# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004443
**Filing Date:** 2025-11
**Character Count:** 946053
**Document Hash:** 3f901dcc3996709ca35833c24415613d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004443.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004443

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528262

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO ABS and Short-Term Investments Portfolio (Series ID: S000009844)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000027272 | PIMCO ABS and Short-Term Investments Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO ABS and Short-Term Investments Portfolio

- **b. EDGAR series identifier (if any):** S000009844

- **c. LEI of Series:** TQNOV3FW01CZTFL8YK48

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $17873403798.29

**Total Liabilities:** $9559083865.37

**Net Assets:** $8314319932.92

**Delayed Delivery Securities:** $22088750.00

**Cash Not Reported:** $1128108.53

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 458584.319100 | **1-Year:** 1008812.173400 | **5-Year:** 1369335.953000 | **10-Year:** 147362.006000 | **30-Year:** 2609.323600

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

- **3-Month:** 47436.150700 | **1-Year:** 184667.116900 | **5-Year:** 529529.995700 | **10-Year:** 164114.755600 | **30-Year:** 16020.034300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027272 | 0.34%                | 1.01%                | 0.59%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $22003458.69             | $-48808399.83                              |
| Month 2  | $32306803.33             | $32026806.52                               |
| Month 3  | $41229748.64             | $-13536429.10                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| STRUCTURED ASSET SECUR CORP 2005-GEL1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL1 M3        | CUSIP: 86359BX30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615306 | PA      | $613152.53     | 0.01%             | 2034-12-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A2B 144A       | CUSIP: 881943AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2459395 | PA      | $2459942.21    | 0.03%             | 2026-12-21      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       3106 | NC      | $-1225812.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                 | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22882 | PA      | $13023.57      | 0.00%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9336 FN 10/45 FIXED 4                       | CUSIP: 3140E2LS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4596 | PA      | $4434.67       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1302775 | PA      | $1314470.11    | 0.02%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A      | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1351154 | PA      | $1362989.33    | 0.02%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                  | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4526841 | PA      | $4130370.94    | 0.05%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782785 FH 10/34 FLOATING VAR          | CUSIP: 31349UCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3390 | PA      | $3466.59       | 0.00%             | 2034-10-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M4          | CUSIP: 68389FGN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2931675 | PA      | $2112980.20    | 0.03%             | 2035-02-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8514 FR 03/55 FIXED 5               | CUSIP: 3132DWN74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231060 | PA      | $229391.98     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVIII LTD 2017-4A                                                | SOUND POINT CLO LTD SNDPT 2017 4A A1 144A               | CUSIP: 83609TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1179504 | PA      | $1180941.40    | 0.01%             | 2031-01-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A     | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925200 | PA      | $891248.47     | 0.01%             | 2063-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| DC OFFICE TRUST 2019-MTC                                                         | DC OFFICE TRUST DCOT 2019 MTC A 144A                    | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2205000 | PA      | $2011963.50    | 0.02%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A            | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $601051.14     | 0.01%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR17                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR17 3A1       | CUSIP: 45660LUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7115920 | PA      | $4778445.53    | 0.06%             | 2035-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 1 M1 144A           | CUSIP: 89173FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4183000 | PA      | $4125587.49    | 0.05%             | 2056-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4         | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2312644.94    | 0.03%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5           | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2288785 | PA      | $2221228.65    | 0.03%             | 2034-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-7F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 7F B1                  | CUSIP: 362341NJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2419696 | PA      | $2007572.50    | 0.02%             | 2035-09-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A        | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1215893.28    | 0.01%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A2B               | CUSIP: 66987XDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2077 | PA      | $2078.51       | 0.00%             | 2034-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR2 B1         | CUSIP: 92922FNX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359313 | PA      | $310925.89     | 0.00%             | 2044-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $366876.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-MTR1                                                 | GSAA HOME EQUITY TRUST GSAA 2005 MTR1 M2                | CUSIP: 362341UF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4148387 | PA      | $4014534.56    | 0.05%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 664885 FN 10/32 FLOATING VAR                  | CUSIP: 31391EUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2958 | PA      | $3017.10       | 0.00%             | 2032-10-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-1                                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 1 B1           | CUSIP: 576433JT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1037478 | PA      | $905687.77     | 0.01%             | 2034-02-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS3 A4         | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18234364 | PA      | $15540535.52   | 0.19%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-C                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 C A3           | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6955533.96    | 0.08%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR5 TRUST                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR5 B1         | CUSIP: 92922FSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107434 | PA      | $105554.26     | 0.00%             | 2034-06-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814418 FN 03/35 FLOATING VAR                  | CUSIP: 31406MYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4088 | PA      | $4160.76       | 0.00%             | 2035-03-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M3 144A     | CUSIP: 126405AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7373425 | PA      | $5598716.81    | 0.07%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A      | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3165534 | PA      | $3212655.53    | 0.04%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                            | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A            | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8322410.00    | 0.10%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A          | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1803079 | PA      | $1826324.10    | 0.02%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                        | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     876965 | PA      | $884963.13     | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                                          | AGL CLO 14, LTD. AGL 2021 14A AR 144A                   | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $6756338.59    | 0.08%             | 2034-12-02      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1        | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360555 | PA      | $165670.46     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.50 9/16/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1741663.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2          | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9494398 | PA      | $9513033.28    | 0.11%             | 2028-06-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 4A5            | CUSIP: 225470Q30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416836 | PA      | $258785.09     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD 2019-1A                                                    | MARATHON CLO LTD MCLO 2019 1A AAR2 144A                 | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3309716 | PA      | $3315674.36    | 0.04%             | 2032-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MV2                      | CUSIP: 152314LR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7391 | PA      | $7211.53       | 0.00%             | 2034-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2847148 | PA      | $2585680.48    | 0.03%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22574.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1        | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9992 | PA      | $10691.45      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3492 FN 10/38 FIXED 4                       | CUSIP: 31418C3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27109 | PA      | $26680.33      | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 2A A2 144A    | CUSIP: 78398HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23950000 | PA      | $24016561.84   | 0.29%             | 2028-11-20      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| BX-2021-XL2                                                                      | BX TRUST BX 2021 XL2 A 144A                             | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79974 | PA      | $79957.36      | 0.00%             | 2038-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B          | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2748032 | PA      | $2750795.54    | 0.03%             | 2028-05-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-21                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 21 DB1         | CUSIP: 22541QQQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     729128 | PA      | $675840.69     | 0.01%             | 2033-08-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM3 A1 144A          | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5004214 | PA      | $5018071.00    | 0.06%             | 2063-02-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2928 FN 03/55 FIXED 7                       | CUSIP: 3140B3HE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2305003 | PA      | $2425490.52    | 0.03%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 1A1          | CUSIP: 22541NT58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3586 | PA      | $3602.57       | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.07-1 SP ULO                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-5453.07      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2025-B                                                 | AQUA FINANCE TRUST AQFIT 2025 B A 144A                  | CUSIP: 03837GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3471704 | PA      | $3494664.91    | 0.04%             | 2051-05-17      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-2A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 2A A1 144A      | CUSIP: 52611JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     311347 | PA      | $311419.02     | 0.00%             | 2026-07-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5957919.24   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254283 FN 11/30 FIXED 8.5                     | CUSIP: 31371KM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        756 | PA      | $756.60        | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2       | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     686051 | PA      | $700720.87     | 0.01%             | 2035-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786252 FH 03/28 FLOATING VAR          | CUSIP: 31348S5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $399.15        | 0.00%             | 2028-03-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10780657 | PA      | $10862768.79   | 0.13%             | 2064-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A           | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1383437 | PA      | $1395351.17    | 0.02%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                                 | VOYA CLO LTD VOYA 2017 3A A1RR 144A                     | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12400000 | PA      | $12415912.30   | 0.15%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A3        | CUSIP: 54251YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12756576 | PA      | $3799164.73    | 0.05%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| OZLM XVIII LTD 2018-18A                                                          | OZLM LTD OZLM 2018 18A A 144A                           | CUSIP: 67112GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     924824 | PA      | $925626.00     | 0.01%             | 2031-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A     | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9183659 | PA      | $8951962.68    | 0.11%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                        | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4100000 | PA      | $4104510.00    | 0.05%             | 2035-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5178 | PA      | $4682.54       | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                           | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A      | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4149455 | PA      | $4145859.65    | 0.05%             | 2036-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 2A4       | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20097 | PA      | $19787.64      | 0.00%             | 2033-10-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4779 FN 10/42 FIXED 4                       | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17212 | PA      | $16834.54      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                             | RAAC SERIES RAAC 2005 SP2 1M4                           | CUSIP: 76112BE89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $499959.55     | 0.01%             | 2044-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-77665.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A       | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1534957 | PA      | $1536985.64    | 0.02%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                                 | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2                | CUSIP: 31392GVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2354 | PA      | $2499.94       | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 2A19      | CUSIP: 23246KBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812545 | PA      | $381586.40     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 9/21/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $858682.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A        | CUSIP: 59023FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5812939 | PA      | $851496.68     | 0.01%             | 2037-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A      | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1686902 | PA      | $1679883.88    | 0.02%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A2              | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419386 | PA      | $410894.44     | 0.00%             | 2029-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                             | VOYA CLO LTD VOYA 2019 2A AR 144A                       | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1782965 | PA      | $1784262.19    | 0.02%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 2A1       | CUSIP: 12668ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1975837 | PA      | $713504.08     | 0.01%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169852 | PA      | $164647.55     | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 4 A1 144A                   | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2620773 | PA      | $2628897.91    | 0.03%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1        | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429965 | PA      | $374717.57     | 0.00%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 6A            | CUSIP: 02660TEV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3345 | PA      | $2770.25       | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 B1                   | CUSIP: 36228F4T0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603856 | PA      | $545121.71     | 0.01%             | 2034-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1944133.20    | 0.02%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8871 FN 05/49 FIXED 3.5                     | CUSIP: 3140JR2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38755 | PA      | $36330.45      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                                     | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A4          | CUSIP: 57646LAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11301000 | PA      | $9188753.82    | 0.11%             | 2037-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 1A              | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1357 | PA      | $1322.68       | 0.00%             | 2028-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 2A2          | CUSIP: 161546FM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        191 | PA      | $191.74        | 0.00%             | 2033-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080296 G2 07/29 FLOATING VAR               | CUSIP: 36225CKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5760 | PA      | $5782.57       | 0.00%             | 2029-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 2A1        | CUSIP: 855541AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     768246 | PA      | $766251.66     | 0.01%             | 2037-01-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4864 FN 01/43 FIXED 4                       | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309155 | PA      | $302371.46     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     805052 | PA      | $739661.04     | 0.01%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004946 G2 02/41 FIXED 4.5                  | CUSIP: 36202FP75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68210 | PA      | $68650.91      | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4               | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115303 | PA      | $112772.26     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                            | ROMARK CREDIT FUNDING LTD RCF 2024 3A A 144A            | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2508830.00    | 0.03%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 1A1       | CUSIP: 02147CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6914089 | PA      | $6285241.17    | 0.08%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO LTD 2018-1A                                                     | STEELE CREEK CLO LTD STCR 2018 1A A 144A                | CUSIP: 85815CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4829865 | PA      | $4834453.70    | 0.06%             | 2031-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A2 144A      | CUSIP: 70687FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1180966 | PA      | $1182419.07    | 0.01%             | 2027-09-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14048428.25   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906281 FN 01/37 FLOATING VAR                  | CUSIP: 31411E2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2260 | PA      | $2322.19       | 0.00%             | 2037-01-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   73038583 | PA      | $73095896.70   | 0.88%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XIV LTD 2018-2                                                  | MARBLE POINT CLO LTD. MP14 2018 2A A12R 144A            | CUSIP: 56608KAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     777059 | PA      | $775870.36     | 0.01%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M3        | CUSIP: 17309MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11355952 | PA      | $10346633.89   | 0.12%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A      | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1092176 | PA      | $1098458.51    | 0.01%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS6                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS6 M7         | CUSIP: 76110WZ41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594074 | PA      | $594317.06     | 0.01%             | 2035-07-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2023 RCF2 A1 144A                | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354486 | PA      | $350655.28     | 0.00%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A        | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     765962 | PA      | $770148.50     | 0.01%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-1A                                                 | GOLDEN CREDIT CARD TRUST GCCT 2022 1A A 144A            | CUSIP: 380881FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   33100000 | PA      | $32250091.30   | 0.39%             | 2029-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $135063.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598797 | PA      | $559508.71     | 0.01%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A           | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $219905.75     | 0.00%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| WAMMS MTG PASS THRU CERT 2002-AR3                                                | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR3 1A7       | CUSIP: 939336KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69857 | PA      | $69470.88      | 0.00%             | 2032-12-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 3 B3 144A           | CUSIP: 89172YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $950194.50     | 0.01%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                                             | LFT CRE LLC LMNT 2021 FL1 A 144A                        | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     303282 | PA      | $304067.17     | 0.00%             | 2039-06-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3418219 | PA      | $3429462.48    | 0.04%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-2A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 2A A2 144A         | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14500000 | PA      | $14532709.10   | 0.17%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                                | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A          | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        545 | PA      | $546.08        | 0.00%             | 2030-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A      | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5165459 | PA      | $5229820.29    | 0.06%             | 2056-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A     | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4841746 | PA      | $4673222.71    | 0.06%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1                                   | AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5            | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1348670 | PA      | $1357100.27    | 0.02%             | 2034-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 6A           | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2292501 | PA      | $1297454.51    | 0.02%             | 2036-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2B        | CUSIP: 81379EAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18567944 | PA      | $14406468.31   | 0.17%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A2        | CUSIP: 45660LUE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     532742 | PA      | $390456.47     | 0.00%             | 2045-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4940 FN 03/42 FIXED 3.5                     | CUSIP: 3138E9P20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24499 | PA      | $23304.35      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1100000 | PA      | $1090809.15    | 0.01%             | 2025-12-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A    | CUSIP: 55286TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     787866 | PA      | $789071.43     | 0.01%             | 2032-02-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10700000 | PA      | $10700135.46   | 0.13%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                             | GCAT GCAT 2024 NQM2 A1 144A                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1151315 | PA      | $1165729.30    | 0.01%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                  | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A           | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     914429 | PA      | $942133.63     | 0.01%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M5                       | CUSIP: 152314NF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1412578 | PA      | $1387235.21    | 0.02%             | 2035-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745467 FN 04/36 FLOATING VAR                  | CUSIP: 31403DFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6741 | PA      | $6935.15       | 0.00%             | 2036-04-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR6                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR6 CB1        | CUSIP: 22541SPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1757809 | PA      | $1701241.94    | 0.02%             | 2034-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37587.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C       | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8792 | PA      | $8557.60       | 0.00%             | 2044-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 1 A3                 | CUSIP: 14318DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1913094 | PA      | $1917353.30    | 0.02%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 863741 FN 12/35 FLOATING VAR                  | CUSIP: 31408XS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1581 | PA      | $1617.36       | 0.00%             | 2035-12-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2024 4 A3          | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4700000 | PA      | $4734385.20    | 0.06%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A10         | CUSIP: 74958YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80533 | PA      | $62135.58      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN ASSET 2000-A                                            | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 A MV1         | CUSIP: 456606AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313360 | PA      | $326576.56     | 0.00%             | 2031-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-87687.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                                     | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                 | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26374371 | PA      | $26412856.71   | 0.32%             | 2032-10-13      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                  | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     386433 | PA      | $352680.10     | 0.00%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3325262 | PA      | $3373604.65    | 0.04%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-3                                             | MILL CITY MORTGAGE TRUST MCMLT 2017 3 B2 144A           | CUSIP: 59980CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96681 | PA      | $82833.43      | 0.00%             | 2061-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2680414 | PA      | $2727617.97    | 0.03%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 2 M1          | CUSIP: 68389FFG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7481 | PA      | $7619.69       | 0.00%             | 2034-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD 2018-2A                                                      | SOUND POINT CLO LTD SNDPT 2018 2A A 144A                | CUSIP: 83611JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2406353 | PA      | $2409723.40    | 0.03%             | 2031-07-26      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                            | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4          | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $1809998.00    | 0.02%             | 2035-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A            | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2348812 | PA      | $2378903.01    | 0.03%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R1                                                                | CIM TRUST CIM 2019 R1 A 144A                            | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1029967 | PA      | $945247.94     | 0.01%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-2                                              | MASTR SPECIALIZED LOAN TRUST MASD 2007 2 M1 144A        | CUSIP: 55291QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198316 | PA      | $33580.20      | 0.00%             | 2037-05-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1B 144A       | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4799136 | PA      | $4843322.91    | 0.06%             | 2072-03-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV4          | CUSIP: 126673JW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332449 | PA      | $307775.12     | 0.00%             | 2034-12-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF1 A1 144A                | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     894428 | PA      | $888786.23     | 0.01%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2025-B                                                  | TOYOTA LEASE OWNER TRUST TLOT 2025 B A2A 144A           | CUSIP: 89240NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   47000000 | PA      | $47002058.60   | 0.57%             | 2028-05-22      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M2           | CUSIP: 63860HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5632000 | PA      | $5461540.76    | 0.07%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4283000 | PA      | $4263049.87    | 0.05%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4               | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     555205 | PA      | $543020.91     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 3 A2          | CUSIP: 80288JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13300000 | PA      | $13344068.22   | 0.16%             | 2028-10-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                               | RCKT TRUST RCKTL 2025 1A A 144A                         | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     413251 | PA      | $414266.23     | 0.00%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2016-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2016 3A A1R2 144A            | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     355752 | PA      | $356042.43     | 0.00%             | 2030-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-2                                              | SAXON ASSET SECURITIES TRUST SAST 2007 2 A2C            | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7091273 | PA      | $5245621.78    | 0.06%             | 2047-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                             | PRP ADVISORS, LLC PRPM 2025 NQM1 A1 144A                | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2780224 | PA      | $2811742.00    | 0.03%             | 2069-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20600000 | PA      | $21159855.88   | 0.25%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A3 1A4        | CUSIP: 46628UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11780617 | PA      | $10953940.35   | 0.13%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A    | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5328760 | PA      | $5274375.44    | 0.06%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-703445.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                                    | SLM STUDENT LOAN TRUST SLMA 2005 B A4                   | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     823819 | PA      | $804586.65     | 0.01%             | 2039-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 2A1           | CUSIP: 878048AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5764833 | PA      | $1914742.72    | 0.02%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1347859 | PA      | $852270.52     | 0.01%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A3          | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5200000 | PA      | $5230365.92    | 0.06%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A       | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     470004 | PA      | $473139.98     | 0.01%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| BHG-2021-A                                                                       | BANKERS HEALTHCARE GROUP SECUR BHG 2021 A A 144A        | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     485444 | PA      | $480319.89     | 0.01%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST 2007-FLX5                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX5 2A1       | CUSIP: 45669WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2795306 | PA      | $2587422.78    | 0.03%             | 2037-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ROMARK WM-R LTD 2018-1A                                                          | ROMARK CLO LTD RMRK 2018 1A A1 144A                     | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4904830 | PA      | $4909539.45    | 0.06%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3          | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1980157 | PA      | $1977505.65    | 0.02%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A   | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $950356.11     | 0.01%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                              | MFRA TRUST MFRA 2021 RPL1 M2 144A                       | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $419850.35     | 0.01%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1           | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601082 | PA      | $578820.95     | 0.01%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA2                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA2 1A         | CUSIP: 76111XVE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1531402 | PA      | $843848.47     | 0.01%             | 2035-06-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.60500 06/28/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-224082.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2               | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A1         | CUSIP: 84752EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7994498 | PA      | $5865831.49    | 0.07%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 3 M4          | CUSIP: 68383NBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3982541 | PA      | $4012278.25    | 0.05%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A          | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287666 | PA      | $304014.65     | 0.00%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7200000 | PA      | $7211387.09    | 0.09%             | 2034-08-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B          | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1977205 | PA      | $1978832.88    | 0.02%             | 2027-09-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2         | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3310603 | PA      | $1309149.30    | 0.02%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A      | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $507216.40     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M2            | CUSIP: 126673BD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5392 | PA      | $5377.73       | 0.00%             | 2034-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3300000.00    | 0.04%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2005-10                                                             | SACO I TRUST SACO 2005 10 1A                            | CUSIP: 785778ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12262 | PA      | $12318.66      | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1        | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17131 | PA      | $14298.31      | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A    | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6065480.40    | 0.07%             | 2036-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000906.89    | 0.01%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3        | CUSIP: 04541GUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12474850 | PA      | $12628061.49   | 0.15%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A4       | CUSIP: 466278AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30451171 | PA      | $11238671.41   | 0.14%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-2                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 2 MV1            | CUSIP: 805564QK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200018 | PA      | $3468345.19    | 0.04%             | 2035-08-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                                 | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        913 | PA      | $911.20        | 0.00%             | 2031-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A        | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2557070 | PA      | $2560982.29    | 0.03%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 A1 144A        | CUSIP: 91684FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10700000 | PA      | $10703918.34   | 0.13%             | 2026-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23269.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 1A          | CUSIP: 320276AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199727 | PA      | $199602.00     | 0.00%             | 2036-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                            | CQS US CLO LTD CQS 2021 1A AR 144A                      | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3714312.01    | 0.04%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -748 | NC      | $-1888176.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $86421.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3242118.28    | 0.04%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4        | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12498244 | PA      | $12304888.99   | 0.15%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A1 144A      | CUSIP: 69548WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7200000 | PA      | $7209722.88    | 0.09%             | 2026-08-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-1                                                     | LEHMAN MORTGAGE TRUST LMT 2006 1 1A5                    | CUSIP: 52520MFB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199854 | PA      | $90679.63      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1        | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76701 | PA      | $63132.44      | 0.00%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 3 A2          | CUSIP: 107920AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1202166.24    | 0.01%             | 2028-02-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A     | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2111104.59    | 0.03%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 787954 G2 02/55 FIXED 6                    | CUSIP: 3622ADWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276446 | PA      | $280252.76     | 0.00%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.92750 03/25/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-407096.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5090 FN 06/38 FIXED 3                       | CUSIP: 31418EUQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179049 | PA      | $171613.11     | 0.00%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A2 144A       | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2213580 | PA      | $2221674.25    | 0.03%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A2 144A    | CUSIP: 14688NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11816 | PA      | $11818.79      | 0.00%             | 2027-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2          | CUSIP: 07384YGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21783 | PA      | $21801.48      | 0.00%             | 2042-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A   | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13532158 | PA      | $6496844.74    | 0.08%             | 2037-06-27      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 782320 FN 11/34 FLOATING VAR                  | CUSIP: 31404YDZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4761 | PA      | $4815.73       | 0.00%             | 2034-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A        | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508970.90     | 0.01%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2.18          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A3         | CUSIP: 74922MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4241810 | PA      | $3924155.53    | 0.05%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                           | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    9200000 | PA      | $9237499.38    | 0.11%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A4 144A          | CUSIP: 293601AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1026717.30    | 0.01%             | 2029-11-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-395040.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-542097.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A  | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5805895 | PA      | $5278898.86    | 0.06%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2418 FN 08/42 FIXED VAR                     | CUSIP: 3138EJVL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59943 | PA      | $56612.08      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 4 LTD                                                       | DIAMETER CAPITAL CLO DCLO 2022 4A A1R 144A              | CUSIP: 25255NAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   50000000 | PA      | $50164979.00   | 0.60%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 CB1       | CUSIP: 22541QUX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1169159 | PA      | $1066130.03    | 0.01%             | 2033-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 C 144A              | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $3237387.12    | 0.04%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A4          | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339218 | PA      | $174099.68     | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                               | PAGAYA POINT OF SALE HOLDINGS POSH 2025 1 A 144A        | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1821866.40    | 0.02%             | 2034-01-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2013-2A                                                         | CIFC FUNDING LTD CIFC 2013 2A A1L2 144A                 | CUSIP: 12549BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2351713 | PA      | $2352401.80    | 0.03%             | 2030-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1225152.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8118 FN 10/46 FIXED 3                       | CUSIP: 3138WJAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21925 | PA      | $19827.35      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A3 144A       | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2724789.78    | 0.03%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2        | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447631 | PA      | $197643.66     | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 9/23/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8359572.74    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1       | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56863392 | PA      | $44292595.99   | 0.53%             | 2037-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A A3           | CUSIP: 30165BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1822458 | PA      | $1823272.64    | 0.02%             | 2028-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 3A1       | CUSIP: 02146BAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141776 | PA      | $919386.14     | 0.01%             | 2046-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                          | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A     | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5270543 | PA      | $5181211.91    | 0.06%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2         | CUSIP: 32027NXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13715047 | PA      | $13426283.44   | 0.16%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 M                 | CUSIP: 07386HKN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361093 | PA      | $345920.49     | 0.00%             | 2034-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 3A1         | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206275 | PA      | $198657.38     | 0.00%             | 2035-06-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-389360.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                          | PRP ADVISORS, LLC PRPM 2025 7 A1 144A                   | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     996456 | PA      | $998650.69     | 0.01%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                                 | ROMARK CLO LTD RMRK 2021 5A AR 144A                     | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7800000 | PA      | $7830212.36    | 0.09%             | 2035-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                       | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65231 | PA      | $62839.17      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                  | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1606846 | PA      | $1466495.77    | 0.02%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H26 BA          | CUSIP: 38375BYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     387665 | PA      | $387118.17     | 0.00%             | 2062-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2         | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77386 | PA      | $43562.73      | 0.00%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2862449 | PA      | $2925607.57    | 0.04%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A4         | CUSIP: 14689MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5400000 | PA      | $5479391.34    | 0.07%             | 2031-04-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1       | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81245 | PA      | $78694.08      | 0.00%             | 2033-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV1 A1 144A      | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     843558 | PA      | $844358.89     | 0.01%             | 2068-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492860 | PA      | $451590.55     | 0.01%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                             | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859885 | PA      | $865460.93     | 0.01%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $801367.02     | 0.01%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1828508.04    | 0.02%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2024 1A A 144A       | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     290423 | PA      | $293023.61     | 0.00%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2022-D                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A3          | CUSIP: 98163VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410945 | PA      | $412660.53     | 0.00%             | 2028-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 2A1                  | CUSIP: 12669GNP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16479 | PA      | $14904.19      | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A1 144A           | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     992707 | PA      | $1005858.17    | 0.01%             | 2055-05-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8193 FN 04/53 FIXED 4.5                     | CUSIP: 3140NDC70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5976776 | PA      | $5809475.44    | 0.07%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169667 | PA      | $166043.95     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                                          | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A        | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10313117.00   | 0.12%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08803 FG 03/48 FIXED 3               | CUSIP: 3128MJ3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     864540 | PA      | $777969.67     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A         | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1235885 | PA      | $1190614.03    | 0.01%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PARK                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2018 PARK A 144A    | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1655000 | PA      | $1614877.50    | 0.02%             | 2038-08-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 D A3            | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5036321.00    | 0.06%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A    | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1334148.53    | 0.02%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                         | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5312202.93    | 0.06%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A     | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6418500 | PA      | $6487565.69    | 0.08%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-14AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 14AR 5A1        | CUSIP: 61756VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1363804 | PA      | $114760.03     | 0.00%             | 2037-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5           | CUSIP: 073914F65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63173 | PA      | $10.50         | 0.00%             | 2030-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A3           | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24500000 | PA      | $24503488.80   | 0.29%             | 2030-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MF1 2020-FL4 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A      | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5111145 | PA      | $5119526.65    | 0.06%             | 2035-12-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL B 144A                     | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     237916 | PA      | $239022.54     | 0.00%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-3 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 3A A1RR 144A    | CUSIP: 05684CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2605994.43    | 0.03%             | 2034-10-23      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3         | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7473815 | PA      | $4841619.87    | 0.06%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A      | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $990178.30     | 0.01%             | 2037-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 37 LTD                                                              | SYMPHONY CLO LTD SYMP 2022 37A A1AR 144A                | CUSIP: 87169VAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1700000 | PA      | $1707480.00    | 0.02%             | 2037-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A            | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1017253 | PA      | $1027074.83    | 0.01%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1         | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20110014 | PA      | $19454460.17   | 0.23%             | 2037-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 2A A2 144A        | CUSIP: 505912AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36200000 | PA      | $36268345.60   | 0.44%             | 2028-07-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735448 FN 03/35 FLOATING VAR                  | CUSIP: 31402RBR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        805 | PA      | $822.11        | 0.00%             | 2035-03-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2025-3                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2025 3 A 144A       | CUSIP: 02528EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     565449 | PA      | $566794.88     | 0.01%             | 2029-01-12      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 3 A1          | CUSIP: 107920AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2241657 | PA      | $2241804.68    | 0.03%             | 2026-08-17      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6241400 | PA      | $6258000.86    | 0.08%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                          | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A          | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1301931 | PA      | $1302665.97    | 0.02%             | 2031-07-27      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A       | CUSIP: 41161PYW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18165 | PA      | $18437.69      | 0.00%             | 2036-01-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005082 G2 06/41 FIXED 4.5                  | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     434480 | PA      | $434889.65     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A          | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1646307 | PA      | $1659458.89    | 0.02%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A              | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6549891 | PA      | $6557649.80    | 0.08%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 B1          | CUSIP: 576433UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26852 | PA      | $26120.13      | 0.00%             | 2034-12-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 4A1       | CUSIP: 45661KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2539026 | PA      | $1982095.37    | 0.02%             | 2036-06-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     358000 | PA      | $355285.22     | 0.00%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4           | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   47529000 | PA      | $41531857.32   | 0.50%             | 2047-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A2         | CUSIP: 146919AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     521461 | PA      | $521541.89     | 0.01%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707596 | PA      | $613586.59     | 0.01%             | 2036-06-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A1R 144A                     | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5117850.00    | 0.06%             | 2034-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A     | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     789700 | PA      | $797268.32     | 0.01%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BSPRT 2021-FL7 ISSUER LTD                                                        | BSPRT ISSUER, LTD. BSPRT 2021 FL7 A 144A                | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4738971 | PA      | $4751245.01    | 0.06%             | 2038-12-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1        | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157390 | PA      | $160661.14     | 0.00%             | 2034-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                        | VOYA CLO LTD INGIM 2012 4A A1R3 144A                    | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1340294 | PA      | $1341006.26    | 0.02%             | 2030-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8324 FR 05/53 FIXED 5.5             | CUSIP: 3132DWG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14006627 | PA      | $14187956.44   | 0.17%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A       | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $920850.66     | 0.01%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                                         | SEQUOIA MORTGAGE TRUST SEMT 5 A                         | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8621 | PA      | $8513.33       | 0.00%             | 2026-10-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A2B       | CUSIP: 17309PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8973792 | PA      | $8144282.79    | 0.10%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A   | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     552891 | PA      | $553630.66     | 0.01%             | 2032-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 AZ                                 | CUSIP: 31396R6F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5331 | PA      | $5519.70       | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 3A            | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378698 | PA      | $361713.73     | 0.00%             | 2034-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                       | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4091 | PA      | $3937.25       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                       | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A               | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6314175.00    | 0.08%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24400000 | PA      | $24568247.76   | 0.30%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9902 G2 09/54 FIXED 3.5                  | CUSIP: 36180AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3984142 | PA      | $3655991.24    | 0.04%             | 2054-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4          | CUSIP: 23243HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14616591 | PA      | $13722720.85   | 0.17%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78750 05/03/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-295398.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 5A6         | CUSIP: 225470EH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117049 | PA      | $84312.75      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                 | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36711 | PA      | $34275.75      | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1          | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283276 | PA      | $243436.78     | 0.00%             | 2046-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A       | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18352709 | PA      | $16228895.14   | 0.20%             | 2038-01-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41914 FG 07/46 FIXED 3.5             | CUSIP: 3132WFDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56735 | PA      | $53064.05      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AR1 5M1         | CUSIP: 65535VEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624632 | PA      | $699820.02     | 0.01%             | 2034-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                                        | TRALEE CDO LTD TRAL 2019 6A A1RR 144A                   | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     649549 | PA      | $650725.60     | 0.01%             | 2032-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                       | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3650000 | PA      | $3652190.00    | 0.04%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                                       | SCULPTOR CLO LTD SCUL 27A A1R 144A                      | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5202340.00    | 0.06%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-2                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 2 A2A         | CUSIP: 362962AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13800000 | PA      | $13854614.88   | 0.17%             | 2027-07-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A1          | CUSIP: 55275BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12946636 | PA      | $6403448.98    | 0.08%             | 2036-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A3B                | CUSIP: 12669FX99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78598 | PA      | $68306.19      | 0.00%             | 2034-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44604389 | PA      | $40086628.78   | 0.48%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 4A1          | CUSIP: 576433A55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9038773 | PA      | $4533147.20    | 0.05%             | 2035-07-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A      | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     605559 | PA      | $611300.72     | 0.01%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 488340 FN 03/29 FLOATING VAR                  | CUSIP: 31382PPZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1110.04       | 0.00%             | 2029-03-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220479 | PA      | $229470.26     | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8214 FR 05/52 FIXED 3.5             | CUSIP: 3132DWDT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348228 | PA      | $318909.39     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A     | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     491854 | PA      | $481588.90     | 0.01%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                                    | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A     | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     185563 | PA      | $184894.46     | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                        | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1600000 | PA      | $1602400.42    | 0.02%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING I LTD 2020-1A                                              | ROMARK CREDIT FUNDING LTD RCF 2020 1A AV 144A           | CUSIP: 77588EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3617436.61    | 0.04%             | 2038-04-28      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-99937.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1302 FR 05/52 FIXED 3               | CUSIP: 3133BANT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1972151 | PA      | $1736084.14    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456839 | PA      | $448457.62     | 0.01%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A2            | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2249958 | PA      | $2251637.63    | 0.03%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2           | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469205 | PA      | $461334.71     | 0.01%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4876 FN 12/52 FIXED 6                       | CUSIP: 31418EM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120262 | PA      | $123775.12     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 B1           | CUSIP: 576433LP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     811607 | PA      | $501903.34     | 0.01%             | 2034-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                        | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7900000 | PA      | $7910494.52    | 0.10%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-5                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 5 4A1          | CUSIP: 225458UE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101083 | PA      | $104551.29     | 0.00%             | 2035-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658481 FN 09/33 FLOATING VAR                  | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9997 | PA      | $10033.57      | 0.00%             | 2033-09-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7058 FN 12/47 FIXED 3.5                     | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7864899 | PA      | $7333561.94    | 0.09%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6738 FN 08/53 FIXED 6                       | CUSIP: 3140NPPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1044365 | PA      | $1071633.24    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                           | BX TRUST BX 2021 ACNT A 144A                            | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10358979 | PA      | $10355383.88   | 0.12%             | 2038-11-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87008 | PA      | $82226.48      | 0.00%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1        | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2577762 | PA      | $1973296.47    | 0.02%             | 2045-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1658 FN 04/48 FIXED 4                       | CUSIP: 3140Q8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88483 | PA      | $84248.14      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5011 FN 05/53 FIXED 6                       | CUSIP: 31418ER93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     749815 | PA      | $770712.42     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A     | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2351393 | PA      | $2359970.31    | 0.03%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A    | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1725000 | PA      | $1670362.14    | 0.02%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-615315.57    | -0.01%            |  |  |  | No            |                  3 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A     | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10800000 | PA      | $10835441.50   | 0.13%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                                  | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A     | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     189412 | PA      | $187885.29     | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-2                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 2 AF4          | CUSIP: 75970NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6405 | PA      | $6398.67       | 0.00%             | 2035-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 2A4       | CUSIP: 83612KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2785853.10    | 0.03%             | 2037-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A          | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5305883.69    | 0.06%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1          | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335208 | PA      | $302685.73     | 0.00%             | 2046-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-312980.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     916507 | PA      | $853394.70     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0533 FH 07/37 FLOATING VAR          | CUSIP: 3128LUSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1247 | PA      | $1280.38       | 0.00%             | 2037-07-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 3 3A2 144A     | CUSIP: 17323LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408819 | PA      | $392145.46     | 0.00%             | 2036-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 M1             | CUSIP: 61744CZE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19096140 | PA      | $16493261.63   | 0.20%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 4A1         | CUSIP: 07401EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1527195 | PA      | $1368359.60    | 0.02%             | 2046-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 5A1                | CUSIP: 36242DJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174187 | PA      | $171333.91     | 0.00%             | 2035-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253348 FN 06/30 FIXED 8.5                     | CUSIP: 31371JL51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1086 | PA      | $1119.28       | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A      | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     637897 | PA      | $647884.65     | 0.01%             | 2050-05-16      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6137 FN 01/48 FIXED 3.5                     | CUSIP: 3140H7ZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     502191 | PA      | $466575.83     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5064 FN 05/38 FIXED 3                       | CUSIP: 31418ETW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63472 | PA      | $60836.02      | 0.00%             | 2038-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-61064.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                              | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A    | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     901473 | PA      | $907753.11     | 0.01%             | 2065-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004923 G2 01/41 FIXED 4.5                  | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     278270 | PA      | $280070.28     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4968391.72   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6             | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3788506 | PA      | $3440037.91    | 0.04%             | 2035-03-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A3         | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8267074.36    | 0.10%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5             | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173911 | PA      | $175688.10     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     984175 | PA      | $980457.02     | 0.01%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A    | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     349297 | PA      | $352947.17     | 0.00%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 1A1        | CUSIP: 12667GBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85077 | PA      | $72399.27      | 0.00%             | 2035-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                 | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11900000 | PA      | $11900000.00   | 0.14%             | 2038-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A          | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1301103 | PA      | $1320296.33    | 0.02%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                              | PARALLEL LTD PARL 2021 1A AR 144A                       | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5704560.00    | 0.07%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11                                                               | BX TRUST 2019 OC11 BX 2019 OC11 A 144A                  | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2726000 | PA      | $2578480.06    | 0.03%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5217 FN 12/53 FIXED 6.5                     | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59860392 | PA      | $61933966.71   | 0.74%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1006284.06    | 0.01%             | 2035-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A           | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3227170 | PA      | $3183361.69    | 0.04%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 NB21       | CUSIP: 76110HZH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2161 | PA      | $2092.92       | 0.00%             | 2034-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783576 G2 12/41 FIXED 4.5                  | CUSIP: 36241L6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110966 | PA      | $111678.86     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 1A1        | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4204485 | PA      | $4256427.55    | 0.05%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                  | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     817566 | PA      | $746449.22     | 0.01%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST2                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 ST2 A 144A        | CUSIP: 91680UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     111361 | PA      | $111234.36     | 0.00%             | 2030-04-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2023-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2023 CES2 A1A 144A     | CUSIP: 748956AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     513531 | PA      | $520258.28     | 0.01%             | 2043-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-H                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 H1 2A1        | CUSIP: 59025TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87757 | PA      | $85634.15      | 0.00%             | 2037-10-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A     | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001193.28    | 0.01%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A5          | CUSIP: 05952DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1204148 | PA      | $1134454.69    | 0.01%             | 2047-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A       | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1184652 | PA      | $1179808.20    | 0.01%             | 2069-04-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2B        | CUSIP: 81378AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17594861 | PA      | $8674759.03    | 0.10%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A        | CUSIP: 61753EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52534598 | PA      | $19848732.29   | 0.24%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A3         | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50000000 | PA      | $49936215.00   | 0.60%             | 2030-11-11      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-6                                                   | HOME EQUITY ASSET TRUST HEAT 2005 6 M4                  | CUSIP: 437084NF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4465594 | PA      | $4447453.84    | 0.05%             | 2035-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -7601 | NC      | $-713715.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16504 | PA      | $15834.64      | 0.00%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2B            | CUSIP: 617505AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7041423 | PA      | $3368284.62    | 0.04%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1148607.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1         | CUSIP: 542514BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        204 | PA      | $203.96        | 0.00%             | 2032-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 30B1         | CUSIP: 05948KSS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359510 | PA      | $336854.46     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08721 FG 09/46 FIXED 3               | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27635 | PA      | $25022.02      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLONY AMERICAN FINANCE LTD 2020 3                                               | COREVEST AMERICAN FINANCE LTD CAFL 2020 3 A 144A        | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900153 | PA      | $885941.39     | 0.01%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1                 | CUSIP: 36229RLL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        507 | PA      | $502.93        | 0.00%             | 2034-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A3 144A              | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2096702 | PA      | $1906814.00    | 0.02%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A2         | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15097494 | PA      | $5052347.76    | 0.06%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1        | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767082 | PA      | $672145.95     | 0.01%             | 2037-05-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2M1          | CUSIP: 161546GS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     582674 | PA      | $590667.95     | 0.01%             | 2033-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A3 144A      | CUSIP: 706916AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5097042.00    | 0.06%             | 2030-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.65000 02/08/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-772825.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                               | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                 | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1183839 | PA      | $1189053.91    | 0.01%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85000000 | PA      | $77645981.05   | 0.93%             | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                                  | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3663441 | PA      | $3666492.20    | 0.04%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905759 FN 12/36 FLOATING VAR                  | CUSIP: 31411EJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1481.45       | 0.00%             | 2036-12-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A       | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     780819 | PA      | $783213.02     | 0.01%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.86          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                               | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A        | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2095148 | PA      | $2097463.39    | 0.03%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $200716.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                            | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                     | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1451 | PA      | $1464.09       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2B 144A   | CUSIP: 55287XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15444215 | PA      | $15463010.76   | 0.19%             | 2028-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-82                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 82 A1         | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60294 | PA      | $51928.70      | 0.00%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A    | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7818757 | PA      | $7895235.49    | 0.09%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M1 144A     | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5626018 | PA      | $4336664.07    | 0.05%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $632984.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                                   | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6499400.44    | 0.08%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A          | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1605187 | PA      | $1629800.04    | 0.02%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| LCM LOAN INCOME FUND I LTD                                                       | LCM LOAN INCOME FUND LTD LCMLF 1A A 144A                | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2999371 | PA      | $3002016.33    | 0.04%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                                | CIM TRUST CIM 2023 R2 A1 144A                           | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18543865 | PA      | $18718046.10   | 0.23%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A2 144A           | CUSIP: 80620BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2100000 | PA      | $2107735.35    | 0.03%             | 2028-11-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-58                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 58 2A2                 | CUSIP: 12669FDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4422 | PA      | $4355.45       | 0.00%             | 2034-02-19      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11677 | PA      | $11354.95      | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                     | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5317708.52    | 0.06%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2D            | CUSIP: 617451EV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5070323 | PA      | $4266922.67    | 0.05%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A2A 144A   | CUSIP: 96042YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2216924 | PA      | $2222383.37    | 0.03%             | 2027-08-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE1 23A       | CUSIP: 07389UAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637333 | PA      | $623331.52     | 0.01%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A3         | CUSIP: 320276AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8570889 | PA      | $8507844.76    | 0.10%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2021-III LTD                                                        | CIFC FUNDING LTD CIFC 2021 3A A 144A                    | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7010853.50    | 0.08%             | 2036-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-106008.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                       | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A              | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2001788.32    | 0.02%             | 2036-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A            | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1225880 | PA      | $1224720.44    | 0.01%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1            | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21786 | PA      | $14859.29      | 0.00%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2004-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2004 1 M1               | CUSIP: 45254TPA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317028 | PA      | $297543.79     | 0.00%             | 2034-03-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 02/09/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $196190.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 1998-1                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A           | CUSIP: 36228FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133397 | PA      | $130610.87     | 0.00%             | 2027-09-19      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5245 FR 06/53 FIXED 5               | CUSIP: 3133C5ZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92445 | PA      | $91913.23      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972164 FH 01/35 FLOATING VAR          | CUSIP: 31336CMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1400 | PA      | $1442.43       | 0.00%             | 2035-01-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                       | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22062 | PA      | $21214.46      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO LTD 2017-1                                                      | STEELE CREEK CLO LTD STCR 2017 1A A 144A                | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     612232 | PA      | $612611.46     | 0.01%             | 2030-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| MERITAGE MORTGAGE LOAN TRUST 2005-2                                              | MERITAGE MORTGAGE LOAN TRUST MMLT 2005 2 M3             | CUSIP: 59001FCT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4631519 | PA      | $4507796.47    | 0.05%             | 2035-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A1 144A      | CUSIP: 69547DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1935302 | PA      | $1936584.61    | 0.02%             | 2026-06-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV2          | CUSIP: 126670RE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46491994 | PA      | $44357611.35   | 0.53%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4101491 | PA      | $4009559.75    | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 1A1        | CUSIP: 86363DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672618 | PA      | $649037.98     | 0.01%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782837 FH 11/34 FLOATING VAR          | CUSIP: 31349UEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5485 | PA      | $5666.77       | 0.00%             | 2034-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-S3                                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S3 CB2         | CUSIP: 929227Z74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917161 | PA      | $779658.73     | 0.01%             | 2033-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A      | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142462 | PA      | $132241.88     | 0.00%             | 2046-02-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                               | GCAT GCAT 2019 RPL1 M2 144A                             | CUSIP: 36167CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1418203.35    | 0.02%             | 2068-10-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4109.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A1           | CUSIP: 14320BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17000000 | PA      | $17002686.00   | 0.20%             | 2026-10-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                       | LCM LTD PARTNERSHIP LCM 30A AR 144A                     | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     579056 | PA      | $580069.08     | 0.01%             | 2031-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 4A A3           | CUSIP: 30166UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1047064 | PA      | $1048910.73    | 0.01%             | 2030-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   68500000 | PA      | $60180862.69   | 0.72%             | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 3A3         | CUSIP: 761119AR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2732390 | PA      | $837597.39     | 0.01%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                             | ATLX TRUST ATLX 2024 RPL1 A1 144A                       | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1989194 | PA      | $1932096.50    | 0.02%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES COR 2001-SB1                                         | STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A5         | CUSIP: 86358RDX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1596 | PA      | $1133.03       | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                       | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8900000 | PA      | $8915571.44    | 0.11%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A     | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    9200000 | PA      | $9218380.77    | 0.11%             | 2035-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A        | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511777.70     | 0.01%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A1 144A           | CUSIP: 80620BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1160400 | PA      | $1160845.97    | 0.01%             | 2026-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1323 FR 08/55 FIXED 7               | CUSIP: 31426XPH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2128474 | PA      | $2252471.25    | 0.03%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A3 144A    | CUSIP: 55286TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3600000 | PA      | $3647150.64    | 0.04%             | 2032-02-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8289 FR 01/53 FIXED 5.5             | CUSIP: 3132DWF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1022529 | PA      | $1036323.33    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A     | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295919 | PA      | $191893.20     | 0.00%             | 2037-11-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                       | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9975 | PA      | $9614.28       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A        | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10758983 | PA      | $9988284.98    | 0.12%             | 2047-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                       | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1575 | PA      | $1531.48       | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7970 FN 08/37 FIXED 3                       | CUSIP: 3140MM2C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41469 | PA      | $39746.58      | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A3 144A       | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1524894.75    | 0.02%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-A                                          | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 A A2          | CUSIP: 412922AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81638 | PA      | $81685.42      | 0.00%             | 2027-02-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS5                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS5 M7         | CUSIP: 76110WX35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3139278 | PA      | $3119518.43    | 0.04%             | 2035-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF4 A1 144A                | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364407 | PA      | $1351662.61    | 0.02%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-D                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 D A3            | CUSIP: 34535VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7050000 | PA      | $7135632.83    | 0.09%             | 2029-08-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-4                                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 4 A            | CUSIP: 759950AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6673 | PA      | $6323.35       | 0.00%             | 2033-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA2 1A1       | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504090 | PA      | $1305940.49    | 0.02%             | 2047-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10816552 | PA      | $9170866.31    | 0.11%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 2A1        | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6899078 | PA      | $6482528.47    | 0.08%             | 2047-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A  | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3236301 | PA      | $3002548.46    | 0.04%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1           | CUSIP: 759950AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     391129 | PA      | $374333.27     | 0.00%             | 2032-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                               | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4545743 | PA      | $4551444.98    | 0.05%             | 2031-04-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN 2000-5                                                  | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2000 5 A           | CUSIP: 68389FBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        597 | PA      | $607.55        | 0.00%             | 2030-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -99 | NC      | $326257.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-189124.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-3Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $309036.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A               | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2703417.82    | 0.03%             | 2033-04-22      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP JPS                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $12728.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |  114786815 | PA      | $1117908788.62 | 13.45%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1511              | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1511 X1           | CUSIP: 3137FLYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66606647 | PA      | $3081603.13    | 0.04%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 4A1        | CUSIP: 74959AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014562 | PA      | $987069.37     | 0.01%             | 2037-10-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1          | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4010645 | PA      | $3996322.74    | 0.05%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2723 FH 01/35 FLOATING VAR          | CUSIP: 3128JM4H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3595 | PA      | $3669.34       | 0.00%             | 2035-01-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6250000 | PA      | $6260271.88    | 0.08%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 M2           | CUSIP: 759950DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3606411 | PA      | $3219653.96    | 0.04%             | 2034-11-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2        | CUSIP: 07384MZ96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62125 | PA      | $59329.52      | 0.00%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 21A1      | CUSIP: 07387UCT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45764 | PA      | $29406.20      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2C                 | CUSIP: 03076MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18083568 | PA      | $5359508.34    | 0.06%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2            | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244020 | PA      | $239430.58     | 0.00%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC4                            | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC4 A1        | CUSIP: 07388WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8613905 | PA      | $6683109.29    | 0.08%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A5          | CUSIP: 86359BGK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15702 | PA      | $15210.46      | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004771 G2 08/40 FIXED 4.5                  | CUSIP: 36202FJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51868 | PA      | $52203.42      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2025-A OWNER TRUST                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2025 A A2A          | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   63500000 | PA      | $63782714.70   | 0.77%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A     | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1456436 | PA      | $1442531.20    | 0.02%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M3        | CUSIP: 76110WG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2653450 | PA      | $2649477.41    | 0.03%             | 2034-11-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0376 FR 11/42 FIXED 4               | CUSIP: 3132D9MZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     540264 | PA      | $528409.27     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                             | WSTN TRUST WSTN 2023 MAUI A 144A                        | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4897450.56    | 0.06%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 CB3       | CUSIP: 939336RQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475167 | PA      | $504249.30     | 0.01%             | 2033-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| DEWOLF PARK CLO LTD 2017-1A                                                      | DEWOLF PARK CLO, LTD DWOLF 2017 1A AR 144A              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     345994 | PA      | $346168.94     | 0.00%             | 2030-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HM EQUITY LN TR 2001-NC1                                             | NEW CENTURY HOME EQUITY LOAN T NCHET 2001 NC1 M3        | CUSIP: 64352VCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050984 | PA      | $985153.03     | 0.01%             | 2031-06-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A       | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5937971 | PA      | $5976078.52    | 0.07%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 FJ                                 | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2119 | PA      | $2113.26       | 0.00%             | 2029-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A     | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2126923 | PA      | $2133096.92    | 0.03%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-4                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 4 M4           | CUSIP: 83611MKH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2109478.14    | 0.03%             | 2036-03-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21198122 | PA      | $21221787.58   | 0.26%             | 2051-09-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                                        | HILTON USA TRUST HILT 2016 HHV A 144A                   | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $990114.20     | 0.01%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C                                    | CPS AUTO TRUST CPS 2025 C A 144A                        | CUSIP: 12634SAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2474975 | PA      | $2481796.08    | 0.03%             | 2029-03-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                                     | ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A            | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2563927.08    | 0.03%             | 2036-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                                 | NMLT TRUST NLT 2023 1 A1 144A                           | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10998798 | PA      | $10039527.64   | 0.12%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2024-4                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2024 4 A 144A       | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     152756 | PA      | $152876.40     | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4           | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4885403 | PA      | $4836169.34    | 0.06%             | 2046-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 M1 144A     | CUSIP: 22945AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $866198.70     | 0.01%             | 2057-07-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                       | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25240 | PA      | $24268.63      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2024-HB1                                          | FINANCE OF AMERICA HECM BUYOUT FAHB 2024 HB1 A1A 144A   | CUSIP: 31737DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000831 | PA      | $3990279.58    | 0.05%             | 2034-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 8/06/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $222243.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 C A2A           | CUSIP: 34532UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6455821 | PA      | $6459771.83    | 0.08%             | 2027-08-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2404680.00    | 0.03%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3              | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161567 | PA      | $152087.18     | 0.00%             | 2035-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A         | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17100000 | PA      | $17226702.45   | 0.21%             | 2055-05-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 9 MF1           | CUSIP: 126673GB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281099 | PA      | $280426.83     | 0.00%             | 2034-12-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5             | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10998907 | PA      | $11360777.69   | 0.14%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A2A 144A   | CUSIP: 73328NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     902932 | PA      | $903320.02     | 0.01%             | 2026-12-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A         | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1422472 | PA      | $1443342.95    | 0.02%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 B2         | CUSIP: 92922FNM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250910 | PA      | $218927.71     | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2003-1                                                      | PRIME MORTGAGE TRUST PRIME 2003 1 A15                   | CUSIP: 74160MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323645 | PA      | $311145.55     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 1A1        | CUSIP: 74958WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198252 | PA      | $170193.46     | 0.00%             | 2037-02-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A     | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3721288 | PA      | $3767722.85    | 0.05%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2D            | CUSIP: 61748LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5350450 | PA      | $4732351.54    | 0.06%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $957047.26     | 0.01%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10300000 | PA      | $10300196.32   | 0.12%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA5                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA5 2A1       | CUSIP: 32051GPM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2265129 | PA      | $2138399.74    | 0.03%             | 2035-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                             | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A          | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1243772.40    | 0.01%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31358 | PA      | $31187.12      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345999 | PA      | $331703.04     | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22300000 | PA      | $22681144.69   | 0.27%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2002-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2002 BC3 M1          | CUSIP: 126671RE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92266 | PA      | $90433.59      | 0.00%             | 2032-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49800000 | PA      | $46059163.94   | 0.55%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A2        | CUSIP: 12668AVQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4179558 | PA      | $3705459.47    | 0.04%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA9                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA9 A1         | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5906136 | PA      | $3081525.54    | 0.04%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 6 A1 144A                   | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2762153 | PA      | $2767094.43    | 0.03%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 M1          | CUSIP: 542514NX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15859979 | PA      | $14121972.42   | 0.17%             | 2045-08-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888502 FN 06/33 FLOATING VAR                  | CUSIP: 31410GDF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1959 | PA      | $1980.93       | 0.00%             | 2033-06-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847003 FH 03/32 FLOATING VAR          | CUSIP: 3128HDX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6343 | PA      | $6387.18       | 0.00%             | 2032-03-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                  | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7950128 | PA      | $7253846.01    | 0.09%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A2 144A              | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4133797 | PA      | $3762692.33    | 0.05%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1077.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG P/T  2003-MS6                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS6 1A        | CUSIP: 939336ZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62546 | PA      | $57710.82      | 0.00%             | 2033-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A   | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     870245 | PA      | $877783.97     | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A9        | CUSIP: 761118PY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210223 | PA      | $1922437.70    | 0.02%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A1        | CUSIP: 00075VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7398423 | PA      | $4740830.98    | 0.06%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $163952.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6034 FR 12/52 FIXED 5.5             | CUSIP: 3133BTV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108052 | PA      | $109275.91     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                                    | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A      | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5976799 | PA      | $5984270.30    | 0.07%             | 2032-10-23      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 2B1         | CUSIP: 07384M3N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168502 | PA      | $154107.47     | 0.00%             | 2034-11-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                 | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4699971.42    | 0.06%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3            | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $20131380.00   | 0.24%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 7 A1 144A                   | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2256466 | PA      | $2258885.30    | 0.03%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-15                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 15 6A1         | CUSIP: 576433VQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172068 | PA      | $161516.79     | 0.00%             | 2034-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENTS PARTNERS LTD 2018-1A                                         | OCTAGON INVESTMENTS PARTNERS 3 OCT36 2018 1A A1 144A    | CUSIP: 67591UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250401 | PA      | $1251484.06    | 0.02%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2518                                                                 | FREDDIE MAC FHR 2518 FP                                 | CUSIP: 31392WQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1580 | PA      | $1570.06       | 0.00%             | 2032-10-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555715 FN 07/33 FLOATING VAR                  | CUSIP: 31385XK48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $760.79        | 0.00%             | 2033-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1        | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195616 | PA      | $376733.09     | 0.00%             | 2034-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A   | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958200 | PA      | $928213.46     | 0.01%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5863047 | PA      | $5795833.66    | 0.07%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9289 FN 04/41 FIXED 3.5                     | CUSIP: 3138ABKB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6560 | PA      | $6255.46       | 0.00%             | 2041-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-6A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 6A A 144A     | CUSIP: 05377RHG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1042961.80    | 0.01%             | 2029-12-20      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-7                                                    | GSAA HOME EQUITY TRUST GSAA 2004 7 M1                   | CUSIP: 36242DDF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4009319 | PA      | $4016525.44    | 0.05%             | 2034-06-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV2478 FN 06/37 FIXED 3                       | CUSIP: 3140MFXG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155425 | PA      | $149728.84     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0598 FN 01/46 FIXED 4                       | CUSIP: 3140EUUY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19626 | PA      | $18880.09      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 2A1        | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4237384 | PA      | $2393097.85    | 0.03%             | 2035-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 3AV3         | CUSIP: 23242EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2270624 | PA      | $2246908.48    | 0.03%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                    | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                   | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2081475 | PA      | $2090723.16    | 0.03%             | 2026-01-27      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                             | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A1 144A    | CUSIP: 039962AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     929283 | PA      | $929594.56     | 0.01%             | 2026-07-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426927 | PA      | $374849.41     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24000000 | PA      | $24034260.00   | 0.29%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481113 | PA      | $465145.24     | 0.01%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2006-5                                                              | SACO I TRUST SACO 2006 5 2A3                            | CUSIP: 785811AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52642 | PA      | $90387.57      | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8869 FN 05/49 FIXED 3.5                     | CUSIP: 3140JR2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81498 | PA      | $76192.61      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP DUB                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-16506.85     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2        | CUSIP: 12667GCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50200 | PA      | $46173.69      | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| EQUITY ONE ABS INC 2004-3                                                        | EQUITY ONE ABS INC EQABS 2004 3 AV2                     | CUSIP: 294751EY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1639 | PA      | $1596.56       | 0.00%             | 2034-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 3B1       | CUSIP: 17307GMK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13138 | PA      | $12732.18      | 0.00%             | 2034-12-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A         | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53342 | PA      | $50940.01      | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-3                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2007 3 A1                 | CUSIP: 05568QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60840559 | PA      | $56402823.92   | 0.68%             | 2037-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A1 144A | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2848616.76    | 0.03%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-2                                                         | PRIME MORTGAGE TRUST PRIME 2005 2 2B1                   | CUSIP: 74160MHX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404564 | PA      | $359729.67     | 0.00%             | 2032-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9349 FR 09/52 FIXED 4               | CUSIP: 3133BKL64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194254 | PA      | $183669.36     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4403 | PA      | $4549.76       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR2                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR2 6M2        | CUSIP: 22541Q7J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1067645 | PA      | $745443.27     | 0.01%             | 2034-03-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2         | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145608 | PA      | $149126.58     | 0.00%             | 2035-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                  | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32217 | PA      | $29652.04      | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8563158 | PA      | $8239765.37    | 0.10%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-3                                                   | CARMAX AUTO OWNER TRUST CARMX 2025 3 A2A                | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22253000 | PA      | $22357771.57   | 0.27%             | 2028-08-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A       | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     693315 | PA      | $696421.91     | 0.01%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TIAA CLO III LTD 2017-2A                                                         | TEACHERS INSURANCE AND ANNUITY TIA 2017 2A A 144A       | CUSIP: 87272HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     101311 | PA      | $101379.77     | 0.00%             | 2031-01-16      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9546747 | PA      | $8658524.70    | 0.10%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A       | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     417040 | PA      | $420054.96     | 0.01%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1904 FN 02/46 FIXED 4                       | CUSIP: 3140EWDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35110 | PA      | $33753.30      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27400000 | PA      | $26560663.75   | 0.32%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-7N                                                          | LEHMAN XS TRUST LXS 2005 7N 1A1A                        | CUSIP: 525221EM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500468 | PA      | $2346093.19    | 0.03%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8383 FN 03/47 FIXED 4                       | CUSIP: 3140FUJ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39490 | PA      | $37614.94      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 1B1                 | CUSIP: 36229RLX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     943216 | PA      | $731607.71     | 0.01%             | 2034-01-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1516271 | PA      | $1518579.79    | 0.02%             | 2036-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884120 FN 05/36 FLOATING VAR                  | CUSIP: 31410BG57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3385 | PA      | $3474.55       | 0.00%             | 2036-05-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 3A         | CUSIP: 74958WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488792 | PA      | $432292.26     | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-73021.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 3A2       | CUSIP: 07387VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1830416 | PA      | $1622676.01    | 0.02%             | 2037-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A           | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5102510.73    | 0.06%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3           | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6200000 | PA      | $6276543.96    | 0.08%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2006-D                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2006 D M2            | CUSIP: 07325HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7063509 | PA      | $6291154.44    | 0.08%             | 2036-12-28      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                                    | OPORTUN FUNDING LLC OPTN 2025 A A 144A                  | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1602498.24    | 0.02%             | 2033-02-08      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A24             | CUSIP: 46628YAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210479 | PA      | $79036.05      | 0.00%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A              | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906750 | PA      | $913990.33     | 0.01%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1209922.56    | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN 2004-A                                                  | INDYMAC HOME EQUITY LOAN ASSET INHEL 2004 A M2          | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184002 | PA      | $177641.38     | 0.00%             | 2034-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1       | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73308 | PA      | $25619.76      | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A   | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10300000 | PA      | $10023811.99   | 0.12%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A    | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1482000 | PA      | $1490886.81    | 0.02%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535598 FN 10/40 FLOATING VAR                  | CUSIP: 31384V7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4170 | PA      | $4167.06       | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A     | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8153276 | PA      | $8121752.79    | 0.10%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                          | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A         | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7400000 | PA      | $7429988.13    | 0.09%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-7                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 7 A1                   | CUSIP: 81744FCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18479 | PA      | $17983.83      | 0.00%             | 2034-08-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-13AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 13AX A3         | CUSIP: 61750PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1183079 | PA      | $329668.51     | 0.00%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $3516943.01    | 0.04%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A2A 144A       | CUSIP: 881943AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1278886 | PA      | $1280143.56    | 0.02%             | 2026-12-21      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $51390.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4               | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     415469 | PA      | $399667.92     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2025-INV4                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 INV4 A1        | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1752974.83    | 0.02%             | 2070-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5            | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $7662541.81    | 0.09%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB4 A2B       | CUSIP: 1248MEAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1103989 | PA      | $1086580.77    | 0.01%             | 2037-04-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                         | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                   | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4705527.76    | 0.06%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 M2             | CUSIP: 61756YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     358754 | PA      | $292276.99     | 0.00%             | 2037-07-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2007-AR1                                     | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR1 1A2         | CUSIP: 07401MAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279625 | PA      | $260551.67     | 0.00%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1014 G2 05/43 FIXED 4.5                  | CUSIP: 36179NDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25208 | PA      | $25370.61      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A         | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11800000 | PA      | $11845597.09   | 0.14%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2003-AR11                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR11 B1        | CUSIP: 92922FJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70962 | PA      | $59317.59      | 0.00%             | 2033-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  734035000 | PA      | $727566977.19  | 8.75%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R8                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M4          | CUSIP: 03072SM36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8370083 | PA      | $8273178.52    | 0.10%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                               | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340619 | PA      | $334666.14     | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2C       | CUSIP: 59023AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26827931 | PA      | $10447925.62   | 0.13%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4746 FN 08/27 FIXED 3                       | CUSIP: 3138M8HY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10368 | PA      | $10264.91      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                                              | GSAMP TRUST GSAMP 2006 S6 A1B                           | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5043304 | PA      | $23483.64      | 0.00%             | 2036-10-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 420212 FH 08/31 FLOATING VAR          | CUSIP: 31346AGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3730 | PA      | $3781.01       | 0.00%             | 2031-08-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 1 A2                | CUSIP: 66987XCE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        229 | PA      | $225.79        | 0.00%             | 2033-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3866204 | PA      | $3556757.76    | 0.04%             | 2046-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2          | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244939 | PA      | $248646.27     | 0.00%             | 2034-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701043 FN 04/33 FLOATING VAR                  | CUSIP: 31400XZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3110 | PA      | $3150.82       | 0.00%             | 2033-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A2 144A              | CUSIP: 78437KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1791858 | PA      | $1794898.95    | 0.02%             | 2027-04-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2        | CUSIP: 17309MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6070541 | PA      | $6013712.95    | 0.07%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M2         | CUSIP: 75406WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18508000 | PA      | $16756406.58   | 0.20%             | 2036-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2005 1 A1                   | CUSIP: 81744FGM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268018 | PA      | $256097.13     | 0.00%             | 2035-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA8                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA8 1A1       | CUSIP: 32051GWC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426596 | PA      | $179962.87     | 0.00%             | 2035-09-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1179292.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 3 A2          | CUSIP: 07384YLS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206708 | PA      | $205471.87     | 0.00%             | 2043-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9           | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446953 | PA      | $413260.09     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6167 FN 02/48 FIXED 3.5                     | CUSIP: 3140H7Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4495 | PA      | $4167.22       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRP ADVISORS, LLC PRPM 2023 NQM3 A1 144A                | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5242929 | PA      | $5298822.64    | 0.06%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QO1175 FR 02/38 FIXED 3               | CUSIP: 3133WKJU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     809698 | PA      | $776072.81     | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 773245 FN 02/35 FLOATING VAR                  | CUSIP: 31404NBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1965 | PA      | $2010.99       | 0.00%             | 2035-02-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A2       | CUSIP: 07387VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3566516 | PA      | $3201695.97    | 0.04%             | 2037-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A3 144A              | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6700000 | PA      | $6745856.14    | 0.08%             | 2027-11-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H06 FL          | CUSIP: 38382YPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219702 | PA      | $219164.44     | 0.00%             | 2072-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3100063.21    | 0.04%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  SEP25 XCME 20251216                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -81 | NC      | $380727.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 A 144A   | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6996213.70    | 0.08%             | 2038-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5218 | PA      | $5064.04       | 0.00%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $301126.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.30000 01/17/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $318744.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A      | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2516749.75    | 0.03%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                  | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     862817 | PA      | $787459.67     | 0.01%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-GP3                                                         | LEHMAN XS TRUST LXS 2006 GP3 1A1                        | CUSIP: 525228AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4743446 | PA      | $4435248.88    | 0.05%             | 2046-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080376 G2 02/30 FLOATING VAR               | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $98.84         | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 MV6       | CUSIP: 46630MBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4473853 | PA      | $3689882.40    | 0.04%             | 2037-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080143 G2 12/27 FLOATING VAR               | CUSIP: 36225CER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $267.08        | 0.00%             | 2027-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF2 A1 144A                | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4549137 | PA      | $4461852.74    | 0.05%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT 2022-5 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2022 5 A1 144A                    | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8780521 | PA      | $8755583.91    | 0.11%             | 2067-04-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2017-1                                             | MILL CITY MORTGAGE TRUST MCMLT 2017 1 B3 144A           | CUSIP: 59981HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $856689.00     | 0.01%             | 2058-11-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A      | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270648 | PA      | $254719.02     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                     | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3040413 | PA      | $3081226.54    | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A        | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4900 | PA      | $4658.55       | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A1        | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41447 | PA      | $47793.31      | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                     | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6525666 | PA      | $6611064.99    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                       | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28231 | PA      | $27087.03      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 3A2        | CUSIP: 12668BDK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     790154 | PA      | $663217.07     | 0.01%             | 2046-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-RP1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A    | CUSIP: 92922FYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13388143 | PA      | $12528333.52   | 0.15%             | 2034-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A       | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9676 | PA      | $9361.18       | 0.00%             | 2035-01-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1C        | CUSIP: 41161PSM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107246 | PA      | $101803.94     | 0.00%             | 2035-06-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-J3                        | COUNTRYWIDE HOME LOANS CWHL 2006 J3 M                   | CUSIP: 125433AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     987186 | PA      | $859901.08     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                         | SEQUOIA MORTGAGE TRUST SEMT 9 2A                        | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7386 | PA      | $7215.62       | 0.00%             | 2032-09-20      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.85000 08/30/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-135983.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A      | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     726959 | PA      | $728035.75     | 0.01%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                                       | OCEAN TRAILS CLO OCTR 2020 8A ARR                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7511431.35    | 0.09%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE3 M5        | CUSIP: 073879SA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8392000 | PA      | $8527271.49    | 0.10%             | 2035-03-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-9                                                           | LEHMAN XS TRUST LXS 2007 9 1A3                          | CUSIP: 52524MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19827781 | PA      | $18010318.97   | 0.22%             | 2037-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB4 1A1               | CUSIP: 125431AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559605 | PA      | $502101.39     | 0.01%             | 2036-06-20      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CP 2002-14A                                          | STRUCTURED ASSET SECURITIES CO SASC 2002 14A 1A1        | CUSIP: 86358RR41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         18 | PA      | $17.58         | 0.00%             | 2032-07-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86435 | PA      | $72682.74      | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 3A1               | CUSIP: 126694WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3058573 | PA      | $2737760.51    | 0.03%             | 2036-03-20      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A     | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $610409.88     | 0.01%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844214 FN 11/35 FLOATING VAR                  | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $558.24        | 0.00%             | 2035-11-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4662 FN 07/42 FIXED 4                       | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     326508 | PA      | $319343.70     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $68412.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  256850000 | PA      | $242045797.85  | 2.91%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4318 FN 01/49 FIXED 4                       | CUSIP: 3140JLYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40783 | PA      | $39251.16      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3            | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6903014.61    | 0.08%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 1A1        | CUSIP: 45660LGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1206753 | PA      | $1068817.42    | 0.01%             | 2035-05-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6212 FN 03/49 FIXED 4                       | CUSIP: 3140JN3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44942 | PA      | $43108.04      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A   | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18200000 | PA      | $16970786.56   | 0.20%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6707882.55    | 0.08%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A       | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     425217 | PA      | $429004.43     | 0.01%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A        | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4131960 | PA      | $4193155.77    | 0.05%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 NC3 A1         | CUSIP: 81377CAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11259836 | PA      | $6406750.01    | 0.08%             | 2036-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805386 FN 01/35 FLOATING VAR                  | CUSIP: 31406BXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2528 | PA      | $2573.57       | 0.00%             | 2035-01-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-7 LTD 2018-7A                                                          | CBAM CLO MANAGEMENT CBAM 2018 7A A 144A                 | CUSIP: 12482JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7117788 | PA      | $7127312.55    | 0.09%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2024-2                       | GREAT AMERICA LEASING RECEIVAB GALC 2024 2 A2 144A      | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10140588 | PA      | $10197127.15   | 0.12%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M1         | CUSIP: 03072SVR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6086521 | PA      | $6025265.72    | 0.07%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                               | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7543365 | PA      | $7551981.35    | 0.09%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5846 FN 01/46 FIXED 4                       | CUSIP: 3140EAP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62940 | PA      | $62047.52      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-482763.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                  | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1069.46       | 0.00%             | 2035-02-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4               | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     394648 | PA      | $385988.31     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2004-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC3 M2          | CUSIP: 126673CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543243 | PA      | $541599.28     | 0.01%             | 2034-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                          | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                    | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1001401.20    | 0.01%             | 2033-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 2A1         | CUSIP: 863579UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23208 | PA      | $20772.49      | 0.00%             | 2035-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2023-FL2 LLC                                                               | ACREC LLC ACREC 2023 FL2 A 144A                         | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1211249 | PA      | $1214775.56    | 0.01%             | 2038-02-19      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     494143 | PA      | $481807.82     | 0.01%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR               | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7834 | PA      | $7840.91       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4482 FN 11/47 FIXED 4                       | CUSIP: 3140H56U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1804 | PA      | $1735.86       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54330000 | PA      | $55511347.17   | 0.67%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A3         | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3908216.52    | 0.05%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 2A2               | CUSIP: 07386HDM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91975 | PA      | $89614.49      | 0.00%             | 2033-12-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 3A1         | CUSIP: 05949ADQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292500 | PA      | $289186.45     | 0.00%             | 2034-05-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAPITAL I 2001-NC4                                    | MORGAN STANLEY DEAN WITTER CAP MSDWC 2001 NC4 M2        | CUSIP: 61746WLM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31371 | PA      | $85532.02      | 0.00%             | 2032-01-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-FA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2019 FA A2 144A        | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1117023 | PA      | $1081283.70    | 0.01%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891332 FN 04/36 FLOATING VAR                  | CUSIP: 31410MHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $369.10        | 0.00%             | 2036-04-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                     | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $945567.00     | 0.01%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NEWARK BSL CLO 2 LTD 2017 1A                                                     | NEWARK BSL CLO 2 LTD. NBCLO 2017 1A A1R 144A            | CUSIP: 65023PAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     353123 | PA      | $353653.69     | 0.00%             | 2030-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A3         | CUSIP: 46602WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21038422 | PA      | $5751298.71    | 0.07%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A2 144A           | CUSIP: 78436RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1653540 | PA      | $1656325.49    | 0.02%             | 2027-12-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-C                                                | CPS AUTO TRUST CPS 2024 C A 144A                        | CUSIP: 223920AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5646276 | PA      | $5661453.61    | 0.07%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9690 FN 07/38 FIXED 3                       | CUSIP: 3140N2XU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     631154 | PA      | $604944.17     | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A2R 144A     | CUSIP: 05685AAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000453.81    | 0.01%             | 2034-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 3A A2 144A         | CUSIP: 37989YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5700000 | PA      | $5712810.18    | 0.07%             | 2028-07-17      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB1 1A1               | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5831 | PA      | $5436.12       | 0.00%             | 2033-05-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7937 G2 03/52 FIXED 3                    | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662091 | PA      | $591699.25     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5079393.59   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7899 FN 07/43 FIXED 3.5                     | CUSIP: 3138WVX55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32535 | PA      | $30736.56      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1         | CUSIP: 81375WAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1163570 | PA      | $1214684.19    | 0.01%             | 2034-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC  2024-NPL8                                  | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL8 A1 144A   | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2356032 | PA      | $2360328.98    | 0.03%             | 2054-11-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A3 144A            | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2307422.10    | 0.03%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A              | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1308918 | PA      | $1320382.43    | 0.02%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 1A1          | CUSIP: 05950RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71773 | PA      | $61340.91      | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7231 FN 08/45 FIXED VAR                     | CUSIP: 3138EQA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5509 | PA      | $5182.10       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4           | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215534 | PA      | $214966.78     | 0.00%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 5 M                    | CUSIP: 12669FXA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1537820 | PA      | $1225006.82    | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7303 FN 08/52 FIXED 4                       | CUSIP: 3140N0DH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161261 | PA      | $152448.38     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A3 144A    | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3508978.90    | 0.04%             | 2027-10-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-3A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 3A A2           | CUSIP: 30166XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19866054 | PA      | $19893718.97   | 0.24%             | 2028-01-18      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6800000 | PA      | $6825535.09    | 0.08%             | 2035-01-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 9A          | CUSIP: 863579BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257617 | PA      | $253512.45     | 0.00%             | 2034-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 M                 | CUSIP: 12669GWW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1435387 | PA      | $1189207.68    | 0.01%             | 2035-05-20      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 6R 2A7 144A      | CUSIP: 12643PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5659714 | PA      | $4729493.90    | 0.06%             | 2048-05-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1094480 | PA      | $885501.87     | 0.01%             | 2047-02-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| NAVIENT EDUCATION LOAN TRUST 2025-A                                              | NAVIENT EDUCATION LOAN TRUST NAVEL 2025 A A 144A        | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2761462 | PA      | $2791770.47    | 0.03%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LBMLT 2003-3 M3 SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $143.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-10                                                   | SEQUOIA MORTGAGE TRUST SEMT 2004 10 A1A                 | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11389 | PA      | $10823.48      | 0.00%             | 2034-11-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                         | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     759041 | PA      | $760141.81     | 0.01%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A      | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $604500.96     | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005175 G2 09/41 FIXED 4.5                  | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12329 | PA      | $12408.69      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123351 | PA      | $24146.14      | 0.00%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A            | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4823968 | PA      | $4830963.17    | 0.06%             | 2034-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A     | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $913363.74     | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 1A1               | CUSIP: 12669D2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42923 | PA      | $41486.68      | 0.00%             | 2033-07-19      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2024 2 A3                 | CUSIP: 05613MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5317504.84    | 0.06%             | 2027-10-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 2A        | CUSIP: 36185N6N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692019 | PA      | $646935.87     | 0.01%             | 2035-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2024 1A A2 144A    | CUSIP: 026944AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     550216 | PA      | $551544.63     | 0.01%             | 2028-03-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M1             | CUSIP: 61744CFP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6015907 | PA      | $6119524.87    | 0.07%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5                  | CUSIP: 12669GZS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1105874 | PA      | $903011.79     | 0.01%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1             | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64756 | PA      | $58939.57      | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A         | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     808320 | PA      | $765439.54     | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                                 | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 2A1           | CUSIP: 61748HVH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175868 | PA      | $166984.95     | 0.00%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A1 144A        | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617428 | PA      | $594998.85     | 0.01%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF6 A1 144A                | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     864853 | PA      | $848918.71     | 0.01%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR3                                                          | BCAP LLC TRUST BCAP 2014 RR3 1A2 144A                   | CUSIP: 05544EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3906648 | PA      | $3247359.00    | 0.04%             | 2036-11-26      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004801 G2 09/40 FIXED 4.5                  | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217028 | PA      | $218298.45     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 P2 A4         | CUSIP: 14687TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     158294 | PA      | $157922.90     | 0.00%             | 2027-01-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3936554 | PA      | $3943561.23    | 0.05%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                                | BDS LTD BDS 2025 FL14 A 144A                            | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2650000 | PA      | $2655190.18    | 0.03%             | 2042-10-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR6                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR6 2A1A      | CUSIP: 32051GJ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1391573 | PA      | $706225.67     | 0.01%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SACO I INC 1997-2                                                                | SACO I TRUST SACO 1997 2 1A5 144A                       | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1852 | PA      | $1757.12       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7435 FN 05/37 FIXED 3                       | CUSIP: 3140MMHM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     663465 | PA      | $641888.28     | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-184186.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2016-1A                                                | NELNET STUDENT LOAN TRUST NSLT 2016 1A A 144A           | CUSIP: 64033UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5204852 | PA      | $5212517.32    | 0.06%             | 2065-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                  | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5147123 | PA      | $5014191.71    | 0.06%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                  | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77894 | PA      | $71090.43      | 0.00%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6436 FN 04/27 FIXED 3                       | CUSIP: 3138WGEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125636 | PA      | $124456.96     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                    | LUX 2023 LION LUX 2023 LION A 144A                      | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2836622.88    | 0.03%             | 2040-08-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                                    | ACE SECURITIES CORP. ACE 2006 ASP5 A2C                  | CUSIP: 004422AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14186796 | PA      | $4712324.37    | 0.06%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6741739 | PA      | $6746225.64    | 0.08%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A        | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2694138 | PA      | $2639133.13    | 0.03%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14       | CUSIP: 12668BLY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61693 | PA      | $25322.09      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3937 | PA      | $3935.63       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 6 A2 144A           | CUSIP: 89175JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $961042.30     | 0.01%             | 2057-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662767 | PA      | $266958.51     | 0.00%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-J4                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J4 1A3        | CUSIP: 23242WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3615588 | PA      | $902422.86     | 0.01%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                                      | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A         | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     961646 | PA      | $966514.63     | 0.01%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3985 FN 04/35 FIXED 3                       | CUSIP: 31418DNB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5076 | PA      | $4890.73       | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-222949.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A5        | CUSIP: 44328AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4109876 | PA      | $1099008.46    | 0.01%             | 2036-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 1M1          | CUSIP: 161546FH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1016 | PA      | $918.84        | 0.00%             | 2032-09-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-188500.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 1A            | CUSIP: 12669VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13275486 | PA      | $12625117.27   | 0.15%             | 2047-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4488750.00    | 0.05%             | 2042-10-15      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                           | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6007114.32    | 0.07%             | 2034-10-11      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3768 FN 09/34 FIXED 3                       | CUSIP: 31418DFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40170 | PA      | $38890.42      | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2A                                                 | FOUNDATION FINANCE TRUST FFIN 2025 2A A 144A            | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1206969 | PA      | $1213212.77    | 0.01%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4         | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41107399 | PA      | $13755435.86   | 0.17%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 4A4         | CUSIP: 93934FEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143487 | PA      | $127652.99     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372181 | PA      | $972629.79     | 0.01%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A16      | CUSIP: 12668ART4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705174 | PA      | $382432.65     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2023 C A3            | CUSIP: 344940AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6792048 | PA      | $6865629.86    | 0.08%             | 2028-09-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A        | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2804731 | PA      | $2831538.61    | 0.03%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-4                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 4 M6            | CUSIP: 29256PBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12708033 | PA      | $10685573.69   | 0.13%             | 2036-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2004-NC1                                                              | GSAA HOME EQUITY TRUST GSAA 2004 NC1 M2                 | CUSIP: 36228FC61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     391702 | PA      | $360875.65     | 0.00%             | 2033-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-346887.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A     | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37165771 | PA      | $37587413.23   | 0.45%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV1424 FN 04/55 FIXED 7                       | CUSIP: 3140MESN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6077410 | PA      | $6374342.43    | 0.08%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     881661 | PA      | $698761.11     | 0.01%             | 2036-12-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52666293.57   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782645 FH 02/36 FLOATING VAR          | CUSIP: 31349T5E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1265 | PA      | $1304.67       | 0.00%             | 2036-02-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3          | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $701607.48     | 0.01%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B7                                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B7 A2               | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8253583 | PA      | $8238331.20    | 0.10%             | 2053-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                               | CARVAL CLO LTD CARVL 2019 2A AR2 144A                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5964800 | PA      | $5970486.17    | 0.07%             | 2032-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $684129.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST                                                    | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2003 2 2A2           | CUSIP: 29445FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78232 | PA      | $76562.14      | 0.00%             | 2033-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43000 02/27/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-28434.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-58040.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-247041.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 6A22        | CUSIP: 007036TR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199712 | PA      | $173401.74     | 0.00%             | 2036-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 01/04/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-548138.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2             | CUSIP: 61744CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5677694 | PA      | $5554955.20    | 0.07%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $892741.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A       | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5881183 | PA      | $5932198.94    | 0.07%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A2         | CUSIP: 14688PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     248905 | PA      | $249056.01     | 0.00%             | 2027-11-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A      | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6608024 | PA      | $6443704.11    | 0.08%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2025-1A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2025 1A A2A 144A   | CUSIP: 73329KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29300000 | PA      | $29398286.85   | 0.35%             | 2027-12-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2003-2                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2003 2 A2           | CUSIP: 83611MAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1079 | PA      | $1333.06       | 0.00%             | 2033-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786472 FH 09/28 FLOATING VAR          | CUSIP: 31295KFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        926 | PA      | $926.62        | 0.00%             | 2028-09-01      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B       | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481691 | PA      | $444060.85     | 0.01%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8100000 | PA      | $8169272.01    | 0.10%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A            | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1518161 | PA      | $1519893.22    | 0.02%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151857 | PA      | $146081.52     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A        | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1150253 | PA      | $1155434.45    | 0.01%             | 2040-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3743 FN 08/39 FIXED 4                       | CUSIP: 31418DER9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63755 | PA      | $62657.71      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A              | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2649007 | PA      | $2575660.84    | 0.03%             | 2035-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4556 FN 03/40 FIXED 3.5                     | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84770 | PA      | $80977.88      | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                                     | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5003533.75    | 0.06%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3903 FR 05/55 FIXED 7               | CUSIP: 31426NKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2247614 | PA      | $2357311.05    | 0.03%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A     | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4306020.00    | 0.05%             | 2034-07-19      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2364949 | PA      | $2368107.07    | 0.03%             | 2047-12-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4729 FN 09/42 FIXED 4                       | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25575 | PA      | $25013.88      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $974242.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555817 FN 09/33 FLOATING VAR                  | CUSIP: 31385XPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.61         | 0.00%             | 2033-09-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A    | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $926118.50     | 0.01%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7382 FN 04/55 FIXED 7                       | CUSIP: 3140B8FY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3322360 | PA      | $3485706.46    | 0.04%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A1                | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4843581 | PA      | $4857535.74    | 0.06%             | 2034-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 3A1          | CUSIP: 05950PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48123 | PA      | $39590.91      | 0.00%             | 2046-09-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 2 M1          | CUSIP: 07400TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6982471 | PA      | $5944664.96    | 0.07%             | 2047-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A1         | CUSIP: 61748HWM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900844 | PA      | $1230411.66    | 0.01%             | 2036-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XI LTD 2019-2A                                                       | ALLEGRO CLO LTD ALLEG 2019 2A A1AR 144A                 | CUSIP: 01750HAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     810510 | PA      | $811627.64     | 0.01%             | 2033-01-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                                    | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A           | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2801963.02    | 0.03%             | 2034-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H21 FA          | CUSIP: 38375UAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50747 | PA      | $50857.69      | 0.00%             | 2063-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV2 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV2 A1 144A                 | CUSIP: 12622SAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     784838 | PA      | $797936.64     | 0.01%             | 2069-05-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF1 A1 144A                | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760135 | PA      | $749689.85     | 0.01%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP3                                                             | RAAC SERIES RAAC 2005 SP3 M4                            | CUSIP: 76112BS84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1347649 | PA      | $1423072.94    | 0.02%             | 2035-12-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUNDING TRUST 2005-HY1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 HY1 M2         | CUSIP: 39538WBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5064056 | PA      | $4814580.59    | 0.06%             | 2035-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A     | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5648125 | PA      | $5720004.80    | 0.07%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A3         | CUSIP: 542514UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39088979 | PA      | $11600987.58   | 0.14%             | 2046-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M2 144A           | CUSIP: 62955VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1726117.60    | 0.02%             | 2061-07-25      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR3 2A         | CUSIP: 929227EM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2296 | PA      | $2121.78       | 0.00%             | 2041-11-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12573019 | PA      | $12158932.43   | 0.15%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A4 144A        | CUSIP: 881943AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12500000 | PA      | $12736882.50   | 0.15%             | 2029-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                     | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1265036 | PA      | $1280862.75    | 0.02%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88          | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     351471 | PA      | $354214.63     | 0.00%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6678082 | PA      | $6009599.80    | 0.07%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R3                                                                | CIM TRUST CIM 2023 R3 A1A 144A                          | CUSIP: 12570GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3944213 | PA      | $3858555.38    | 0.05%             | 2063-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A      | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5347342 | PA      | $5365613.24    | 0.06%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A1 144A      | CUSIP: 706916AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1100284.35    | 0.01%             | 2026-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-96601.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     948822 | PA      | $920070.01     | 0.01%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A       | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1104547 | PA      | $1111250.82    | 0.01%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2         | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1747529 | PA      | $1749355.96    | 0.02%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37800000 | PA      | $33458906.25   | 0.40%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A       | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1757853 | PA      | $1758963.87    | 0.02%             | 2067-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LTD 2021-6A                                              | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 6A A1R 144A     | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3704937.02    | 0.04%             | 2034-10-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1         | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372926 | PA      | $364355.54     | 0.00%             | 2034-10-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A   | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004148 | PA      | $568354.80     | 0.01%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 25-3A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2025 3A A2 144A     | CUSIP: 36272GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $704959.08     | 0.01%             | 2030-10-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                     | ARI FLEET LEASE TRUST ARIFL 2025 A A2 144A              | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2409051.84    | 0.03%             | 2034-01-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/19/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10422396.80  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                     | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     981186 | PA      | $998020.79     | 0.01%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 1A1       | CUSIP: 32051GW50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378940 | PA      | $349025.12     | 0.00%             | 2036-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2002-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2002 3 M2             | CUSIP: 805564ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2971344 | PA      | $2741825.61    | 0.03%             | 2032-12-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA7844 FN 08/47 FIXED 4                       | CUSIP: 3140QFWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11298 | PA      | $10862.98      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A2        | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157426 | PA      | $153619.80     | 0.00%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP JPS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $94.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A2 144A                    | CUSIP: 09709AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     116517 | PA      | $116584.86     | 0.00%             | 2026-12-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59900000 | PA      | $61523250.47   | 0.74%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 1A1               | CUSIP: 126694VH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313767 | PA      | $274311.29     | 0.00%             | 2036-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-241215.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 783026 FH 02/35 FLOATING VAR          | CUSIP: 31349ULF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6240 | PA      | $6442.66       | 0.00%             | 2035-02-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                  | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     982418 | PA      | $904970.79     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD 2020-25A                                                       | MAGNETITE CLO LTD MAGNE 2020 25A A 144A                 | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     589538 | PA      | $590806.41     | 0.01%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M5       | CUSIP: 46626LEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4735419.00    | 0.06%             | 2035-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M3        | CUSIP: 46630XAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20645000 | PA      | $18127247.28   | 0.22%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 22A1       | CUSIP: 07387AGC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31447 | PA      | $30211.19      | 0.00%             | 2036-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                         | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A     | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5347000 | PA      | $788476.11     | 0.01%             | 2036-05-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-2                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 2 A2          | CUSIP: 10807HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19826151 | PA      | $19841667.16   | 0.24%             | 2028-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3193195 | PA      | $2131809.36    | 0.03%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A4A       | CUSIP: 172987BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     889047 | PA      | $832395.96     | 0.01%             | 2036-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA                                | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 2RA A1 144A    | CUSIP: 14314LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     810387 | PA      | $810937.15     | 0.01%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A3 144A    | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2513695.00    | 0.03%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A6         | CUSIP: 32028GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25256000 | PA      | $21870640.30   | 0.26%             | 2036-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8486 G2 12/52 FIXED 3                    | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202951 | PA      | $181720.20     | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0023 FN 04/53 FIXED 6.5                     | CUSIP: 3140NGAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     196006 | PA      | $204418.29     | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                  | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7252909 | PA      | $7457846.50    | 0.09%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2025-1A                                               | BANK OF AMERICA AUTO TRUST BAAT 2025 1A A2A 144A        | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14954652 | PA      | $14969440.38   | 0.18%             | 2027-11-22      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 1 30B1         | CUSIP: 55265WBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1795950 | PA      | $260917.20     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67444 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3867786.74    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 2B 144A       | CUSIP: 61764KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11101973 | PA      | $9987661.70    | 0.12%             | 2047-06-26      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2661575 | PA      | $2760100.84    | 0.03%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A      | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6756927 | PA      | $6840294.50    | 0.08%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2.11          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     738612 | PA      | $395264.41     | 0.00%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1        | CUSIP: 12667G3L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2507910 | PA      | $1664547.68    | 0.02%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-476260.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                      | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                 | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001855.27    | 0.01%             | 2034-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                             | GCAT GCAT 2024 NQM1 A1 144A                             | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796578 | PA      | $804413.40     | 0.01%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        430 | NC      | $-533709.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6756094.76   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735653 FN 10/44 FLOATING VAR                  | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2301 | PA      | $2305.03       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5387 FR 01/53 FIXED 5.5             | CUSIP: 3133BS6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     592175 | PA      | $599372.24     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A          | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2939945 | PA      | $2941417.86    | 0.04%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                              | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A      | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1473016 | PA      | $1474015.31    | 0.02%             | 2032-07-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL2 A1 144A    | CUSIP: 64830HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5499273 | PA      | $5369672.47    | 0.06%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214715 | PA      | $215048.54     | 0.00%             | 2059-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A       | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1916472 | PA      | $1784320.90    | 0.02%             | 2034-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A          | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3255732 | PA      | $3264739.75    | 0.04%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A3        | CUSIP: 86359LBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136588 | PA      | $128216.73     | 0.00%             | 2034-07-19      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $591545.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5145439 | PA      | $5152326.19    | 0.06%             | 2036-12-16      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                               | KKR FINANCIAL CLO LTD KKR 28A AR 144A                   | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6022763.76    | 0.07%             | 2035-02-09      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M3 144A        | CUSIP: 59982HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2358000 | PA      | $1987800.37    | 0.02%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A     | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5439640 | PA      | $4847424.10    | 0.06%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.9* 9/23/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25176894.03   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A              | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1812397 | PA      | $1833053.48    | 0.02%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2        | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10860 | PA      | $10876.02      | 0.00%             | 2034-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A      | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4005398.60    | 0.05%             | 2034-07-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST 2008-2                                                    | SLC STUDENT LOAN TRUST SLCLT 2008 2 A4                  | CUSIP: 78444NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1569705 | PA      | $1555994.64    | 0.02%             | 2040-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 2A1       | CUSIP: 22541QT85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76681 | PA      | $76149.91      | 0.00%             | 2033-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                          | REACH FINANCIAL LLC REACH 2025 1A A 144A                | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1299331 | PA      | $1303226.74    | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST 2022-2                                             | SG CAPITAL PARTNERS SGR 2022 2 A1 144A                  | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12581417 | PA      | $12592450.78   | 0.15%             | 2062-08-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2142079 | PA      | $2144099.83    | 0.03%             | 2031-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                           | PIKES PEAK CLO PIPK 2019 4A ARR 144A                    | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6100000 | PA      | $6109600.42    | 0.07%             | 2034-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1        | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299572 | PA      | $282814.21     | 0.00%             | 2036-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                        | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A      | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81963 | PA      | $78779.75      | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 5A6              | CUSIP: 45254TRX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     791057 | PA      | $505902.60     | 0.01%             | 2035-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A      | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400925 | PA      | $392593.74     | 0.00%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2766 FN 11/47 FIXED 4                       | CUSIP: 3140FNCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14822 | PA      | $14145.42      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70520 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4018536.23    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1             | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173267 | PA      | $100611.25     | 0.00%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-441608.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3605236 | PA      | $3243300.30    | 0.04%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A1         | CUSIP: 81377EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4221594 | PA      | $1410958.18    | 0.02%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A    | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4349628 | PA      | $4337552.22    | 0.05%             | 2054-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41000000 | PA      | $39752960.81   | 0.48%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT5 M1        | CUSIP: 83612CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11145965 | PA      | $9624074.79    | 0.12%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2         | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9200000 | PA      | $9202959.64    | 0.11%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A            | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4100191.18    | 0.05%             | 2034-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14321242 | PA      | $13133030.47   | 0.16%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                           | APIDOS CLO LTD APID 2012 11A AR4 144A                   | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7400000 | PA      | $7411016.97    | 0.09%             | 2034-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A1              | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30477 | PA      | $29867.15      | 0.00%             | 2028-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5297 FN 03/54 FIXED 6.5                     | CUSIP: 31418E3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27358661 | PA      | $28298807.74   | 0.34%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A           | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845462 | PA      | $786095.34     | 0.01%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14392 | PA      | $13103.53      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $32781635.56   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-4                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 4 1A4         | CUSIP: 12667F7B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     766673 | PA      | $525946.59     | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                                | CIM TRUST CIM 2023 I2 A1 144A                           | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     851593 | PA      | $858077.22     | 0.01%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                     | ARI FLEET LEASE TRUST ARIFL 2025 A A1 144A              | CUSIP: 04033CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1114880 | PA      | $1115044.82    | 0.01%             | 2026-02-17      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888527 FN 04/34 FLOATING VAR                  | CUSIP: 31410GD83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $448.61        | 0.00%             | 2034-04-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1         | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        180 | PA      | $169.49        | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 4A1         | CUSIP: 05948XYQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3171 | PA      | $3112.97       | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 3 A2 144A       | CUSIP: 29375UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15400000 | PA      | $15489680.36   | 0.19%             | 2028-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 7A1        | CUSIP: 45660LLS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2724979 | PA      | $2134272.83    | 0.03%             | 2035-06-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7900000 | PA      | $7901067.69    | 0.10%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45000 03/07/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49029.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFX 144A  | CUSIP: 46645WBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23176000 | PA      | $18992732.00   | 0.23%             | 2033-07-05      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/20/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1478176.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 782804 FH 11/34 FLOATING VAR          | CUSIP: 31349UDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1097 | PA      | $1122.95       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A           | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3257760.64    | 0.04%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                       | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6100000 | PA      | $6110242.51    | 0.07%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-BA                   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 BA A2 144A    | CUSIP: 858933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   48900000 | PA      | $49114133.10   | 0.59%             | 2028-05-22      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| USB AUTO OWNER TRUST 2025-1A                                                     | USB AUTO OWNER TRUST USCAR 2025 1A A2 144A              | CUSIP: 90367VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7527390.00    | 0.09%             | 2028-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-84                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 84 2A1        | CUSIP: 12668BAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1115356 | PA      | $1037447.68    | 0.01%             | 2036-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-59095.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                              | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A        | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6061630 | PA      | $5820741.53    | 0.07%             | 2037-12-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004746 G2 07/40 FIXED 4.5                  | CUSIP: 36202FHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71890 | PA      | $72354.84      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                             | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1284323 | PA      | $1286365.66    | 0.02%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9200000 | PA      | $9209660.00    | 0.11%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 4A2         | CUSIP: 05950TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21753 | PA      | $17640.65      | 0.00%             | 2046-11-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A      | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17146836 | PA      | $17116242.95   | 0.21%             | 2053-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 1A          | CUSIP: 54251UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1115210 | PA      | $717403.57     | 0.01%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2001662 | PA      | $1598923.37    | 0.02%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A  | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3238870 | PA      | $2746561.76    | 0.03%             | 2033-07-05      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8809 FR 03/55 FIXED 7               | CUSIP: 31426FYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3842835 | PA      | $4054219.71    | 0.05%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        388 | PA      | $373.37        | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M2         | CUSIP: 86358EAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3730754 | PA      | $3924689.20    | 0.05%             | 2033-04-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                               | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A          | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1185822 | PA      | $1185310.24    | 0.01%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 8 A1 144A                   | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1399210 | PA      | $1399228.34    | 0.02%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-2                                               | HOME EQUITY ASSET TRUST HEAT 2005 2 M6                  | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1156888 | PA      | $1150380.87    | 0.01%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C                                        | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2019 C A2FX 144A    | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8811479 | PA      | $8516363.50    | 0.10%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2024-2                                              | DELL EQUIPMENT FINANCE TRUST DEFT 2024 2 A2 144A        | CUSIP: 24704EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4873083 | PA      | $4883850.03    | 0.06%             | 2030-08-22      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-D                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 D A               | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        993 | PA      | $931.31        | 0.00%             | 2028-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20281 | PA      | $21664.36      | 0.00%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C                                        | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A     | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     717187 | PA      | $673769.53     | 0.01%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2025-A                                            | MERCEDES BENZ AUTO LEASE TRUST MBALT 2025 A A2A         | CUSIP: 58768YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67100000 | PA      | $67552186.90   | 0.81%             | 2028-04-17      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2186 FR 04/55 FIXED 6.5             | CUSIP: 31426LNC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263202 | PA      | $272286.68     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-936470.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR               | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2145 | PA      | $2146.25       | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8445 FR 07/54 FIXED 5               | CUSIP: 3132DWL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     436312 | PA      | $433543.26     | 0.01%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8811 FR 03/55 FIXED 7               | CUSIP: 31426FYH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3152564 | PA      | $3318722.51    | 0.04%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780870 FH 09/33 FLOATING VAR          | CUSIP: 31342A6F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4570 | PA      | $4676.10       | 0.00%             | 2033-09-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 2 A1           | CUSIP: 576429AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5154537 | PA      | $4737179.54    | 0.06%             | 2047-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1         | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4865 | PA      | $7276.86       | 0.00%             | 2032-03-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A          | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3760291 | PA      | $3781218.91    | 0.05%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                                | EXETER SELECT AUTOMOBILE RECEI ESART 2025 2 A2          | CUSIP: 30185EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $703469.55     | 0.01%             | 2029-06-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3441 FN 08/38 FIXED 4                       | CUSIP: 31418CZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110697 | PA      | $108989.83     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783294 G2 03/41 FIXED 4.5                  | CUSIP: 36241LUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60465 | PA      | $59554.63      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A         | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18200000 | PA      | $18354838.32   | 0.22%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2019-2                                                 | NELNET STUDENT LOAN TRUST NSLT 2019 2A A 144A           | CUSIP: 64034NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12962205 | PA      | $12984204.94   | 0.16%             | 2067-06-27      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2007-S                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD3 A         | CUSIP: 07387LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469799 | PA      | $443595.61     | 0.01%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254855 FN 09/33 FLOATING VAR                  | CUSIP: 31371LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4339 | PA      | $4428.85       | 0.00%             | 2033-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                                    | ACE SECURITIES CORP. ACE 2006 ASP5 A2D                  | CUSIP: 004422AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2023275 | PA      | $672009.70     | 0.01%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                                         | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                  | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2404615 | PA      | $2408190.93    | 0.03%             | 2034-11-16      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                     | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1811779 | PA      | $1830785.58    | 0.02%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-3                                                           | LEHMAN XS TRUST LXS 2007 3 2A3                          | CUSIP: 525245AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10021659 | PA      | $9383515.90    | 0.11%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7376 FN 04/55 FIXED 7                       | CUSIP: 3140B8FS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2129603 | PA      | $2234313.07    | 0.03%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9531115.93   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40500 03/01/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-33916.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-38891.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                          | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1      | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356972 | PA      | $270435.78     | 0.00%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM1                                                     | ACE SECURITIES CORP. ACE 2004 FM1 M1                    | CUSIP: 004421DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592671 | PA      | $591516.30     | 0.01%             | 2033-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 689306 FN 02/33 FLOATING VAR                  | CUSIP: 31400JYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5887 | PA      | $5907.70       | 0.00%             | 2033-02-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3562 FN 04/38 FIXED VAR                     | CUSIP: 3140XJ5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51149 | PA      | $49024.59      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-B                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 B A3           | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   52300000 | PA      | $52893782.82   | 0.64%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A     | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1373549 | PA      | $1392880.45    | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-3A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2024 3A A3           | CUSIP: 30165AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     533101 | PA      | $533849.85     | 0.01%             | 2027-12-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 NB4       | CUSIP: 761118NB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592997 | PA      | $520255.54     | 0.01%             | 2035-12-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                              | MFRA TRUST MFRA 2023 NQM2 A1 144A                       | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4693774 | PA      | $4653778.31    | 0.06%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5314 FN 02/44 FIXED 6.5                     | CUSIP: 31418E3Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7366589 | PA      | $7633660.28    | 0.09%             | 2044-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A     | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5475101 | PA      | $4984061.30    | 0.06%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNRT-3A                                                                          | GENERATE CLO LTD. GNRT 3A A2R 144A                      | CUSIP: 98625UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   50000000 | PA      | $50383636.00   | 0.61%             | 2036-10-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A          | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12552418 | PA      | $6624434.44    | 0.08%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A3        | CUSIP: 17309RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890041 | PA      | $1799652.53    | 0.02%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                                                | CIM TRUST CIM 2022 R2 A1 144A                           | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9089446 | PA      | $8687837.58    | 0.10%             | 2061-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TR 1998-2                                                   | AFC HOME EQUITY LOAN TRUST AFC 1998 2 1A                | CUSIP: 00105HDM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50437 | PA      | $49869.05      | 0.00%             | 2028-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0130 FN 12/42 FIXED 3.5                     | CUSIP: 3138NWEC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9679 | PA      | $9134.36       | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63197 | PA      | $61507.91      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A          | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4808038 | PA      | $4737939.86    | 0.06%             | 2053-04-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A          | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1359525 | PA      | $1364321.98    | 0.02%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.68000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-57317.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR6                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR6 1A1       | CUSIP: 32051GJ22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     371307 | PA      | $337326.13     | 0.00%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF1       | CUSIP: 59024KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77640 | PA      | $74963.26      | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30277902 | PA      | $27726562.11   | 0.33%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV2          | CUSIP: 126670HK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3895552 | PA      | $3836994.32    | 0.05%             | 2036-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-3                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 3 A3                 | CUSIP: 14319BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3262244 | PA      | $3286831.42    | 0.04%             | 2028-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-3                                                | VERUS SECURITIZATION TRUST VERUS 2022 3 A1 144A         | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5966317 | PA      | $5751938.17    | 0.07%             | 2067-02-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5248 FN 01/54 FIXED 6.5                     | CUSIP: 31418EZN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     329633 | PA      | $341052.50     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8391 FN 12/42 FIXED 3.5                     | CUSIP: 3138MQKD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95608 | PA      | $90253.94      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SACO I INC 2005-3                                                                | SACO I TRUST SACO 2005 3 M1 144A                        | CUSIP: 785778EV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42573 | PA      | $42681.70      | 0.00%             | 2035-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-6                                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 6 3A1          | CUSIP: 576433NS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     619918 | PA      | $558306.41     | 0.01%             | 2034-07-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 1A4        | CUSIP: 466285AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2893514 | PA      | $2473466.02    | 0.03%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 12 M1         | CUSIP: 07384M6U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293723 | PA      | $239201.13     | 0.00%             | 2035-02-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AP3                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AP3 M1          | CUSIP: 65535VGB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6399291 | PA      | $6357443.80    | 0.08%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A    | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1612376.96    | 0.02%             | 2040-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4285 FN 07/37 FIXED 2.5                     | CUSIP: 3140QPXP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30753 | PA      | $28950.31      | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     669311 | PA      | $670047.15     | 0.01%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-215612.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A           | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3917009 | PA      | $3762525.29    | 0.05%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                                   | KKR FINANCIAL CLO LTD KKR 21 A 144A                     | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     314462 | PA      | $314778.61     | 0.00%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H08 FC          | CUSIP: 38380L7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207040 | PA      | $207601.33     | 0.00%             | 2070-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2025-1A                                              | FCCU AUTO RECEIVABLES TRUST FCCU 2025 1A A2 144A        | CUSIP: 31424YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8769011 | PA      | $8799522.00    | 0.11%             | 2029-01-16      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO VI 2016-6A                                                   | MIDOCEAN CREDIT CLO MIDO 2016 6A ARRR 144A              | CUSIP: 59802XBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10006765 | PA      | $10016167.10   | 0.12%             | 2033-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU1888 FN 09/51 FIXED 4                       | CUSIP: 3140M3C24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314835 | PA      | $299440.71     | 0.00%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                  | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269026 | PA      | $190802.30     | 0.00%             | 2047-01-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 M                   | CUSIP: 12669F7C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1048376 | PA      | $654400.47     | 0.01%             | 2034-11-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.87200 04/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1240657.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1       | CUSIP: 07387YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1111404 | PA      | $1104114.19    | 0.01%             | 2037-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A   | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5680506 | PA      | $5639463.55    | 0.07%             | 2035-02-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6433 FN 03/55 FIXED 7                       | CUSIP: 3140B7EF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6334884 | PA      | $6677507.35    | 0.08%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A  | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510372 | PA      | $496719.31     | 0.01%             | 2033-07-05      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-2                                           | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M4            | CUSIP: 126673J45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11363836 | PA      | $10894858.62   | 0.13%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1          | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35606 | PA      | $35540.14      | 0.00%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2003-S                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD1 A         | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207427 | PA      | $215011.68     | 0.00%             | 2033-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3418293 | PA      | $3135744.82    | 0.04%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A     | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3851191 | PA      | $3627723.51    | 0.04%             | 2063-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A        | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6506200.09    | 0.08%             | 2034-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21668 | PA      | $21917.09      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   30000000 | PA      | $30135000.00   | 0.36%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3          | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1302300.22    | 0.02%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A        | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5038679 | PA      | $4684749.37    | 0.06%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM1 A1 144A                | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     711208 | PA      | $719636.13     | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J1 1A1                 | CUSIP: 126694XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3346507 | PA      | $1446278.11    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX4                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX4 2A1       | CUSIP: 456687AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5052509 | PA      | $4673396.49    | 0.06%             | 2037-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4          | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3172101 | PA      | $3164259.57    | 0.04%             | 2035-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2021-2A                                          | HERTZ VEHICLE FINANCING LLC HERTZ 2021 2A A 144A        | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5321000 | PA      | $5189069.53    | 0.06%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| BX-2021-LBA                                                                      | BX TRUST BX 2021 LBA AV 144A                            | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4151751 | PA      | $4152064.32    | 0.05%             | 2036-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                               | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001250.00    | 0.01%             | 2035-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A       | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12600000 | PA      | $12798720.90   | 0.15%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49950867 | PA      | $47531324.66   | 0.57%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                            | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A        | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22467042 | PA      | $3777994.95    | 0.05%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 18 1A1                 | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68046 | PA      | $29140.88      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A5         | CUSIP: 45660NU45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55341 | PA      | $44641.04      | 0.00%             | 2034-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3084110 | PA      | $2852363.27    | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A   | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4807506 | PA      | $4685573.79    | 0.06%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                             | ACRES PLC ACRES 2025 FL3 A 144A                         | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   10200000 | PA      | $10234288.32   | 0.12%             | 2040-08-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL                                          | MTN COMMERCIAL MORTGAGE TRUST MTN 2022 LPFL A 144A      | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6165000 | PA      | $6166114.02    | 0.07%             | 2039-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2A 144A   | CUSIP: 55287XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25264486 | PA      | $25340977.17   | 0.30%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1       | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3209950 | PA      | $1475751.86    | 0.02%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3681465.31    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                 | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7400000 | PA      | $7409250.00    | 0.09%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0181 FN 08/47 FIXED 4                       | CUSIP: 3140Q7FX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57059 | PA      | $54877.11      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A2 144A        | CUSIP: 505709AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     871691 | PA      | $872347.79     | 0.01%             | 2027-11-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/29 2.375                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8900000 | PA      | $8514101.52    | 0.10%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                    | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5205564.42    | 0.06%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775198 FN 05/34 FLOATING VAR                  | CUSIP: 31404QGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7600 | PA      | $7741.87       | 0.00%             | 2034-05-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A2 144A    | CUSIP: 78436XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1062570 | PA      | $1064150.96    | 0.01%             | 2028-05-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF2 A1 144A                | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     789306 | PA      | $773759.21     | 0.01%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FLD1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FLD1 M7       | CUSIP: 46626LAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9175298.00    | 0.11%             | 2035-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1        | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307459 | PA      | $289245.12     | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6623277.08    | 0.08%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A1         | CUSIP: 41161PFR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37341 | PA      | $34737.53      | 0.00%             | 2034-08-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                               | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4004041.60    | 0.05%             | 2029-08-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4228 FN 07/37 FIXED 2.5                     | CUSIP: 3140QPVW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     798235 | PA      | $751144.06     | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5272 FN 02/54 FIXED 6                       | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161347 | PA      | $165307.99     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-2                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 2 M5            | CUSIP: 126673ZG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10028339 | PA      | $10034131.08   | 0.12%             | 2035-08-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR5                                                          | BCAP LLC TRUST BCAP 2014 RR5 1A2 144A                   | CUSIP: 05544GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8567543 | PA      | $7943893.78    | 0.10%             | 2036-01-26      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4277 FN 01/27 FIXED 3                       | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12069 | PA      | $11968.25      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                                     | ACE SECURITIES CORP. ACE 2003 OP1 M1                    | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429220 | PA      | $431094.87     | 0.01%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2           | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3103943.82    | 0.04%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5583 FN 11/52 FIXED 5.5                     | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263955 | PA      | $267405.97     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-76488.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5461 FN 01/39 FIXED VAR                     | CUSIP: 3140JAB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     837567 | PA      | $824632.97     | 0.01%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REGATTA XIX FUNDING LTD                                                          | REGATTA XIX FUNDING LTD REG19 2022 1A A1 144A           | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2101479.37    | 0.03%             | 2035-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A   | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3007203 | PA      | $2919627.18    | 0.04%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| VCAT LLC 2025-NPL2                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL2 A1 144A   | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3438577 | PA      | $3446972.63    | 0.04%             | 2055-01-25      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                           | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                    | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703116 | PA      | $714357.84     | 0.01%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A3          | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5900000 | PA      | $5962666.26    | 0.07%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE2230 FR 05/52 FIXED 3               | CUSIP: 3133BBPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1010197 | PA      | $889090.82     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A3 144A        | CUSIP: 505920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1073151 | PA      | $1080621.33    | 0.01%             | 2028-08-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1329 FR 04/55 FIXED 7               | CUSIP: 31426KPP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611925 | PA      | $641635.13     | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB       | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387681 | PA      | $370118.39     | 0.00%             | 2033-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                        | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A               | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3507875.00    | 0.04%             | 2034-10-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A2 144A    | CUSIP: 14688XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     494828 | PA      | $495637.77     | 0.01%             | 2028-05-10      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1269369.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC                                   | READYCAP COMMERCIAL MORTGAGE T RCMT 2023 FL11 A 144A    | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18394 | PA      | $18450.31      | 0.00%             | 2039-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 M          | CUSIP: 86358HSD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615366 | PA      | $646283.33     | 0.01%             | 2033-10-19      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-5                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 5 MV2         | CUSIP: 73316PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3854628 | PA      | $3608714.55    | 0.04%             | 2035-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXV LTD                                                    | MADISON PARK FUNDING LTD MDPK 2019 35A A1R 144A         | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2115341 | PA      | $2119559.52    | 0.03%             | 2032-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 2B1        | CUSIP: 07384M4W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     860873 | PA      | $808956.55     | 0.01%             | 2035-01-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 A2 144A      | CUSIP: 69545GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     499947 | PA      | $501252.75     | 0.01%             | 2032-10-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/12/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-184608.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2024-B                                                    | TESLA AUTO LEASE TRUST TESLA 2024 B A2A 144A            | CUSIP: 881934AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     934685 | PA      | $935671.25     | 0.01%             | 2027-01-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 HE1 M1        | CUSIP: 07384YPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     968840 | PA      | $982037.46     | 0.01%             | 2034-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FD          | CUSIP: 38375BD74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481529 | PA      | $480449.59     | 0.01%             | 2062-12-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                                         | BCAP LLC TRUST BCAP 2008 IND1 A1                        | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11440151 | PA      | $8573431.22    | 0.10%             | 2047-10-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL5 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL5 A1 144A   | CUSIP: 74143QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1986473 | PA      | $1989201.56    | 0.02%             | 2054-09-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1       | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1177915 | PA      | $1080875.09    | 0.01%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15854795 | PA      | $14470084.51   | 0.17%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 1A1                 | CUSIP: 12669GUH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267191 | PA      | $234748.88     | 0.00%             | 2035-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A         | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4688739 | PA      | $4682695.17    | 0.06%             | 2055-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-2                                               | ALLY AUTO RECEIVABLES TRUST ALLYA 2024 2 A3             | CUSIP: 02007NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3509587.90    | 0.04%             | 2029-07-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                                | EXETER SELECT AUTOMOBILE RECEI ESART 2025 2 A1          | CUSIP: 30185EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1037313 | PA      | $1037631.81    | 0.01%             | 2026-08-17      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0936 FN 12/48 FIXED 4                       | CUSIP: 3140JHBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39452 | PA      | $37950.54      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B                | CUSIP: 12669FY31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32487 | PA      | $28501.60      | 0.00%             | 2034-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6B       | CUSIP: 17307GVM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175645 | PA      | $165502.71     | 0.00%             | 2035-08-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                                                    | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 1A        | CUSIP: 07384YLH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465504 | PA      | $433935.11     | 0.01%             | 2043-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA9467 FN 02/54 FIXED 6                       | CUSIP: 3140YXQV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157514 | PA      | $161533.75     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                       | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79756 | PA      | $76614.26      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    9750000 | PA      | $9784626.83    | 0.12%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7133 FN 02/47 FIXED 4                       | CUSIP: 3140FS4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31803 | PA      | $30593.27      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING V CLO LTD 2016-5A                                                  | CEDAR FUNDING LTD CEDF 2016 5A A1R 144A                 | CUSIP: 15032AAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2488638 | PA      | $2492765.76    | 0.03%             | 2031-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A         | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4681213.06    | 0.06%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                     | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3184760 | PA      | $3225252.48    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 M2 144A         | CUSIP: 89177XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11615000 | PA      | $11981413.76   | 0.14%             | 2059-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                         | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      80313 | PA      | $80526.98      | 0.00%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                                               | FANNIE MAE FNR 2001 62 FC                               | CUSIP: 31392ADL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9759 | PA      | $9780.40       | 0.00%             | 2031-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC3                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC3 M5            | CUSIP: 61744CQB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2248002 | PA      | $2194801.91    | 0.03%             | 2035-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.0* 8/09/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $317532.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                    | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1501603 | PA      | $1503823.39    | 0.02%             | 2030-09-07      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                                               | FANNIE MAE FNR 2002 25 FX                               | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1207 | PA      | $1216.22       | 0.00%             | 2032-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4           | CUSIP: 126670LS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5341053.80    | 0.06%             | 2036-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                 | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001965.52    | 0.01%             | 2035-01-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5740 FR 05/54 FIXED 7               | CUSIP: 3133WCLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3445465 | PA      | $3617031.68    | 0.04%             | 2054-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 6A1       | CUSIP: 45661KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400895 | PA      | $320183.60     | 0.00%             | 2036-06-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4580 FN 02/43 FIXED VAR                     | CUSIP: 3140XLCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     255955 | PA      | $250337.58     | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 5A1              | CUSIP: 45254TRS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     837178 | PA      | $528899.13     | 0.01%             | 2035-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1             | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1511626 | PA      | $1458385.35    | 0.02%             | 2034-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A3L             | CUSIP: 46628BBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1073878 | PA      | $604188.44     | 0.01%             | 2036-10-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BKD 2004-FF2                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF2 M6          | CUSIP: 32027NHN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1764933 | PA      | $1692816.61    | 0.02%             | 2034-03-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A  | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5756733 | PA      | $5224390.75    | 0.06%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ACREC 2025-FL3 LLC                                                               | ACREC LLC ACREC 2025 FL3 A 144A                         | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6400000 | PA      | $6401866.69    | 0.08%             | 2042-08-18      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                       | PRP ADVISORS, LLC PRPM 2024 RCF4 A1 144A                | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     722690 | PA      | $713209.51     | 0.01%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0771 FR 06/37 FIXED 3               | CUSIP: 3132CW2C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     843848 | PA      | $809833.04     | 0.01%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3017 FN 12/45 FIXED 4                       | CUSIP: 3140E7K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     196261 | PA      | $188797.51     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                  | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5246479 | PA      | $5392664.26    | 0.06%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $71973.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M2 144A        | CUSIP: 59982HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2651655.00    | 0.03%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1159 G2 07/43 FIXED 4.5                  | CUSIP: 36179NJC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17515 | PA      | $17628.52      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1       | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1578 | PA      | $1588.34       | 0.00%             | 2030-11-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2           | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10439 | PA      | $10215.47      | 0.00%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LN TRUST 2005-D                                          | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 D M1          | CUSIP: 64352VPQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5287943 | PA      | $5152774.37    | 0.06%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 MV6          | CUSIP: 126670BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $5712693.74    | 0.07%             | 2036-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4008001 | PA      | $4061677.49    | 0.05%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE6 A2             | CUSIP: 61744CFA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5860680 | PA      | $5509144.68    | 0.07%             | 2034-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0282 FN 10/48 FIXED 4                       | CUSIP: 3140HDJ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197638 | PA      | $189813.91     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2003-4                                                | MASTR ALTERNATIVE LOANS TRUST MALT 2003 4 B1            | CUSIP: 576434EW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203041 | PA      | $130507.55     | 0.00%             | 2033-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A     | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1235501.02    | 0.01%             | 2057-09-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO4 2A1        | CUSIP: 75114GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     918528 | PA      | $864955.92     | 0.01%             | 2046-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2023 2 A3          | CUSIP: 362583AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     920446 | PA      | $922196.73     | 0.01%             | 2028-02-16      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR               | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        742 | PA      | $741.95        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1897 FR 04/39 FIXED 4               | CUSIP: 3132AEDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133711 | PA      | $131601.32     | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5008 FR 08/39 FIXED 4               | CUSIP: 3133KYR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1809599 | PA      | $1777937.99    | 0.02%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 M1              | CUSIP: 590219AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4319096 | PA      | $3894828.90    | 0.05%             | 2036-05-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-71                                                               | FANNIE MAE FNR 2002 71 A                                | CUSIP: 31392FDZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433000 | PA      | $430714.11     | 0.01%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A     | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1795961 | PA      | $1803263.18    | 0.02%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR5                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR5 3A1       | CUSIP: 76112BYB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760655 | PA      | $619299.81     | 0.01%             | 2035-09-19      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COLT 2022-9 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2022 9 B1 144A                    | CUSIP: 19688PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7516000 | PA      | $7494794.36    | 0.09%             | 2067-12-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR5 B1         | CUSIP: 22540VLG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81419 | PA      | $75782.76      | 0.00%             | 2039-12-19      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 14A1        | CUSIP: 07384MH70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24777 | PA      | $21422.79      | 0.00%             | 2034-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                       | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A             | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2604670.56    | 0.03%             | 2034-10-23      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 CB7         | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91437 | PA      | $84414.75      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-2A                                                      | AFFIRM MASTER TRUST AFRMT 2025 2A A 144A                | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7400000 | PA      | $7447031.44    | 0.09%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48031 | PA      | $45149.51      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43413 FG 10/46 FIXED 3               | CUSIP: 3132WGYK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308038 | PA      | $278909.09     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A    | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520478 | PA      | $507042.76     | 0.01%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2190226.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC9480 FR 10/51 FIXED 4               | CUSIP: 3133AUQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77871 | PA      | $73659.53      | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2001-W1                                                    | FANNIEMAE WHOLE LOAN FNW 2001 W1 AV1                    | CUSIP: 31359S2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24689 | PA      | $23745.86      | 0.00%             | 2031-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A           | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     723462 | PA      | $727648.47     | 0.01%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1       | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72237 | PA      | $40755.44      | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-4                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 4 M2                  | CUSIP: 43739EBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6157765 | PA      | $6164120.17    | 0.07%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 3 A3          | CUSIP: 10805NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10336171 | PA      | $10359356.56   | 0.12%             | 2028-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0261 FN 07/48 FIXED 4                       | CUSIP: 3140HDJF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14086 | PA      | $13538.88      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H B1          | CUSIP: 05948XTN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369446 | PA      | $312718.61     | 0.00%             | 2033-09-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC            | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR          | CUSIP: 74042JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   17002836 | PA      | $16195201.53   | 0.19%             | 2038-03-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8134 FN 09/45 FIXED 3.5                     | CUSIP: 3140E1BC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114469 | PA      | $107096.04     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $561969.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1              | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9021 | PA      | $2549.05       | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3592 | PA      | $3355.73       | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8308 FR 03/53 FIXED 5.5             | CUSIP: 3132DWGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4713463 | PA      | $4776543.82    | 0.06%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3          | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6436978 | PA      | $6470730.52    | 0.08%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A4         | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2652698.88    | 0.03%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 5 A1 144A                   | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     984541 | PA      | $986203.10     | 0.01%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A         | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32800000 | PA      | $32718961.04   | 0.39%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4317 FN 01/49 FIXED 4                       | CUSIP: 3140JLYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10791 | PA      | $10418.72      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A2 144A            | CUSIP: 16144QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     813860 | PA      | $814467.29     | 0.01%             | 2027-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A2 144A         | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1355299 | PA      | $1356403.51    | 0.02%             | 2027-10-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2      | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6103 | PA      | $6064.08       | 0.00%             | 2036-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A            | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     746454 | PA      | $754554.91     | 0.01%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9700000 | PA      | $9549263.94    | 0.11%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-A               | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 A B1 144A     | CUSIP: 16678RBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     557406 | PA      | $453459.68     | 0.01%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A           | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6424463.87    | 0.08%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A       | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1213711 | PA      | $1220118.32    | 0.01%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.25000 06/17/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-461459.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 4A2         | CUSIP: 61748HEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11099 | PA      | $10845.36      | 0.00%             | 2034-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-MTR1                                                 | GSAA HOME EQUITY TRUST GSAA 2005 MTR1 M1                | CUSIP: 362341UE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3511516.68    | 0.04%             | 2035-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A     | CUSIP: 126671ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93360 | PA      | $95603.26      | 0.00%             | 2032-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A           | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6160513 | PA      | $5661471.46    | 0.07%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178632 | PA      | $167069.28     | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M2 144A     | CUSIP: 126405AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9794500 | PA      | $7535369.19    | 0.09%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39470 | PA      | $38108.92      | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A        | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11085868 | PA      | $9453359.65    | 0.11%             | 2046-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2003-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2003 5 A3          | CUSIP: 68400XBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23470 | PA      | $25880.31      | 0.00%             | 2033-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14800000 | PA      | $13915198.43   | 0.17%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1435 FR 05/52 FIXED 3               | CUSIP: 3133BASY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     508232 | PA      | $447831.38     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A       | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1053024 | PA      | $976697.96     | 0.01%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H06 FA          | CUSIP: 38375BKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48878 | PA      | $48872.83      | 0.00%             | 2061-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A4 144A    | CUSIP: 14687RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9457000 | PA      | $9758551.58    | 0.12%             | 2029-11-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A     | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     305040 | PA      | $303347.19     | 0.00%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-58                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 58 M                   | CUSIP: 12669E6K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5224 | PA      | $5015.74       | 0.00%             | 2034-02-19      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20508628.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A   | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3948284 | PA      | $3953193.82    | 0.05%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25536756 | PA      | $23348297.31   | 0.28%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A             | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3135151 | PA      | $2642043.78    | 0.03%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR          | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1988 | PA      | $2035.70       | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3         | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29761 | PA      | $27703.54      | 0.00%             | 2033-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8200000 | PA      | $8228063.02    | 0.10%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 B1        | CUSIP: 939336PS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327803 | PA      | $312657.18     | 0.00%             | 2033-02-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A5                 | CUSIP: 12669GKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286784 | PA      | $262827.73     | 0.00%             | 2035-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR3 1A1        | CUSIP: 86359LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3497950 | PA      | $3364059.13    | 0.04%             | 2035-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB3 M                 | CUSIP: 12669FZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1138934 | PA      | $1070798.20    | 0.01%             | 2034-06-20      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A      | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     329042 | PA      | $330814.68     | 0.00%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781418 FH 04/34 FLOATING VAR          | CUSIP: 31349SSF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2620 | PA      | $2693.55       | 0.00%             | 2034-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                                          | TIAA CLO LTD TIA 2018 1A A1AR 144A                      | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14827561 | PA      | $14838505.21   | 0.18%             | 2032-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP JPS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2.75          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1        | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82319 | PA      | $73955.93      | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080309 G2 08/29 FLOATING VAR               | CUSIP: 36225CKX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1537 | PA      | $1540.02       | 0.00%             | 2029-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2020-2A                                            | ECMC GROUP STUDENT LOAN TRUST ECMC 2020 2A A 144A       | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4609694 | PA      | $4663778.75    | 0.06%             | 2069-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                                    | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                  | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1210670 | PA      | $1212350.86    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MORTGAGE SECURITIES VII 1997-LB6                                | SALOMON BROTHERS MORTGAGE SECU SBM7 1997 LB6 B2         | CUSIP: 79548KYB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340821 | PA      | $64016.50      | 0.00%             | 2027-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M2        | CUSIP: 073879PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892021 | PA      | $1975721.37    | 0.02%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323890 FN 05/36 FLOATING VAR                  | CUSIP: 31374TXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1034.96       | 0.00%             | 2036-05-01      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A      | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1885803 | PA      | $1929037.41    | 0.02%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8376406 | PA      | $8382296.40    | 0.10%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A3 144A    | CUSIP: 96042YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1410238.76    | 0.02%             | 2028-02-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 1A2           | CUSIP: 88522YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14205679 | PA      | $7951868.72    | 0.10%             | 2037-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                                    | LENDMARK FUNDING TRUST LFT 2024 2A A 144A               | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1602869.28    | 0.02%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A3        | CUSIP: 86359LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56183 | PA      | $53171.17      | 0.00%             | 2034-03-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1525 FN 08/43 FIXED 3.5                     | CUSIP: 31418AVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15314 | PA      | $14446.58      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2024 INV1 A1 144A      | CUSIP: 92540FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10905455 | PA      | $11040865.98   | 0.13%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A3 144A         | CUSIP: 78437PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2653657 | PA      | $2664887.76    | 0.03%             | 2028-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1286311 | PA      | $1299893.91    | 0.02%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A       | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433002 | PA      | $403663.08     | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M2                  | CUSIP: 040104NE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37500000 | PA      | $35163123.75   | 0.42%             | 2035-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                             | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48910009 | PA      | $48948036.18   | 0.59%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1         | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4609189 | PA      | $4168754.79    | 0.05%             | 2046-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29308 | PA      | $27057.91      | 0.00%             | 2036-02-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5485                                                          | FREDDIE MAC FHR 5485 BF                                 | CUSIP: 3137HHLA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1780354 | PA      | $1790109.04    | 0.02%             | 2054-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2003-A5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A5 B1          | CUSIP: 5899293Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4915 | PA      | $0.05          | 0.00%             | 2033-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A      | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     751005 | PA      | $751066.48     | 0.01%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A1         | CUSIP: 86361GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5883025 | PA      | $3654502.09    | 0.04%             | 2036-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A    | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3573057 | PA      | $3569713.78    | 0.04%             | 2055-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-9                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A1          | CUSIP: 863579QW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315450 | PA      | $250211.95     | 0.00%             | 2035-05-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22213135 | PA      | $21469650.44   | 0.26%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A     | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4441068 | PA      | $4422785.20    | 0.05%             | 2061-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14788 | PA      | $14675.53      | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 13 A8                  | CUSIP: 12669GC82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240473 | PA      | $664685.44     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 1A A2 144A    | CUSIP: 81885BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3770350 | PA      | $3776627.21    | 0.05%             | 2028-05-22      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES C 2005-KS6                                          | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS6 M8         | CUSIP: 76110WZ58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2887239.00    | 0.03%             | 2035-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 AA        | CUSIP: 17307GMC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43916 | PA      | $41970.71      | 0.00%             | 2034-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-756144.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3       | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2756157 | PA      | $2626112.67    | 0.03%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3144 FN 11/47 FIXED VAR                     | CUSIP: 3140J7P66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11598 | PA      | $11156.44      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                                            | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A            | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1004039 | PA      | $1005116.20    | 0.01%             | 2031-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5002 FR 07/39 FIXED 4               | CUSIP: 3133KYRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2037862 | PA      | $2003726.76    | 0.02%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12499906 | PA      | $12626742.79   | 0.15%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R1                                                                | CIM TRUST CIM 2022 R1 A1 144A                           | CUSIP: 12571YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2794136 | PA      | $2618670.13    | 0.03%             | 2061-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-2                                      | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2022 2 A1 144A      | CUSIP: 24380XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1477492 | PA      | $1445297.65    | 0.02%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 M                 | CUSIP: 12669D3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770494 | PA      | $699692.84     | 0.01%             | 2033-07-19      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A4                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A4 A1          | CUSIP: 45660LHD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3192684 | PA      | $1595993.27    | 0.02%             | 2035-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5295411 | PA      | $5309028.89    | 0.06%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2014-5A                                                              | OCP CLO LTD OCP 2014 5A A1R 144A                        | CUSIP: 67102SAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     179431 | PA      | $179538.36     | 0.00%             | 2031-04-26      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A1A       | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7303320 | PA      | $5215989.46    | 0.06%             | 2037-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A3 144A        | CUSIP: 505709AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1205203.44    | 0.01%             | 2029-03-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A      | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1366459 | PA      | $1367997.53    | 0.02%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2019-A                                             | COLLEGE AVE STUDENT LOANS CASL 2019 A A2 144A           | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6366884 | PA      | $6117771.35    | 0.07%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $43831.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2            | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10800000 | PA      | $10803286.44   | 0.13%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A3        | CUSIP: 12667GL92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1744325 | PA      | $1666220.70    | 0.02%             | 2035-08-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A5               | CUSIP: 07386HRC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991709 | PA      | $810912.78     | 0.01%             | 2035-04-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900681 | PA      | $409727.14     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC3                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M3         | CUSIP: 84751PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8184653 | PA      | $7933318.89    | 0.10%             | 2036-06-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 M                   | CUSIP: 12669EF68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137806 | PA      | $136132.13     | 0.00%             | 2033-12-19      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A     | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1619858 | PA      | $1626675.38    | 0.02%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1        | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1313954 | PA      | $993548.59     | 0.01%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                          | REACH FINANCIAL LLC REACH 2025 2A A 144A                | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5464186 | PA      | $5487374.01    | 0.07%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A2 144A      | CUSIP: 706916AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500512.25     | 0.01%             | 2028-09-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701305 FN 06/33 FLOATING VAR                  | CUSIP: 31400YDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43201 | PA      | $44819.59      | 0.00%             | 2033-06-01      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6 LLC                                                                  | PRP ADVISORS, LLC PRPM 2024 6 A1 144A                   | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900771 | PA      | $901938.38     | 0.01%             | 2029-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 2A2        | CUSIP: 25151XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4094071 | PA      | $3033801.34    | 0.04%             | 2047-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005115 G2 07/41 FIXED 4.5                  | CUSIP: 36202FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123186 | PA      | $123983.11     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV3          | CUSIP: 126670RF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32300000 | PA      | $28128015.71   | 0.34%             | 2036-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                               | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A        | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2793046 | PA      | $2818683.47    | 0.03%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M2        | CUSIP: 17313CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24348000 | PA      | $23599751.87   | 0.28%             | 2037-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A   | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8304593.97    | 0.10%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD 2015-1A                                          | SHENTON AIRCRAFT INVESTMENT LT SHNTN 2015 1A A 144A     | CUSIP: 82321UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    5281660 | PA      | $5121747.02    | 0.06%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A         | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001000.00    | 0.01%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 A2         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17942 | PA      | $17038.85      | 0.00%             | 2034-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2                 | CUSIP: 12669GKG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52445 | PA      | $49222.23      | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A     | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3969387 | PA      | $4019295.10    | 0.05%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A      | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2512720.00    | 0.03%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3               | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7904216 | PA      | $7105373.59    | 0.09%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2861 | PA      | $2888.01       | 0.00%             | 2035-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-2                                                   | FREMONT HOME LOAN TRUST FHLT 2004 2 M1                  | CUSIP: 35729PED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980132 | PA      | $2805276.06    | 0.03%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5        | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164688 | PA      | $152628.40     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A       | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1655649 | PA      | $1657001.06    | 0.02%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES1 A1A 144A  | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004905 | PA      | $1017798.98    | 0.01%             | 2060-01-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M1           | CUSIP: 9497EBAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3970293 | PA      | $3969495.96    | 0.05%             | 2037-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A    | CUSIP: 16678RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199110 | PA      | $187237.46     | 0.00%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                          | REACH FINANCIAL LLC REACH 2024 2A A 144A                | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     433299 | PA      | $435587.09     | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT SMRT 2022 MINI A 144A                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25570000 | PA      | $25546777.33   | 0.31%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                                | CPS AUTO TRUST CPS 2024 D A 144A                        | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1004176 | PA      | $1005753.78    | 0.01%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 2A A2           | CUSIP: 30168JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1479746 | PA      | $1480639.37    | 0.02%             | 2027-06-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A3 144A                    | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1515155.70    | 0.02%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3           | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138841 | PA      | $135630.72     | 0.00%             | 2034-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                                        | FANNIE MAE FNR 2024 88 FD                               | CUSIP: 3136BT6B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1677048 | PA      | $1685497.54    | 0.02%             | 2054-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C                                   | HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 C A3 144A     | CUSIP: 44935VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20196629 | PA      | $20250621.06   | 0.24%             | 2026-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 2A4        | CUSIP: 86363WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21126000 | PA      | $18854931.76   | 0.23%             | 2047-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005017 G2 04/41 FIXED 4.5                  | CUSIP: 36202FSE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54707 | PA      | $55061.12      | 0.00%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080601 G2 05/32 FLOATING VAR               | CUSIP: 36225CU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1382 | PA      | $1382.06       | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R4                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R4 M2          | CUSIP: 03072SRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2524700 | PA      | $2430843.20    | 0.03%             | 2034-06-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1         | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     911722 | PA      | $912759.73     | 0.01%             | 2044-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0053 FH 02/35 FLOATING VAR          | CUSIP: 3128NCBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2426 | PA      | $2473.91       | 0.00%             | 2035-02-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M1        | CUSIP: 46630XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3851000 | PA      | $3766621.51    | 0.05%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1C             | CUSIP: 23332UEP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327177 | PA      | $206045.05     | 0.00%             | 2045-08-19      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4061 FN 10/37 FIXED VAR                     | CUSIP: 3140XKQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     536811 | PA      | $514518.22     | 0.01%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-NC1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1         | CUSIP: 04542BAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130234 | PA      | $132644.03     | 0.00%             | 2032-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1         | CUSIP: 75406WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2926623 | PA      | $2902482.11    | 0.03%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 4 A2A                | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1520313 | PA      | $1523262.13    | 0.02%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M3 144A     | CUSIP: 12656TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3343098 | PA      | $2311539.98    | 0.03%             | 2060-01-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 676823 FN 11/32 FLOATING VAR                  | CUSIP: 31391T4G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6354 | PA      | $6485.18       | 0.00%             | 2032-11-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1        | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62160 | PA      | $59288.54      | 0.00%             | 2036-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A3          | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2224671.46    | 0.03%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A     | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $7686562.96    | 0.09%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A3 144A              | CUSIP: 78437KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3024096.60    | 0.04%             | 2028-04-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7A2          | CUSIP: 007036QT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89491 | PA      | $88929.53      | 0.00%             | 2035-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1          | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29549 | PA      | $29398.66      | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A         | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6099802 | PA      | $6174346.83    | 0.07%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5069684 | PA      | $4469059.02    | 0.05%             | 2046-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1        | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812938 | PA      | $792911.69     | 0.01%             | 2034-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                                | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                 | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6309135.00    | 0.08%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7650 G2 10/51 FIXED 3                    | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     488606 | PA      | $436907.48     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                  | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1297 | PA      | $1313.04       | 0.00%             | 2033-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-68149.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A28             | CUSIP: 46631NBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2366162 | PA      | $740533.59     | 0.01%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266053 | PA      | $258754.17     | 0.00%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260388 | PA      | $253274.61     | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1       | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4178547 | PA      | $4118641.69    | 0.05%             | 2047-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                          | ACHV ABS TRUST ACHV 2024 1PL A 144A                     | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      84816 | PA      | $85633.55      | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2004-3                                               | MASTR ASSET SECURITIZATION TRU MASTR 2004 3 4A9         | CUSIP: 55265K7Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550366 | PA      | $443522.59     | 0.01%             | 2034-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 2A3       | CUSIP: 02150ECA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497139 | PA      | $1119174.32    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 2A1          | CUSIP: 86364CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4349745 | PA      | $4109242.59    | 0.05%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A            | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     881081 | PA      | $892192.40     | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-11                                                 | BEAR STEARNS ALT A TRUST BALTA 2004 11 2A4              | CUSIP: 07386HMY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193173 | PA      | $161523.09     | 0.00%             | 2034-11-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H24 FB          | CUSIP: 38375UBR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221402 | PA      | $222645.70     | 0.00%             | 2063-09-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                       | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3678 | PA      | $3538.44       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2637002.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A      | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4486295 | PA      | $4018894.35    | 0.05%             | 2047-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                                    | COMM MORTGAGE TRUST COMM 2016 787S A 144A               | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3761021.12    | 0.05%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF1                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF1 1A2         | CUSIP: 65536PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200360 | PA      | $36064.50      | 0.00%             | 2036-05-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1188910000 | PA      | $1214436480.27 | 14.61%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M3                | CUSIP: 66987XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23763838 | PA      | $22962483.45   | 0.28%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A   | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965560 | PA      | $569937.38     | 0.01%             | 2037-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3           | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40623 | PA      | $40300.86      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A       | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191189 | PA      | $187653.89     | 0.00%             | 2044-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-5                                                           | LEHMAN XS TRUST LXS 2006 5 1A1A                         | CUSIP: 525221JT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2037712 | PA      | $1779587.13    | 0.02%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX7881 FR 03/55 FIXED 7               | CUSIP: 31426DXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7381774 | PA      | $7743882.20    | 0.09%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A    | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4608679.28    | 0.06%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 B1          | CUSIP: 41161PFX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     616834 | PA      | $444036.32     | 0.01%             | 2034-08-19      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2005-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 1 M5           | CUSIP: 004375CX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     824238 | PA      | $856701.95     | 0.01%             | 2035-04-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                                            | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1        | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111210 | PA      | $109850.40     | 0.00%             | 2031-06-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF11                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF11 M2         | CUSIP: 362341YG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725377 | PA      | $720488.15     | 0.01%             | 2035-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR9                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR9 1M4        | CUSIP: 17310RAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1957275 | PA      | $1946811.35    | 0.02%             | 2036-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A           | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7000000.00    | 0.08%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2D                 | CUSIP: 03076MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000109 | PA      | $889129.01     | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A3 144A    | CUSIP: 02650VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23000000 | PA      | $23071231.00   | 0.28%             | 2030-11-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 06/21/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $459493.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535332 FN 04/30 FIXED VAR                     | CUSIP: 31384VVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1148 | PA      | $1200.89       | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     557060 | PA      | $538648.88     | 0.01%             | 2037-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18993464 | PA      | $19017336.83   | 0.23%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A2          | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     628802 | PA      | $629136.13     | 0.01%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A8       | CUSIP: 92922F3N6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     734552 | PA      | $674745.24     | 0.01%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M3           | CUSIP: 63860FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5483000 | PA      | $5292969.64    | 0.06%             | 2036-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735466 FN 03/35 FLOATING VAR                  | CUSIP: 31402RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2741 | PA      | $2777.96       | 0.00%             | 2035-03-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4962978 | PA      | $4568116.85    | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP3                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A       | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13166646 | PA      | $11330918.26   | 0.14%             | 2035-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     621515 | PA      | $615990.28     | 0.01%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-61626.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9984 FR 04/37 FIXED 3               | CUSIP: 3133GHCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84082 | PA      | $80590.05      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                             | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6900000 | PA      | $6914629.10    | 0.08%             | 2033-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                                            | GSAMP TRUST GSAMP 2005 WMC1 M1                          | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4737466 | PA      | $4700931.72    | 0.06%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3               | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10586 | PA      | $10339.67      | 0.00%             | 2035-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                                    | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M2        | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15546 | PA      | $15250.44      | 0.00%             | 2034-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 4 A                    | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114103 | PA      | $107926.87     | 0.00%             | 2034-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8505 FR 02/55 FIXED 5               | CUSIP: 3132DWNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     345007 | PA      | $342516.46     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A         | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2173008 | PA      | $2190481.54    | 0.03%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2004-FF6                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M2          | CUSIP: 32027NKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1722866 | PA      | $1733962.75    | 0.02%             | 2034-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 1AF4         | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293435 | PA      | $244063.14     | 0.00%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                               | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A    | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3255634 | PA      | $3189766.71    | 0.04%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799664 FN 10/34 FLOATING VAR                  | CUSIP: 31405UMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1799 | PA      | $1831.24       | 0.00%             | 2034-10-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2          | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1203 | PA      | $1201.48       | 0.00%             | 2032-10-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6400000 | PA      | $6407531.20    | 0.08%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-133670.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A1         | CUSIP: 14688AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2700086.40    | 0.03%             | 2026-10-12      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     938599 | PA      | $912352.87     | 0.01%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4               | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     406031 | PA      | $390589.27     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                    | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34697 | PA      | $31491.02      | 0.00%             | 2034-02-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481555 | PA      | $482031.53     | 0.01%             | 2034-06-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                | CIM TRUST CIM 2025 R1 A1 144A                           | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2488969 | PA      | $2477188.13    | 0.03%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3146 FN 06/44 FIXED 4                       | CUSIP: 3138XSP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598723 | PA      | $577380.39     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004978 G2 03/41 FIXED 4.5                  | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     353197 | PA      | $355482.14     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-GEL2                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 M2        | CUSIP: 86359DAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254825 | PA      | $265383.47     | 0.00%             | 2035-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES REMIC PASS-THROUGH CERTIFICATES TRUST SERIES 2005-5 | CITICORP MORTGAGE SECURITIES, CMSI 2005 5 B1            | CUSIP: 1729732F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295212 | PA      | $838832.97     | 0.01%             | 2035-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL1 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL1 A1 144A   | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1930157 | PA      | $1935736.34    | 0.02%             | 2055-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834927 FN 07/35 FLOATING VAR                  | CUSIP: 31407MSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1356 | PA      | $1395.99       | 0.00%             | 2035-07-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $696280.67     | 0.01%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2      | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402633 | PA      | $390978.53     | 0.00%             | 2034-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-210603.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R5                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R5 1A3 144A    | CUSIP: 05990WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63344874 | PA      | $60987082.44   | 0.73%             | 2036-10-26      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC-1997-76                                                         | FANNIE MAE FNR 1997 76 FN                               | CUSIP: 31359QT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $122.56        | 0.00%             | 2027-09-17      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                          | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A      | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2914128.22    | 0.04%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 1A1                 | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7268721 | PA      | $3756848.68    | 0.05%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6432 FN 03/55 FIXED 7                       | CUSIP: 3140B7EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     917378 | PA      | $967980.14     | 0.01%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7828 G2 01/52 FIXED 3                    | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2630740 | PA      | $2352254.13    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2968136 | PA      | $2910537.89    | 0.04%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 3A1        | CUSIP: 855541AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76931 | PA      | $53568.13      | 0.00%             | 2037-01-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A         | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1769087 | PA      | $1775559.73    | 0.02%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                              | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A        | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     174958 | PA      | $175671.14     | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10600000 | PA      | $10613578.07   | 0.13%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A1         | CUSIP: 84751WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22846148 | PA      | $21359414.11   | 0.26%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2003-A15                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A15 1A2        | CUSIP: 45660NWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12943 | PA      | $12281.82      | 0.00%             | 2034-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GREENSTATE AUTO RECEIVABLES TRUST 2024-1A                                        | GREENSTATE AUTO RECEIVABLES TR GRNST 2024 1A A2 144A    | CUSIP: 39573AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     607949 | PA      | $609032.56     | 0.01%             | 2027-08-16      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV5616 FN 12/43 FIXED 3.5                     | CUSIP: 3138XHG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41851 | PA      | $39498.94      | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1C3      | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603802 | PA      | $593088.07     | 0.01%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR33                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR33 3A1       | CUSIP: 45660L5A3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2921991 | PA      | $2650437.29    | 0.03%             | 2036-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A     | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600770 | PA      | $607307.48     | 0.01%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A            | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3539272 | PA      | $3534217.76    | 0.04%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                    | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A               | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7012250.00    | 0.08%             | 2034-07-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14442599 | PA      | $13846625.02   | 0.17%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                              | PRET 2025 NPL10 LLC 10/55 5.2498                        | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3098642.48    | 0.04%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A         | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1003665.60    | 0.01%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 13 A7                  | CUSIP: 12669GC74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2245341 | PA      | $1203182.11    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL A 144A                     | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     306756 | PA      | $307952.13     | 0.00%             | 2032-04-26      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-2R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 2R 3B 144A      | CUSIP: 36249UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11400631 | PA      | $10820713.74   | 0.13%             | 2037-11-26      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $149448.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A      | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     270752 | PA      | $274115.23     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU1913 FN 10/51 FIXED 4                       | CUSIP: 3140M3DT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178974 | PA      | $168996.16     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A          | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1313462 | PA      | $1325484.20    | 0.02%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 2A1       | CUSIP: 45660L2H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2809781 | PA      | $1995972.91    | 0.02%             | 2036-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A2A           | CUSIP: 98164LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5252905 | PA      | $5262283.09    | 0.06%             | 2028-02-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                  | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7719711 | PA      | $7043592.31    | 0.08%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4456042.54   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 1A1              | CUSIP: 45254TRN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1169947 | PA      | $726219.26     | 0.01%             | 2035-07-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1              | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6072702 | PA      | $3793518.27    | 0.05%             | 2035-07-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008989 G2 10/26 FLOATING VAR               | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        846 | PA      | $844.72        | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A        | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1164732 | PA      | $1144947.26    | 0.01%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 5A1          | CUSIP: 05951EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320878 | PA      | $228953.92     | 0.00%             | 2047-01-20      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 783022 FH 02/35 FLOATING VAR          | CUSIP: 31349ULB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4191 | PA      | $4346.61       | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A4 144A           | CUSIP: 80620BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3234036.48    | 0.04%             | 2031-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-2                                                   | FREMONT HOME LOAN TRUST FHLT 2005 2 M5                  | CUSIP: 35729PLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12475980 | PA      | $10761457.29   | 0.13%             | 2035-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                         | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528  | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     682948 | PA      | $685395.49     | 0.01%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 M1                | CUSIP: 66989EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10377575 | PA      | $9682167.51    | 0.12%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A2D        | CUSIP: 590216AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15197042 | PA      | $1686909.66    | 0.02%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-RM1                                                     | ACE SECURITIES CORP. ACE 2004 RM1 M1                    | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9543 | PA      | $9426.86       | 0.00%             | 2034-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A        | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7423650 | PA      | $6371136.70    | 0.08%             | 2046-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5700000.00    | 0.07%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TRUST 2003-WMC2                                         | MASTR ASSET BACKED SECURITIES MABS 2003 WMC2 M6         | CUSIP: 57643LCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590798 | PA      | $621911.93     | 0.01%             | 2033-08-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A      | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $513104.60     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                            | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2263703 | PA      | $2266987.46    | 0.03%             | 2033-04-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANKUNITED TRUST 2005-1                                                          | BANKUNITED TRUST BUMT 2005 1 1A1                        | CUSIP: 06652DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37895 | PA      | $35971.88      | 0.00%             | 2045-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2A         | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1010315 | PA      | $1011675.87    | 0.01%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8166 FN 02/27 FIXED 3                       | CUSIP: 3138XYCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13974 | PA      | $13857.60      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A3 144A           | CUSIP: 80620BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11700000 | PA      | $11793650.31   | 0.14%             | 2031-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     357069 | PA      | $332945.71     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A2 144A              | CUSIP: 78437VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97804 | PA      | $97888.02      | 0.00%             | 2026-11-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A2 144A                     | CUSIP: 32115BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23764800 | PA      | $11985470.36   | 0.14%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 A1 144A      | CUSIP: 69545GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1344269 | PA      | $1344287.90    | 0.02%             | 2026-03-16      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A3         | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1116431 | PA      | $1070140.85    | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                              | MFRA TRUST MFRA 2023 INV2 A1 144A                       | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1119086 | PA      | $1132261.26    | 0.01%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A    | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $970492.00     | 0.01%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A1              | CUSIP: 07386HB75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1824211 | PA      | $1291865.62    | 0.02%             | 2036-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9411.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A3         | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3300000 | PA      | $3330170.25    | 0.04%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781086 FH 12/33 FLOATING VAR          | CUSIP: 31349SF32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7525 | PA      | $7693.90       | 0.00%             | 2033-12-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2002-OPT1                                    | MASTR ASSET BACKED SECURITIES MABS 2002 OPT1 M5         | CUSIP: 57643LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3412437 | PA      | $3269603.19    | 0.04%             | 2032-11-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A          | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2359541 | PA      | $2370144.14    | 0.03%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A   | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8225711.10    | 0.10%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3       | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165829 | PA      | $154261.39     | 0.00%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4474130 | PA      | $4473720.76    | 0.05%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B                                          | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 B A3          | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12200000 | PA      | $12249597.88   | 0.15%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2480808.72    | 0.03%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                               | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5424 | PA      | $5348.36       | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-1A LTD                                                                | TSTAT 2022 1 LTD TSTAT 2022 1A A1RR 144A                | CUSIP: 872899AY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4603580 | PA      | $4608770.36    | 0.06%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B                                          | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 B A2          | CUSIP: 41284PAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9033258 | PA      | $9040859.96    | 0.11%             | 2027-08-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1           | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35765 | PA      | $34527.00      | 0.00%             | 2035-10-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        135 | PA      | $137.01        | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A2 144A   | CUSIP: 17311XAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700263 | PA      | $8201259.57    | 0.10%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1371 FR 02/54 FIXED 6.5             | CUSIP: 3142GRQZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7904883 | PA      | $8183720.19    | 0.10%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8461 FR 09/54 FIXED 5               | CUSIP: 3132DWMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150832 | PA      | $149866.75     | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 B 144A              | CUSIP: 89613GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5280000 | PA      | $5175963.94    | 0.06%             | 2038-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022-1A                                                | MOUNTAIN VIEW CLO MVEW 2022 1A A1R 144A                 | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3405716.11    | 0.04%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2M1          | CUSIP: 126697AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2634732.60    | 0.03%             | 2047-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67951 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3973140.37    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78250 04/22/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-297138.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A4 144A    | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2037625.60    | 0.02%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2023-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2023 2A A3 144A        | CUSIP: 505713AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     295118 | PA      | $295579.33     | 0.00%             | 2028-02-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7A                                                   | SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A            | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9786434 | PA      | $9623712.71    | 0.12%             | 2033-12-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A A1 144A      | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14091816 | PA      | $13752265.59   | 0.17%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                                     | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A          | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     620911 | PA      | $622038.59     | 0.01%             | 2031-11-13      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A            | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $25349397.50   | 0.30%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A          | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6288166 | PA      | $6335214.85    | 0.08%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2019-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2019 BA A2B 144A       | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2026676 | PA      | $2024117.32    | 0.02%             | 2059-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4          | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $694759.59     | 0.01%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2B         | CUSIP: 023947AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     924695 | PA      | $925016.58     | 0.01%             | 2028-02-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| OPEN TRUST 2023-AIR                                                              | OPEN TRUST OPEN 2023 AIR A 144A                         | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487593 | PA      | $488619.26     | 0.01%             | 2040-11-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                 | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14985 | PA      | $14238.36      | 0.00%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                   | VENTURE CDO LTD VENTR 2017 27A AR 144A                  | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1487039 | PA      | $1487855.85    | 0.02%             | 2030-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3           | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2814180.88    | 0.03%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                                | CIM TRUST CIM 2023 R4 A1 144A                           | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1299687 | PA      | $1299698.24    | 0.02%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2277                                                                 | FREDDIE MAC FHR 2277 B                                  | CUSIP: 3133TQU47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        791 | PA      | $844.40        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.75000 06/21/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9291411.49    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A     | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1699441 | PA      | $1721312.54    | 0.02%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2         | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4347873 | PA      | $1159429.57    | 0.01%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49556.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14160171 | PA      | $14164739.83   | 0.17%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 1A1       | CUSIP: 45660L2F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1922508 | PA      | $1498758.63    | 0.02%             | 2036-02-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W8                                                    | ARGENT SECURITIES INC. ARSI 2004 W8 M3                  | CUSIP: 040104JQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230623 | PA      | $1043269.98    | 0.01%             | 2034-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A  | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1664521 | PA      | $1683030.40    | 0.02%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6         | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45710 | PA      | $45020.73      | 0.00%             | 2033-03-25      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                                   | MARLETTE FUNDING TRUST MFT 2023 4A A 144A               | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     977205 | PA      | $988857.68     | 0.01%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A4         | CUSIP: 761119AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1751793 | PA      | $1202325.62    | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475978 | PA      | $449482.81     | 0.01%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1                  | CUSIP: 126694YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8120353 | PA      | $7627539.34    | 0.09%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1             | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066741 | PA      | $683762.20     | 0.01%             | 2045-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-4A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 4A A 144A     | CUSIP: 05377RGY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2884102.76    | 0.03%             | 2029-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST 2007-3                          | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 3 A1B         | CUSIP: 59024VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212464 | PA      | $1229505.29    | 0.01%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                         | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A     | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1390135.04    | 0.02%             | 2034-09-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4528 FR 04/55 FIXED 7               | CUSIP: 3142GVA68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6295874 | PA      | $6609016.23    | 0.08%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT3 M1        | CUSIP: 83611MGU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507522 | PA      | $506050.10     | 0.01%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C        | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17322809 | PA      | $10302874.02   | 0.12%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-6                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 6 A5          | CUSIP: 73316PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136107 | PA      | $130083.29     | 0.00%             | 2036-01-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A     | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15812917 | PA      | $15939464.12   | 0.19%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-116                                                              | FANNIE MAE FNR 2003 116 KL                              | CUSIP: 31393T5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26403 | PA      | $26158.76      | 0.00%             | 2033-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 MV5          | CUSIP: 126670AZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6278989 | PA      | $6225928.90    | 0.07%             | 2035-12-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905694 FN 12/36 FLOATING VAR                  | CUSIP: 31411EGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $3046.85       | 0.00%             | 2036-12-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A          | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1910264.94    | 0.02%             | 2055-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM2 A1 144A                | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16327153 | PA      | $16706251.28   | 0.20%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M2 144A     | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3775397 | PA      | $2833439.98    | 0.03%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GCCT-2021-1A                                                                     | GOLDEN CREDIT CARD TRUST GCCT 2021 1A A 144A            | CUSIP: 380881FB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26900000 | PA      | $26264191.60   | 0.32%             | 2028-08-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 6 M                 | CUSIP: 07386HEL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172841 | PA      | $163875.98     | 0.00%             | 2034-01-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29400000 | PA      | $24773971.74   | 0.30%             | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-1                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 1 3A26         | CUSIP: 059496BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1314310 | PA      | $1137854.24    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A3 144A        | CUSIP: 881943AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $25244845.00   | 0.30%             | 2028-06-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080378 G2 02/30 FLOATING VAR               | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4722 | PA      | $4746.44       | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO VI LTD 2018-1A                                                      | GREYWOLF CLO LTD GWOLF 2018 1A A1 144A                  | CUSIP: 39809GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1161752 | PA      | $1162416.18    | 0.01%             | 2031-04-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $84726.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1988 FR 05/52 FIXED 3               | CUSIP: 3133BBF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2027049 | PA      | $1786131.15    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                                | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A         | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831890 | PA      | $838056.04     | 0.01%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A19        | CUSIP: 18976GAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     769887 | PA      | $697870.87     | 0.01%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -11594 | NC      | $-5735104.24   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6942* 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4264041.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.81700 04/05/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2529617.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A2 144A    | CUSIP: 02650VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1604749.92    | 0.02%             | 2028-08-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE3 A2         | CUSIP: 590212AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6331349 | PA      | $1660578.01    | 0.02%             | 2037-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A2 144A    | CUSIP: 14687WAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     411297 | PA      | $411598.86     | 0.00%             | 2027-12-10      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1         | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6230360 | PA      | $4950366.65    | 0.06%             | 2045-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-195278.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MORTGAGE BACKED PASS THRU CERT 2006                                          | TBW MORTGAGE BACKED PASS THROU TBW 2006 1 7A1           | CUSIP: 225470U50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1259779 | PA      | $400768.87     | 0.00%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-720573.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B6          | CUSIP: 41161PTA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2140152 | PA      | $1716975.57    | 0.02%             | 2035-06-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1449 FN 12/45 FIXED 4                       | CUSIP: 3140E5TF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49762 | PA      | $47921.63      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A2                      | CUSIP: 81743VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36095 | PA      | $35732.40      | 0.00%             | 2027-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -60530000 | PA      | $-61846159.48  | -0.74%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $955302.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A3 144A        | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25053 | PA      | $24203.93      | 0.00%             | 2063-10-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4               | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106449 | PA      | $104113.12     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-376811.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32621.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A2                 | CUSIP: 36242DKV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965957 | PA      | $125910.92     | 0.00%             | 2034-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A     | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840083 | PA      | $1817067.81    | 0.02%             | 2037-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 1A5         | CUSIP: 93934FCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289004 | PA      | $241594.28     | 0.00%             | 2035-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.02          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482871 | PA      | $405175.69     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A    | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2192384 | PA      | $2208534.52    | 0.03%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                  | PFP III PFP 2024 11 A 144A                              | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3050695 | PA      | $3057623.94    | 0.04%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4           | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1805004.18    | 0.02%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H26 FC          | CUSIP: 38376RN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608635 | PA      | $612115.75     | 0.01%             | 2066-12-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2004-1                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2004 1 2M              | CUSIP: 07820QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1797602 | PA      | $1820171.40    | 0.02%             | 2034-11-20      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6431 FN 04/55 FIXED 7                       | CUSIP: 3140B7ED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5997028 | PA      | $6332446.68    | 0.08%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31732181.92   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-33                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 33 2M1        | CUSIP: 12667FB46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1283700 | PA      | $1246895.69    | 0.01%             | 2034-12-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $812422.08     | 0.01%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A   | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3716796 | PA      | $3730620.30    | 0.04%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-A                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 A M2          | CUSIP: 64352VGX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31212 | PA      | $39351.77      | 0.00%             | 2034-08-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2023-AA                                                   | CHASE AUTO OWNER TRUST CHAOT 2023 AA A3 144A            | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2533617 | PA      | $2563839.63    | 0.03%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1720536.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     706746 | PA      | $565804.85     | 0.01%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 7A4          | CUSIP: 863579Q92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50905 | PA      | $43554.89      | 0.00%             | 2036-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                              | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5             | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        460 | PA      | $460.92        | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M7          | CUSIP: 64352VLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23642196 | PA      | $21304559.34   | 0.26%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  609600000 | PA      | $614264683.58  | 7.39%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A    | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2759624.28    | 0.03%             | 2038-04-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A4 144A                     | CUSIP: 32115BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298074 | PA      | $654636.73     | 0.01%             | 2037-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190445 FN 03/55 FIXED VAR                     | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11941706 | PA      | $12351068.53   | 0.15%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                  | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     796003 | PA      | $726285.03     | 0.01%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4912 FN 03/46 FIXED 4                       | CUSIP: 3140F0N67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66273 | PA      | $63752.46      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2009448.86    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                          | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001919.75    | 0.01%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RCF3 A1 144A                | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1024524 | PA      | $1032352.01    | 0.01%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $961434.80     | 0.01%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $402719.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A      | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1714297 | PA      | $1738185.76    | 0.02%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1       | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20322940 | PA      | $17645159.12   | 0.21%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                     | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A               | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11700000 | PA      | $11757172.28   | 0.14%             | 2037-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 3A1       | CUSIP: 12668AJR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2999689 | PA      | $1524785.32    | 0.02%             | 2035-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A     | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2097172 | PA      | $2111715.90    | 0.03%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4173351.70   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 3A1         | CUSIP: 41161PGK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3060 | PA      | $2940.37       | 0.00%             | 2034-11-19      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M2        | CUSIP: 40430HEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197979 | PA      | $197439.50     | 0.00%             | 2036-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56673 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3798963.83    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                                  | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 B1         | CUSIP: 92922FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3643 | PA      | $3557.95       | 0.00%             | 2033-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 6F 3A2                 | CUSIP: 362341DV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290123 | PA      | $259848.91     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230622 | PA      | $219057.30     | 0.00%             | 2035-04-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB33       | CUSIP: 76110HH77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91491 | PA      | $45670.78      | 0.00%             | 2034-12-26      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                       | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392327 | PA      | $377406.12     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB8                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB8 2M                | CUSIP: 12669GGS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1670609 | PA      | $1572657.00    | 0.02%             | 2035-01-20      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1510              | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1510 X1           | CUSIP: 3137FL2N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85596864 | PA      | $2460858.47    | 0.03%             | 2034-01-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A1          | CUSIP: 784208AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45222578 | PA      | $18784708.15   | 0.23%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0038 FH 01/35 FLOATING VAR          | CUSIP: 3128NCBF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2084 | PA      | $2123.25       | 0.00%             | 2035-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-74                                                               | FANNIE MAE FNR 2005 74 DZ                               | CUSIP: 31394FDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2305737 | PA      | $2368057.07    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67844 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3199671.17    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.69000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56628.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2007-2                                                | HSI ASSET LOAN OBLIGATION HALO 2007 2 3A6               | CUSIP: 40432BAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1191765 | PA      | $371983.31     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A   | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     960766 | PA      | $966234.63     | 0.01%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 9CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 9CB 1A5       | CUSIP: 12667GEP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110123 | PA      | $97591.90      | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A      | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     329042 | PA      | $331984.32     | 0.00%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A     | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4248597 | PA      | $4303152.02    | 0.05%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 1 A3           | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $218522.36     | 0.00%             | 2037-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2776 FN 07/46 FIXED 4                       | CUSIP: 3140FACN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53294 | PA      | $51267.68      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A B1              | CUSIP: 589929G93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134919 | PA      | $100820.20     | 0.00%             | 2028-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1788512.58    | 0.02%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2198 FR 05/53 FIXED 5.5             | CUSIP: 3133C2NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14847316 | PA      | $15048140.05   | 0.18%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS8                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS8 M3         | CUSIP: 76112BZL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2384980.68    | 0.03%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A2 144A            | CUSIP: 16144LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5672281 | PA      | $5685192.31    | 0.07%             | 2027-09-27      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29129 | PA      | $25298.56      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A2 144A       | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1507152.30    | 0.02%             | 2027-10-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1112297053 | PA      | $1150255157.63 | 13.83%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 2003-AR3                                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR3 M1         | CUSIP: 86358HUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629949 | PA      | $574417.14     | 0.01%             | 2033-11-19      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9100000 | PA      | $9108504.50    | 0.11%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 4 M1 144A           | CUSIP: 89172UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432096 | PA      | $428636.74     | 0.01%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                          | ICG US CLO LTD ICG 2015 2RA A1R 144A                    | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2868585 | PA      | $2868583.51    | 0.03%             | 2033-01-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8509 FN 05/52 FIXED 3                       | CUSIP: 3140MNN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3354337 | PA      | $2956289.24    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0128 FN 12/30 FIXED 3                       | CUSIP: 3140EUEA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230334 | PA      | $225608.57     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6430 FN 04/55 FIXED 7                       | CUSIP: 3140B7EC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4276680 | PA      | $4525085.26    | 0.05%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2019 3A                                                             | VOYA CLO LTD VOYA 2019 3A AR 144A                       | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26698687 | PA      | $26729810.14   | 0.32%             | 2032-10-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                                   | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4405131.15    | 0.05%             | 2034-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A2         | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3327614 | PA      | $3074942.74    | 0.04%             | 2047-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $33367771.63   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A        | CUSIP: 30336CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     604854 | PA      | $606355.76     | 0.01%             | 2027-11-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6319 FN 09/42 FIXED 3.5                     | CUSIP: 31417DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36895 | PA      | $34913.20      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                              | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A        | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1613414 | PA      | $1634636.49    | 0.02%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-200877.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $276250.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO8 1A3A       | CUSIP: 75115FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4696516 | PA      | $4520801.06    | 0.05%             | 2046-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2575 FN 02/45 FIXED 3.5                     | CUSIP: 3138YF2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10953 | PA      | $10284.84      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2344                                                                 | FREDDIE MAC FHR 2344 FN                                 | CUSIP: 3133994J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2168 | PA      | $2164.18       | 0.00%             | 2031-08-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1        | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11510196 | PA      | $11339882.84   | 0.14%             | 2036-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08787 FG 11/47 FIXED 3               | CUSIP: 3128MJ2V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32134 | PA      | $29006.44      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2024-C                                              | FORD CREDIT AUTO OWNER TRUST FORDO 2024 C A3            | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2908374.62    | 0.03%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1              | CUSIP: 46630PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418377 | PA      | $218783.88     | 0.00%             | 2037-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A     | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17800000 | PA      | $17835564.58   | 0.21%             | 2043-02-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-184889.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                   | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5450188.25    | 0.07%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3099694.22    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX6648 FR 02/55 FIXED 7               | CUSIP: 31426CL69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6401241 | PA      | $6715284.40    | 0.08%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-4                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2024 4 A2A         | CUSIP: 38014AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1282596 | PA      | $1284132.44    | 0.02%             | 2027-10-18      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2024 3 A1 144A                    | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1963747 | PA      | $1993714.64    | 0.02%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-116774.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2024-NPL9 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL9 A1 144A   | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3378893 | PA      | $3386804.93    | 0.04%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COLT 2022-4 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2022 4 A1 144A                    | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6098233 | PA      | $6081288.83    | 0.07%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUAST 2005-11                                                  | GSAA HOME EQUITY TRUST GSAA 2005 11 1A2                 | CUSIP: 362341NW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982224 | PA      | $1031373.08    | 0.01%             | 2035-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A     | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $828623.00     | 0.01%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3021167.70    | 0.04%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735654 FN 10/44 FLOATING VAR                  | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7204 | PA      | $7256.98       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A           | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2800184.16    | 0.03%             | 2034-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-205680.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 694287 FN 03/33 FLOATING VAR                  | CUSIP: 31400QJ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        587 | PA      | $596.89        | 0.00%             | 2033-03-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7988 G2 04/52 FIXED 3                    | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16759753 | PA      | $14977859.42   | 0.18%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A        | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2206434 | PA      | $2222273.74    | 0.03%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A           | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $718363.52     | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4455 FN 02/45 FIXED 3.5                     | CUSIP: 3138WD5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     495592 | PA      | $465771.26     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179470 | PA      | $161642.14     | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                                     | ACE SECURITIES CORP. ACE 2007 HE3 A1                    | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22483327 | PA      | $4875381.33    | 0.06%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30118000 | PA      | $31128155.91   | 0.37%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J6                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J6 2A1        | CUSIP: 12667FRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12688 | PA      | $13016.52      | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUSINESS FIN SERVICES 2002-2                                            | ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1                 | CUSIP: 000759CR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476079 | PA      | $376780.86     | 0.00%             | 2033-07-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD 2020-3A                                               | SOUND POINT CLO LTD SNDPT 2020 3A A1R 144A              | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3892143 | PA      | $3899225.08    | 0.05%             | 2032-01-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                               | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300C 144A       | CUSIP: 08163DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8809000 | PA      | $6095180.54    | 0.07%             | 2054-04-15      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080747 G2 10/33 FLOATING VAR               | CUSIP: 36225CZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2176 | PA      | $2223.52       | 0.00%             | 2033-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-345732.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-259225.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B      | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364282 | PA      | $312416.38     | 0.00%             | 2046-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A     | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2456318.88    | 0.03%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799868 FN 11/34 FLOATING VAR                  | CUSIP: 31405UTZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $859.82        | 0.00%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A              | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18602157 | PA      | $18855030.51   | 0.23%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST 2015-2                                                  | MILL CITY MORTGAGE TRUST MCMLT 2015 2 M3 144A           | CUSIP: 599808BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57561 | PA      | $57133.24      | 0.00%             | 2057-09-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A4 144A         | CUSIP: 78437PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1111274.78    | 0.01%             | 2029-04-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B      | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2459807 | PA      | $2203773.83    | 0.03%             | 2047-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1957 | PA      | $1896.08       | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA8 2A1       | CUSIP: 32052AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1017562 | PA      | $694838.31     | 0.01%             | 2037-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6A       | CUSIP: 17307GVL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975533 | PA      | $905889.13     | 0.01%             | 2035-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M2                  | CUSIP: 437084GS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2489881 | PA      | $2477867.50    | 0.03%             | 2035-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                               | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A      | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4346499 | PA      | $4399373.70    | 0.05%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A         | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4245462 | PA      | $4243200.65    | 0.05%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3114                                                                 | FREDDIE MAC FHR 3114 KZ                                 | CUSIP: 31396HHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71822 | PA      | $73351.10      | 0.00%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D            | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18907941 | PA      | $8049431.74    | 0.10%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                    | ARROYO MORTGAGE TRUST ARRW 2021 1R A1 144A              | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3142386 | PA      | $2848493.01    | 0.03%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 M1           | CUSIP: 83611MLA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11221071 | PA      | $10829721.60   | 0.13%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 8 M2                | CUSIP: 07386HKV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2667697 | PA      | $2613651.88    | 0.03%             | 2034-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                                        | FANNIE MAE FNR 2019 62 SN                               | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     460732 | PA      | $62946.43      | 0.00%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1634485.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-2                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 2 M9            | CUSIP: 29445FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280535 | PA      | $1958001.84    | 0.02%             | 2034-10-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A6                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A6 M1          | CUSIP: 59020UZL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11821226 | PA      | $10981667.21   | 0.13%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1         | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217134 | PA      | $97488.16      | 0.00%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CATHEDRAL LAKE VIII LTD                                                          | CATHEDRAL LAKE LTD CATLK 2021 8A A1 144A                | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3312400.31    | 0.04%             | 2035-01-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A   | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2135728 | PA      | $2091153.66    | 0.03%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                                | AG TRUST AG 2024 NLP A 144A                             | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3136094 | PA      | $3151612.78    | 0.04%             | 2041-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A2 144A | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1062531.25    | 0.01%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A            | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     721237 | PA      | $728959.48     | 0.01%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2951539 | PA      | $2923029.54    | 0.04%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1375687.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0970 FN 12/26 FIXED 3                       | CUSIP: 3138XCCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6568 | PA      | $6522.18       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3075 | PA      | $3113.49       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX2 M7        | CUSIP: 76110W2N5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1644695 | PA      | $1673494.20    | 0.02%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739372 FN 09/33 FLOATING VAR                  | CUSIP: 31402VMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1830 | PA      | $1853.08       | 0.00%             | 2033-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2        | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2028452 | PA      | $877436.77     | 0.01%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                             | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A    | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500617.90     | 0.01%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 A B1 144A      | CUSIP: 17320XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     454982 | PA      | $445294.28     | 0.01%             | 2042-05-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL5 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL5 A1 144A   | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5638829 | PA      | $5685726.11    | 0.07%             | 2055-05-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413474 | PA      | $412014.89     | 0.00%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 783590 G2 06/41 FIXED 4.5                  | CUSIP: 36241L7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46256 | PA      | $46555.60      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A          | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3297638 | PA      | $3304942.48    | 0.04%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                     | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                  | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7300000 | PA      | $7305845.04    | 0.09%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H05 FC          | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     537790 | PA      | $538888.42     | 0.01%             | 2067-02-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1788708.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                             | PRP ADVISORS, LLC PRPM 2023 NQM2 A1 144A                | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1729360 | PA      | $1742376.62    | 0.02%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-618233.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                                      | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A            | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1109742 | PA      | $1110817.30    | 0.01%             | 2038-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A    | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3513556.90    | 0.04%             | 2037-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1558696.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                              | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172087 | PA      | $168889.22     | 0.00%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2713141 | PA      | $2434778.57    | 0.03%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1748 FH 09/35 FLOATING VAR          | CUSIP: 3128QJ5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $491.75        | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A3 144A    | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1509362.40    | 0.02%             | 2029-04-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5                                  | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2016 C5 ASB        | CUSIP: 78419CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         38 | PA      | $37.63         | 0.00%             | 2048-10-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-X2                                        | AFFIRM INC AFFRM 2024 X2 A 144A                         | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     841134 | PA      | $841934.51     | 0.01%             | 2029-12-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                      | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      43082 | PA      | $53959.89      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM3 A1 144A                | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7205342 | PA      | $7225160.63    | 0.09%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A     | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6800000 | PA      | $6811439.30    | 0.08%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1        | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395595 | PA      | $363239.78     | 0.00%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RPL1 A1 144A                | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     833840 | PA      | $823464.80     | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                                 | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A            | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2337433 | PA      | $2266695.10    | 0.03%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                                    | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A             | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $604132.68     | 0.01%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 9/22/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $511340.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE1                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE1 M1        | CUSIP: 04541GVL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9183581 | PA      | $9022705.05    | 0.11%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A     | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     590841 | PA      | $596467.86     | 0.01%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/22/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-486047.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                   | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A               | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5019453.35    | 0.06%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4697 FN 08/42 FIXED 4                       | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     447614 | PA      | $437791.82     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                    | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A    | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6300000 | PA      | $6322087.86    | 0.08%             | 2035-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3       | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530259 | PA      | $398885.45     | 0.00%             | 2036-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TRUST                                                              | MFRA TRUST MFRA 2022 RPL1 A1 144A                       | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7453623 | PA      | $7031098.27    | 0.08%             | 2061-08-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                                   | LUMINENT MORTGAGE TRUST LUM 2006 3 12A1                 | CUSIP: 55027AAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1554778 | PA      | $1377477.35    | 0.02%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M2            | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14464703 | PA      | $14349578.71   | 0.17%             | 2036-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                             | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A         | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885752 | PA      | $1909064.94    | 0.02%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A3            | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3004681.80    | 0.04%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 8A1           | CUSIP: 878048AM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862934 | PA      | $243653.80     | 0.00%             | 2036-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.62          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A   | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4808279 | PA      | $4816884.58    | 0.06%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 1A1       | CUSIP: 83613AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7243238 | PA      | $5324234.35    | 0.06%             | 2037-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 IIB2             | CUSIP: 466247L76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731937 | PA      | $700756.47     | 0.01%             | 2034-08-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A      | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     307342 | PA      | $314574.77     | 0.00%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A            | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24452052 | PA      | $24346029.91   | 0.29%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A        | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1117158 | PA      | $1129146.90    | 0.01%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M6         | CUSIP: 03072SVW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3843676 | PA      | $3499019.57    | 0.04%             | 2034-11-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR7 B1         | CUSIP: 92922FTF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397879 | PA      | $366459.39     | 0.00%             | 2034-07-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5598 FN 08/45 FIXED 4                       | CUSIP: 3138WFGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1391766 | PA      | $1340142.98    | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A       | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520319 | PA      | $383595.70     | 0.00%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB5        | CUSIP: 9393365C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1099470 | PA      | $979457.25     | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                        | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A          | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1075376 | PA      | $1080420.00    | 0.01%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-NC1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2007 NC1 M1 144A    | CUSIP: 00076BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12189000 | PA      | $9025296.29    | 0.11%             | 2037-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                                | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A         | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1946731 | PA      | $1974556.30    | 0.02%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                       | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13187160 | PA      | $13310492.75   | 0.16%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D       | CUSIP: 00075QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3577250 | PA      | $3547442.09    | 0.04%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7531 FN 09/28 FIXED VAR                     | CUSIP: 3138EQLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20682 | PA      | $20484.44      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 2A1         | CUSIP: 05949CHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162898 | PA      | $154008.23     | 0.00%             | 2035-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13      | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237952 | PA      | $121551.37     | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN ASSET 2000-A                                            | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 A AF3         | CUSIP: 456606AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202527 | PA      | $99803.22      | 0.00%             | 2030-02-25      | Variable      | 8.81%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 3 A2A         | CUSIP: 379965AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9250000 | PA      | $9278435.43    | 0.11%             | 2027-10-20      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2674176 | PA      | $2711694.84    | 0.03%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A BR 144A      | CUSIP: 05685AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $999688.38     | 0.01%             | 2034-10-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100617 | PA      | $34213.16      | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176361 | PA      | $148127.53     | 0.00%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-5                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 5 A1                   | CUSIP: 81744FBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29807 | PA      | $27876.65      | 0.00%             | 2034-06-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A33         | CUSIP: 00703QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29237514 | PA      | $9007809.06    | 0.11%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 3A1         | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327505 | PA      | $320650.01     | 0.00%             | 2035-08-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 2A1A             | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223418 | PA      | $183010.38     | 0.00%             | 2046-04-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS15 A5        | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1075940 | PA      | $940847.26     | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.62000 04/18/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-431093.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3278633.92    | 0.04%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A    | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2918026.40    | 0.04%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A          | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3106345 | PA      | $3059215.97    | 0.04%             | 2053-03-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD 2015-9A                                                    | MOUNTAIN VIEW CLO LTD MVW 2015 9A A1R 144A              | CUSIP: 62432BAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     174949 | PA      | $175091.77     | 0.00%             | 2031-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1              | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1037 | PA      | $966.77        | 0.00%             | 2028-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                    | ARGENT SECURITIES INC. ARSI 2005 W5 A1                  | CUSIP: 040104QK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4178365 | PA      | $4155370.74    | 0.05%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A       | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3479764 | PA      | $3354076.92    | 0.04%             | 2045-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC                | PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR         | CUSIP: 74040YAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     325018 | PA      | $325017.78     | 0.00%             | 2033-07-03      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2163                                                                 | FREDDIE MAC FHR 2163 QJ                                 | CUSIP: 3133TLG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1876 | PA      | $1906.60       | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OZLM XIX LTD 2017-17A                                                            | OZLM LTD OZLM 2017 17A A1RR 144A                        | CUSIP: 67111NAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      88248 | PA      | $88292.60      | 0.00%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A   | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     968584 | PA      | $971728.64     | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR9 4A2        | CUSIP: 45660LMZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756642 | PA      | $700415.00     | 0.01%             | 2035-07-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A      | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3865000 | PA      | $3854866.36    | 0.05%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54011 FG 02/48 FIXED 3.5             | CUSIP: 3132XWN56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56332 | PA      | $52531.39      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22473245 | PA      | $21284731.59   | 0.26%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.42500 03/01/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9065.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1               | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        793 | PA      | $786.18        | 0.00%             | 2031-06-19      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                           | BX TRUST BX 2021 SOAR A 144A                            | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1172708 | PA      | $1172156.66    | 0.01%             | 2038-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD1 M2 144A     | CUSIP: 126670VQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064957 | PA      | $3577856.77    | 0.04%             | 2036-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 1A            | CUSIP: 1266714L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5884533 | PA      | $5817057.82    | 0.07%             | 2034-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC4 A2        | CUSIP: 07378RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2332354 | PA      | $2111750.51    | 0.03%             | 2037-02-25      | Variable      | 12.35%                | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                                           | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A   | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4402412.08    | 0.05%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                                     | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A              | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1013125.20    | 0.01%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4        | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $296926.89     | 0.00%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV1                                               | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2025 1 AF1 144A    | CUSIP: 67551WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1476805 | PA      | $1479137.78    | 0.02%             | 2054-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 3A4         | CUSIP: 761119AS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6019978 | PA      | $2532119.74    | 0.03%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VIII LTD                                                            | TRINITAS CLO LTD TRNTS 2018 8A A 144A                   | CUSIP: 89642RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     322106 | PA      | $322365.45     | 0.00%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE2                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE2 M1           | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6266211 | PA      | $5887819.23    | 0.07%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                       | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A    | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1910805 | PA      | $1912261.92    | 0.02%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1849 | PA      | $1802.84       | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A      | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3170910 | PA      | $3267864.55    | 0.04%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A2A         | CUSIP: 98164HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      68650 | PA      | $68710.45      | 0.00%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3         | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3235200 | PA      | $2033047.26    | 0.02%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A            | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88084 | PA      | $84885.57      | 0.00%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                            | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12300000 | PA      | $12318973.00   | 0.15%             | 2035-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A     | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600513 | PA      | $604520.92     | 0.01%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7053 | PA      | $7362.08       | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                        | T MOBILE US TRUST TMUST 2024 2A A 144A                  | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2712191.04    | 0.03%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR33                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR33 3A2       | CUSIP: 22541NXW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26091 | PA      | $20920.48      | 0.00%             | 2032-12-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A3 144A    | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1110321.96    | 0.01%             | 2029-08-10      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A     | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2917023 | PA      | $2926165.92    | 0.04%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A ARRR 144A                | CUSIP: 89640YBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5099745.00    | 0.06%             | 2034-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                         | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2903434.12    | 0.03%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2005 3                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2005 3 1A4           | CUSIP: 576434M43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540158 | PA      | $492731.53     | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL6 A1 144A   | CUSIP: 69381QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2124235 | PA      | $2130481.60    | 0.03%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A    | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10269849 | PA      | $9698164.64    | 0.12%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 11 B1         | CUSIP: 07387AFP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73719 | PA      | $62929.31      | 0.00%             | 2035-12-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A        | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684202 | PA      | $274568.72     | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                            | GSAMP TRUST GSAMP 2005 WMC2 M1                          | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22824 | PA      | $22382.54      | 0.00%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 M1                           | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13061000 | PA      | $11349719.05   | 0.14%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                     | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     580448 | PA      | $588337.56     | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M1                  | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72021 | PA      | $71533.92      | 0.00%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2003 OPT1 A3        | CUSIP: 04542BDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     373812 | PA      | $369874.10     | 0.00%             | 2033-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2        | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417459 | PA      | $371512.35     | 0.00%             | 2035-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1             | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37732 | PA      | $30401.32      | 0.00%             | 2035-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST 2016-A                                      | NAVIENT STUDENT LOAN TRUST NAVSL 2016 AA A2A 144A       | CUSIP: 63939NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     346135 | PA      | $345632.24     | 0.00%             | 2045-12-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                                  | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6592992 | PA      | $6609156.70    | 0.08%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SALOMON BROMTGE SEC VII 2003-HYB1                                                | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 HYB1 A         | CUSIP: 79549AYG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        303 | PA      | $304.14        | 0.00%             | 2033-09-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 612514 FN 05/33 FLOATING VAR                  | CUSIP: 31388RN78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6408 | PA      | $6503.25       | 0.00%             | 2033-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.37000 06/21/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-287075.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7891 FN 03/46 FIXED 4                       | CUSIP: 3140F3XV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249626 | PA      | $240341.59     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 3A1       | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1493780 | PA      | $911203.24     | 0.01%             | 2036-06-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                      | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        825 | PA      | $814.73        | 0.00%             | 2027-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 CB1       | CUSIP: 939336P31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94034 | PA      | $28091.18      | 0.00%             | 2033-04-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1        | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2090756 | PA      | $2043521.98    | 0.02%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                                  | PRP ADVISORS, LLC PRPM 2025 3 A1 144A                   | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     931673 | PA      | $934481.44     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1       | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30482 | PA      | $29775.68      | 0.00%             | 2036-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                    | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3606333 | PA      | $3610181.82    | 0.04%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                               | VERUS SECURITIZATION TRUST VERUS 2021 R1 A2 144A        | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16702 | PA      | $16117.14      | 0.00%             | 2063-10-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-14SL                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 14SL A1         | CUSIP: 61749SAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543579 | PA      | $38670.27      | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2010-RR3                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2010 RR3 A5 144A   | CUSIP: 94987AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402854 | PA      | $399252.69     | 0.00%             | 2036-09-27      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A       | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9159502 | PA      | $9209527.12    | 0.11%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A      | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16597725 | PA      | $13433963.15   | 0.16%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A     | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1715798 | PA      | $1686793.14    | 0.02%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-11                                                   | GSAA HOME EQUITY TRUST GSAA 2004 11 M2                  | CUSIP: 36242DQK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3412816 | PA      | $3134581.12    | 0.04%             | 2034-12-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A          | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770327 | PA      | $779517.04     | 0.01%             | 2065-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2004-1                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2004 1 2A            | CUSIP: 02660TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156098 | PA      | $171987.01     | 0.00%             | 2044-04-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                      | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2064627 | PA      | $1808631.02    | 0.02%             | 2047-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A       | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1816241.04    | 0.02%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AV4       | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3720990 | PA      | $3531853.97    | 0.04%             | 2047-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9490 FN 11/52 FIXED 5.5                     | CUSIP: 3140N2RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     224034 | PA      | $226571.82     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A         | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10517161 | PA      | $9160834.46    | 0.11%             | 2046-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4409105.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                          | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M1 144A        | CUSIP: 59982HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8550000 | PA      | $7770213.50    | 0.09%             | 2060-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 42A AR 144A                   | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8700000 | PA      | $8700109.01    | 0.10%             | 2034-07-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2024 3 A3          | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5010313.00    | 0.06%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13620 | PA      | $13723.42      | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780370 FH 04/33 FLOATING VAR          | CUSIP: 31342AMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $491.36        | 0.00%             | 2033-04-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR2                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR2 AX2        | CUSIP: 45660NG90<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1198335 | PA      | $984164.90     | 0.01%             | 2034-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                       | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187535 | PA      | $178023.68     | 0.00%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX1 M2        | CUSIP: 75405KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8089907 | PA      | $8009342.48    | 0.10%             | 2036-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-4                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 4 M1          | CUSIP: 07389LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14787111 | PA      | $14174713.43   | 0.17%             | 2036-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3          | CUSIP: 542514HV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3221 | PA      | $2909.59       | 0.00%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                                   | LIBERTY STREET TRUST LBTY 2016 225L A 144A              | CUSIP: 902055AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1960837.80    | 0.02%             | 2036-02-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-5N                                                          | LEHMAN XS TRUST LXS 2005 5N 1A2                         | CUSIP: 86359DUM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3164276 | PA      | $3149067.31    | 0.04%             | 2035-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4819828 | PA      | $4464616.72    | 0.05%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0304A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60240000 | PA      | $57711847.08   | 0.69%             | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6551 FR 01/53 FIXED 5.5             | CUSIP: 3133BUH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6284433 | PA      | $6367892.03    | 0.08%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.76500 03/16/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-236237.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                       | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6711123.21    | 0.08%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                                                         | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M           | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10218 | PA      | $10017.64      | 0.00%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6812 FN 01/53 FIXED 5.5                     | CUSIP: 3140NBSA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82869 | PA      | $83969.06      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                   | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3063536 | PA      | $1345228.55    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H04 FM          | CUSIP: 38380VPL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     883416 | PA      | $881595.58     | 0.01%             | 2068-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5             | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116417 | PA      | $117969.79     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                                                          | CROWN CASTLE TOWERS LLC ASSET BACKED 144A 07/48 4.241   | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $494513.70     | 0.01%             | 2048-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1              | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10573 | PA      | $9900.65       | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1             | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7117124 | PA      | $5948818.20    | 0.07%             | 2036-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A      | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     804812 | PA      | $803055.40     | 0.01%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1311472 | PA      | $1320622.41    | 0.02%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12548004.97   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A     | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4235314 | PA      | $4271946.85    | 0.05%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1          | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268804 | PA      | $260678.05     | 0.00%             | 2046-09-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE4                                                     | ACE SECURITIES CORP. ACE 2007 HE4 A1                    | CUSIP: 00442LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56649380 | PA      | $8592719.57    | 0.10%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC2 M1             | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2494162 | PA      | $2422679.05    | 0.03%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-403918.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2B        | CUSIP: 32029AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10323870 | PA      | $9514940.04    | 0.11%             | 2037-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2        | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1417471 | PA      | $1298091.46    | 0.02%             | 2035-11-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                                | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A         | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2517570 | PA      | $2554351.46    | 0.03%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A        | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2202407.24    | 0.03%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                            | BX TRUST BX 2022 LP2 A 144A                             | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     870967 | PA      | $870664.60     | 0.01%             | 2039-02-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A    | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1231899 | PA      | $1240923.74    | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 7A2          | CUSIP: 576433GP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2792 | PA      | $2763.65       | 0.00%             | 2033-12-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 1AV1              | CUSIP: 43710XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200135 | PA      | $2138068.18    | 0.03%             | 2037-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A    | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13837826 | PA      | $13857057.35   | 0.17%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2005-1R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2005 1R 2A5 144A      | CUSIP: 22546MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160420 | PA      | $92830.48      | 0.00%             | 2035-12-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2878 FN 05/47 FIXED 4                       | CUSIP: 3140GRFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448461 | PA      | $431407.81     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A2B 144A   | CUSIP: 96042YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1002171 | PA      | $1002694.84    | 0.01%             | 2027-08-16      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-3                                               | HOME EQUITY ASSET TRUST HEAT 2002 3 A4                  | CUSIP: 22541NHE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1181 | PA      | $1150.39       | 0.00%             | 2033-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M2       | CUSIP: 46626LFP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21778772 | PA      | $20667266.24   | 0.25%             | 2035-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                  | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $819.06        | 0.00%             | 2044-03-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A2           | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5600000 | PA      | $5603123.12    | 0.07%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A1                  | CUSIP: 126694YM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5096233 | PA      | $4685059.58    | 0.06%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1         | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10275474 | PA      | $10018787.73   | 0.12%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 1A1       | CUSIP: 456681AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2484846 | PA      | $1032010.78    | 0.01%             | 2037-07-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A1          | CUSIP: 86359BNT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1317 | PA      | $1307.01       | 0.00%             | 2034-04-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 8JA1             | CUSIP: 466247QR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     748433 | PA      | $613342.07     | 0.01%             | 2035-06-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A    | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     882288 | PA      | $882998.41     | 0.01%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08773 FG 08/47 FIXED 3               | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19289 | PA      | $17464.23      | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080734 G2 09/33 FLOATING VAR               | CUSIP: 36225CY83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4155 | PA      | $4217.84       | 0.00%             | 2033-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                               | PRP ADVISORS, LLC PRPM 2025 RPL2 A1 144A                | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1241704 | PA      | $1210084.13    | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 22A1              | CUSIP: 07386HYB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608465 | PA      | $269486.34     | 0.00%             | 2035-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                           | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1        | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10396 | PA      | $10413.29      | 0.00%             | 2033-04-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I 2025-3A                               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 3A A1 144A      | CUSIP: 76090QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3333467 | PA      | $3336836.50    | 0.04%             | 2026-07-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 629100 FN 04/32 FLOATING VAR                  | CUSIP: 31389L3H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1154 | PA      | $1171.74       | 0.00%             | 2032-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES COR 2001-SB1                                         | STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A2         | CUSIP: 86358RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        348 | PA      | $347.21        | 0.00%             | 2031-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A       | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615415 | PA      | $622251.86     | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A18             | CUSIP: 46629AAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31809 | PA      | $12391.83      | 0.00%             | 2036-08-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2337983 | PA      | $2173760.00    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-14AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 14AR 2A1        | CUSIP: 61756VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2318236 | PA      | $1313321.39    | 0.02%             | 2037-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| M&T EQUIPMENT 2025-LEAF1 LLC                                                     | M+T EQUIPMENT NOTES MTLRF 2025 1A A2 144A               | CUSIP: 55340QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7700000 | PA      | $7757793.12    | 0.09%             | 2027-12-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-B                                            | MERCEDES BENZ AUTO LEASE TRUST MBALT 2024 B A2A         | CUSIP: 58769GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2089321 | PA      | $2090586.48    | 0.03%             | 2026-12-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A      | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     520760 | PA      | $523540.83     | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-B                                    | CPS AUTO TRUST CPS 2025 B A 144A                        | CUSIP: 12630SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3692703 | PA      | $3704242.55    | 0.04%             | 2029-02-15      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19200000 | PA      | $18625770.62   | 0.22%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A1         | CUSIP: 86362VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3561331 | PA      | $3396829.28    | 0.04%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M4                    | CUSIP: 004421GM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675292 | PA      | $571959.81     | 0.01%             | 2034-06-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B         | CUSIP: 64352VQR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49167 | PA      | $49489.54      | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                              | SAXON ASSET SECURITIES TRUST SAST 2004 1 A              | CUSIP: 805564PL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1565371 | PA      | $1391915.71    | 0.02%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M2        | CUSIP: 59020UPS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1377232 | PA      | $1326032.99    | 0.02%             | 2035-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A             | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141174 | PA      | $143630.61     | 0.00%             | 2040-08-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                             | PRP ADVISORS, LLC PRPM 2024 NQM4 A1 144A                | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3785588 | PA      | $3818218.31    | 0.05%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 13R 5A2 144A     | CUSIP: 12646ADL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3670686 | PA      | $2332479.12    | 0.03%             | 2036-02-27      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M1                  | CUSIP: 43739EAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101571 | PA      | $86433.30      | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2003-4                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1         | CUSIP: 542514EE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     564933 | PA      | $561714.71     | 0.01%             | 2033-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $385910.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                    | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                   | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4219613 | PA      | $4151873.88    | 0.05%             | 2049-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A           | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2823609.88    | 0.03%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A         | CUSIP: 63941TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     679583 | PA      | $639262.52     | 0.01%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| WAMMS MTG PASS THRU CERT 2002-AR3                                                | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR3 B2        | CUSIP: 939336KT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78157 | PA      | $73928.32      | 0.00%             | 2032-12-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5779 FN 05/45 FIXED 3.5                     | CUSIP: 3138YKM59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56738 | PA      | $53159.24      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1         | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215233 | PA      | $203020.62     | 0.00%             | 2036-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-742474.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT 2022-8 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2022 8 A1 144A                    | CUSIP: 19688MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3414871 | PA      | $3405796.95    | 0.04%             | 2067-08-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS15 A1        | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15820143 | PA      | $13833804.16   | 0.17%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3521 | PA      | $3055.00       | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P2 A2         | CUSIP: 14688YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9000000 | PA      | $9022905.90    | 0.11%             | 2028-08-10      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A         | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3428108 | PA      | $3484971.89    | 0.04%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  123100000 | PA      | $125213604.84  | 1.51%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A          | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838284 | PA      | $849853.60     | 0.01%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                     | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1277386 | PA      | $1338342.05    | 0.02%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A    | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1966129.00    | 0.02%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A1 144A           | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3674692 | PA      | $3670460.22    | 0.04%             | 2051-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265981 | PA      | $244929.52     | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781294 FH 03/34 FLOATING VAR          | CUSIP: 31349SNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3213 | PA      | $3296.18       | 0.00%             | 2034-03-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| LCM LTD 26A                                                                      | LCM LTD PARTNERSHIP LCM 26A A1 144A                     | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      18860 | PA      | $18870.43      | 0.00%             | 2031-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A1         | CUSIP: 05948XZB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22334 | PA      | $22243.93      | 0.00%             | 2033-12-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12094 | PA      | $11888.96      | 0.00%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A      | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206997 | PA      | $193140.92     | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080428 G2 07/30 FLOATING VAR               | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7999 | PA      | $8016.74       | 0.00%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2097 FR 04/53 FIXED 5.5             | CUSIP: 3133C2KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4159845 | PA      | $4211449.89    | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40900000 | PA      | $40953577.36   | 0.49%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2684                                                                 | FREDDIE MAC FHR 2684 ZN                                 | CUSIP: 31394L5S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11502 | PA      | $11220.96      | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A1         | CUSIP: 32028GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30862091 | PA      | $28836939.03   | 0.35%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A2          | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1661867 | PA      | $1662594.76    | 0.02%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $200055.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A2 144A    | CUSIP: 14687VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     319663 | PA      | $319949.70     | 0.00%             | 2027-08-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 3 A 144A       | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6100000 | PA      | $6114142.24    | 0.07%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     894363 | PA      | $859099.55     | 0.01%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M4          | CUSIP: 03072SE50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119859 | PA      | $119661.30     | 0.00%             | 2035-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RCF3 A1 144A                | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     704889 | PA      | $696633.21     | 0.01%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M1                       | CUSIP: 152314KR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199914 | PA      | $196979.85     | 0.00%             | 2034-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SAIL 2004-10 M3 SP GST                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $0.94          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                            | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                  | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7300000 | PA      | $7329088.75    | 0.09%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                            | BX TRUST BX 2022 AHP A 144A                             | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9600000 | PA      | $9597105.60    | 0.12%             | 2039-01-17      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1        | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1352679 | PA      | $1340973.72    | 0.02%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A      | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     721344 | PA      | $733231.06     | 0.01%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                                    | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001894.77    | 0.01%             | 2034-10-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                          | ACHV ABS TRUST ACHV 2024 3AL A 144A                     | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     236271 | PA      | $238548.45     | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2004-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2004 2 A1              | CUSIP: 07820QAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6891552 | PA      | $4319804.90    | 0.05%             | 2035-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13       | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5835095 | PA      | $5547188.96    | 0.07%             | 2036-12-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                               | PRP ADVISORS, LLC PRPM 2024 RPL3 A1 144A                | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808740 | PA      | $1770024.39    | 0.02%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC 2003-1                                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 1 1A1          | CUSIP: 2254W0FJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7340 | PA      | $7621.81       | 0.00%             | 2033-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-2 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 2 A 144A       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12679751 | PA      | $12749556.47   | 0.15%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-6                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 6 2A2          | CUSIP: 161546HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1297 | PA      | $1288.43       | 0.00%             | 2034-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                                | BXMT LTD BXMT 2020 FL3 A 144A                           | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    7760779 | PA      | $7753177.94    | 0.09%             | 2037-11-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-3A                                                  | BAIN CAPITAL CREDIT CLO LIMITE BCC 2019 3A ARR 144A     | CUSIP: 05683TBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4104305.00    | 0.05%             | 2034-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1       | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22743234 | PA      | $20275509.05   | 0.24%             | 2037-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 03/06/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53325.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                            | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A     | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9100000 | PA      | $9111523.60    | 0.11%             | 2040-02-18      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR1                                            | TRICON AMERICAN HOMES TAH 2020 SFR1 A 144A              | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26293618 | PA      | $25731581.68   | 0.31%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A          | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6216054 | PA      | $6231906.57    | 0.07%             | 2064-10-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12900000 | PA      | $11760854.92   | 0.14%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.77000 02/14/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-645273.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5             | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     758000 | PA      | $527721.34     | 0.01%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1        | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92590 | PA      | $88214.82      | 0.00%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                               | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A        | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4456668 | PA      | $4343066.04    | 0.05%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1         | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16151 | PA      | $12562.04      | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1             | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538253 | PA      | $513447.31     | 0.01%             | 2036-01-25      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR29                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR29 A1        | CUSIP: 45662DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143352 | PA      | $143540.93     | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298701 | PA      | $274017.01     | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-3                                                           | LEHMAN XS TRUST LXS 2006 3 A1                           | CUSIP: 525221JG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6443085 | PA      | $6540106.06    | 0.08%             | 2036-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                                    | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6700000 | PA      | $6707598.54    | 0.08%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR18 A         | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     612934 | PA      | $608973.14     | 0.01%             | 2033-01-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6         | CUSIP: 05949AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69453 | PA      | $66720.69      | 0.00%             | 2034-06-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.57300 02/28/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-294022.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4                     | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV3       | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3945163 | PA      | $2706159.40    | 0.03%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7664 FR 07/52 FIXED 4               | CUSIP: 3133KPQR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283473 | PA      | $267894.38     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1           | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712268 | PA      | $707604.89     | 0.01%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10365776 | PA      | $10145431.64   | 0.12%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HE4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 HE4 M5 144A    | CUSIP: 17307GDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1723389 | PA      | $1731273.14    | 0.02%             | 2033-12-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A      | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34293673 | PA      | $35231309.70   | 0.42%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080555 G2 11/31 FLOATING VAR               | CUSIP: 36225CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1297 | PA      | $1302.51       | 0.00%             | 2031-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2A1              | CUSIP: 669971AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550839 | PA      | $175199.32     | 0.00%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-OPT2                                              | MASTR ASSET BACKED SECURITIES MABS 2004 OPT2 A2         | CUSIP: 57643LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478076 | PA      | $417470.74     | 0.01%             | 2034-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                            | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                  | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2731145 | PA      | $2734207.23    | 0.03%             | 2041-08-17      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4699 FN 04/37 FIXED 3                       | CUSIP: 3140MJGH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     665877 | PA      | $644495.27     | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                 | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5190 | PA      | $5204.97       | 0.00%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  DEC25 XCME 20260317                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -104 | NC      | $398655.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1          | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250128 | PA      | $1750180.72    | 0.02%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3          | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184916 | PA      | $187963.55     | 0.00%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A     | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3528245 | PA      | $3568416.47    | 0.04%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/07/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43536.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A2         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100315 | PA      | $1101470.73    | 0.01%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TRUST 2023-1A                                    | ONEMAIN DIRECT AUTO RECEIVABLE ODART 2023 1A A 144A     | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7800000 | PA      | $7869862.26    | 0.09%             | 2029-11-14      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-61                                                               | FANNIE MAE FNR 2001 61 FH                               | CUSIP: 313921R26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        537 | PA      | $537.35        | 0.00%             | 2031-11-18      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-1                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 1 A2            | CUSIP: 262102AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60641499 | PA      | $60784885.80   | 0.73%             | 2028-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004834 G2 10/40 FIXED 4.5                  | CUSIP: 36202FLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58476 | PA      | $58853.87      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                      | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A               | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6400000 | PA      | $6433392.38    | 0.08%             | 2036-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                  | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962141 | PA      | $451158.13     | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A      | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15900000 | PA      | $9373711.44    | 0.11%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1354 FN 06/47 FIXED 4                       | CUSIP: 3140GPQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80929 | PA      | $77935.83      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3                        | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2024 3 A3          | CUSIP: 38013KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $20260388.00   | 0.24%             | 2029-04-16      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer