-15      | Fixed         | 8.78%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class B                      | CUSIP: 08862HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486521 | PA      | $493651.81    | 0.05%             | 2035-04-17      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FS Commercial Mortgage Trust                   | FS Commercial Mortgage Trust, Series 2023-4SZN, Class D                  | CUSIP: 30334RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5843551.90   | 0.57%             | 2039-11-10      | Variable      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                      | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   4100848 | PA      | $4136730.42   | 0.40%             | 2041-09-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1738000 | PA      | $1602834.00   | 0.16%             | 2055-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-1A, Class C                                 | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011061.74   | 0.20%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2024-1A, Class D                 | CUSIP: 97415AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2514425.59   | 0.25%             | 2032-09-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                      | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |   1417000 | PA      | $1447483.92   | 0.14%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                        | Sandstone Peak III Ltd., Series 2024-1A, Class C                         | CUSIP: 799928AJ5<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2516326.75   | 0.25%             | 2037-04-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-BIO, Class C                                       | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3107000 | PA      | $3094176.03   | 0.30%             | 2041-02-15      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                          | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1051850 | PA      | $1053353.38   | 0.10%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |
| STWD Trust                                     | STWD Trust, Series 2021-FLWR, Class F                                    | CUSIP: 78485GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2937600 | PA      | $2933164.06   | 0.29%             | 2036-07-15      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-02

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

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

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