# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000035402-26-000464
**Filing Date:** 2026-1
**Character Count:** 225621
**Document Hash:** 431dd4c8e7d1bf723447db5ef3e15114
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-000464.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0000035402-26-000464

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 26555408

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Limited Term Securitized Completion Fund (Series ID: S000085243)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000250211 | Fidelity Limited Term Securitized Completion Fund | FLTGX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Limited Term Securitized Completion Fund**

**November 30, 2025**

LTS-NPRT1-0126

1.9911980.101 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 43.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 43.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 43.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.7%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 75863 | 76853 |
| Evergreen Cr Card Tr Series 2025-CRT5 Class B, 5.24% 5/15/2029 (b) | 700000 | 708351 |
| Securitized Term Auto Receivables Trust Series 2025-A Class B, 5.038% 7/25/2031 (b) | 6492 | 6549 |
| TOTAL CANADA |  | 791753 |
| UNITED STATES - 42.4%  |  |  |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 200000 | 200493 |
| Affirm Asset Securitization Trust Series 2024-B Class A, 4.62% 9/15/2029 (b) | 320000 | 320739 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (b) | 44292 | 44375 |
| Affirm Asset Securitization Trust Series 2025-X1 Class B, 5.19% 4/15/2030 (b) | 400000 | 401121 |
| Affirm Master Trust Series 2025-1A Class A, 4.99% 2/15/2033 (b) | 235000 | 236909 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (b) | 1000000 | 1001857 |
| American Express Credit Account Master Trust Series 2024-1 Class A, 5.23% 4/15/2029  | 625000 | 636991 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 144937 | 146367 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 52763 | 53139 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 100000 | 100265 |
| ARI Fleet Lease Trust Series 2025-A Class B, 4.7% 1/17/2034 (b) | 250000 | 252804 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 80331 | 80505 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 100000 | 101667 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 139277 | 140729 |
| Barings Equipment Finance LLC Series 2025-A Class A2, 4.64% 10/13/2028 (b) | 337788 | 339643 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) | 2026704 | 2047936 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 200000 | 201463 |
| Capital One Multi-Asset Execution Trust Series 2019-A3 Class A3, 2.06% 8/15/2028  | 800000 | 789633 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  | 100000 | 100164 |
| Carmax Auto Owner Trust Series 2025-4 Class B, 4.42% 7/15/2031  | 1000000 | 1001404 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 75000 | 75677 |
| Carvana Auto Receivables Trust Series 2025-P1 Class B, 4.98% 5/12/2031  | 200000 | 203884 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 96636 | 97078 |
| Ccg Receivables Trust. Series 2025-1 Class B, 4.69% 10/14/2032 (b) | 250000 | 253456 |
| Chase Issuance Trust Series 2023-A1 Class A, 5.16% 9/15/2028  | 374000 | 377616 |
| Chase Issuance Trust Series 2024-A1 Class A, 4.6% 1/15/2029 (c) | 100000 | 100854 |
| Citigroup Commercial Mortgage Trust Series 2017-C4 Class A4, 3.471% 10/12/2050  | 100000 | 98795 |
| Citizens Auto Receivables Trust Series 2024-1 Class A3, 5.11% 4/17/2028 (b) | 200936 | 201963 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 300000 | 302663 |
| Dell Equipment Finance Trust Series 2023-2 Class A3, 5.65% 1/22/2029 (b) | 58113 | 58278 |
| Dell Equipment Finance Trust Series 2024-1 Class A3, 5.39% 3/22/2030 (b) | 833883 | 839646 |
| Dext Abs LLC Series 2025-1 Class A3, 4.77% 8/15/2035 (b) | 1460000 | 1475860 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (b) | 85000 | 86705 |
| Dllad LLC Series 2025-1A Class A3, 4.42% 9/20/2030 (b) | 100000 | 101108 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 565740 | 568242 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (b) | 400000 | 408459 |
| DLLMT LLC Series 2024-1A Class A3, 4.84% 8/21/2028 (b) | 750000 | 756634 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (b) | 250000 | 253406 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 50000 | 50504 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 56886 | 57122 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A3, 4.39% 9/17/2029  | 170000 | 170747 |
| Exeter Automobile Receivables Trust Series 2025-4A Class B, 4.4% 5/15/2030  | 145000 | 145660 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 1505000 | 1514537 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  | 40000 | 40028 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class B, 4.42% 3/15/2032  | 1000000 | 1001156 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 1905000 | 1909466 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (b) | 1330000 | 1316152 |
| Ford Credit Auto Owner Trust Series 2024-1 Class A, 4.87% 8/15/2036 (b) | 400000 | 410140 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (b) | 400000 | 406809 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-3 Class A1, 4.3% 9/15/2029 (b) | 1000000 | 1005585 |
| FORDO Series 2024-B Class A3, 5.1% 4/15/2029  | 342000 | 345956 |
| Fordr Series 2025-2 Class B, 4.67% 2/15/2038 (b)(d) | 1700000 | 1719191 |
| GM Financial Revolving Receivables Trust Series 2021-1 Class A, 1.17% 6/12/2034 (b) | 1000000 | 977715 |
| GM Financial Revolving Receivables Trust Series 2023-1 Class A, 5.12% 4/11/2035 (b) | 300000 | 308429 |
| GM Financial Revolving Receivables Trust Series 2025-1 Class B, 4.8% 12/11/2037 (b) | 250000 | 253686 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A2, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.292% 6/15/2028 (b)(c)(e) | 400000 | 401544 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/2028 (b) | 115000 | 115822 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class A1, 5.13% 3/15/2029 (b) | 1000000 | 1013893 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class A, 5.06% 3/15/2031 (b) | 1382000 | 1427512 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class B, 4.79% 3/15/2029 (b) | 100000 | 100708 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (b) | 150000 | 150448 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A3, 4.49% 4/16/2029 (b) | 150000 | 151594 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (b) | 32584 | 32673 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 100000 | 100538 |
| Hpefs Equipment Trust Series 2025-2A Class A3, 4.03% 11/22/2032 (b) | 500000 | 500159 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 230925 | 231253 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (b) | 1600000 | 1626582 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 54730 | 55001 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 74910 | 75403 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (b) | 2200000 | 2218303 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (b) | 1000000 | 1012588 |
| OneMain Financial Issuance Trust Series 2019-2A Class A, 3.14% 10/14/2036 (b) | 600000 | 590804 |
| OneMain Financial Issuance Trust Series 2023-1A Class A, 5.5% 6/14/2038 (b) | 1000000 | 1035527 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 15964 | 15947 |
| Oportun Funding Trust Series 2025-1 Class A, 4.96% 8/16/2032 (b) | 53029 | 53095 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (b) | 100000 | 100315 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (b) | 1100000 | 1101447 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (b) | 1000000 | 1000970 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 166806 | 167321 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 50000 | 50303 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (b) | 95973 | 96639 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b)(c) | 469305 | 464663 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (b) | 67344 | 67508 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (b) | 100000 | 100029 |
| Rcktl Series 2025-2A Class B, 4.6% 11/27/2034 (b) | 1000000 | 1000673 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(c) | 118679 | 118934 |
| Reach ABS Trust Series 2025-1A Class A, 4.96% 8/16/2032 (b) | 331236 | 332101 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) | 78881 | 79181 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 20000 | 20051 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class B, 4.87% 5/15/2031  | 200000 | 202127 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 3748 | 3755 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) | 265861 | 267218 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (b) | 82280 | 82454 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (b) | 200000 | 202309 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (b) | 180000 | 181458 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 100000 | 100407 |
| Verizon Master Trust Series 2024-8 Class A1A, 4.62% 11/20/2030  | 500000 | 507091 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 979960 | 991021 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 150000 | 150263 |
| Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/2029  | 400000 | 405333 |
| Wells Fargo Card Issuance Trust Series 2024-A2 Class A, 4.29% 10/15/2029  | 110000 | 110982 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 246304 | 250502 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-2A Class A, 6.46% 8/18/2038 (b) | 87079 | 88150 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (b) | 190000 | 189811 |
| Willis Engine Structured Trust III Series 2017-A Class A, 4.69% 8/15/2042 (b)(c) | 979066 | 977513 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 155569 | 155811 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class B, 4.68% 5/15/2030  | 250000 | 252565 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 40000 | 40002 |
| TOTAL UNITED STATES |  | 46859712 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $47,328,570) |  | <br> **47651465** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 11.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 11.1%  |  |  |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b) | 999550 | 940853 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(c) | 127624 | 128848 |
| Bravo Residential Funding Trust Series 2023-RPL1 Class A1, 5% 5/25/2063 (b) | 70092 | 70685 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(c) | 54406 | 54175 |
| CFMT LLC Series 2024-R1 Class A1, 4% 10/25/2054 (b) | 369010 | 363452 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (b)(c) | 92723 | 93646 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 88053 | 81524 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.7718% 9/25/2052 (c)(e) | 282705 | 279564 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 11/25/2053 (c)(e) | 162005 | 163633 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.6018% 7/25/2054 (c)(e) | 73633 | 74301 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 6/25/2054 (c)(e) | 150156 | 150828 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-12 Class CF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.4718% 3/25/2055 (c)(e) | 169360 | 170280 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 184834 | 148740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class XA, 2% 4/25/2043  | 517063 | 498296 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.1218% 8/25/2053 (c)(e) | 200682 | 200853 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.5218% 10/25/2053 (c)(e) | 243285 | 246163 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.2718% 6/25/2054 (c)(e) | 145419 | 146199 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.1718% 11/25/2054 (c)(e) | 754942 | 756525 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.2218% 2/25/2055 (c)(e) | 147548 | 148086 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.1218% 4/25/2055 (c)(e) | 180252 | 180013 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 499283 | 489427 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(c) | 85342 | 81804 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (b) | 478942 | 461300 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(d) | 468039 | 469723 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (b)(d) | 452150 | 455680 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (b)(c) | 987162 | 986196 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (b)(c) | 55665 | 54487 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 193417 | 193417 |
| Onslow Bay Financial LLC Series 2025-NQM20 Class A1, 5.021% 10/25/2065 (b)(c) | 198337 | 198909 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (b)(d) | 95795 | 93594 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (b)(c) | 176395 | 177304 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) | 103145 | 102003 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (b)(c) | 166009 | 163685 |
| PRPM LLC Series 2024-RPL4 Class A1, 4% 12/25/2054 (b)(d) | 447411 | 440957 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (b) | 970455 | 967424 |
| Towd Point Mortgage Trust 2023-1 Series 2023-1 Class A1, 3.75% 1/25/2063 (b) | 1314932 | 1280333 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (b) | 100000 | 97755 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (b) | 179919 | 181610 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(c) | 461264 | 465599 |
| TOTAL UNITED STATES |  | 12257871 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $12,148,156) |  | <br> **12257871** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 23.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 23.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 23.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 23.0%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.7016% 6/15/2040 (b)(c)(e) | 141000 | 141528 |
| BANK Series 2017-BNK5 Class A4, 3.131% 6/15/2060  | 23967 | 23661 |
| BANK Series 2017-BNK8 Class A3, 3.229% 11/15/2050  | 147580 | 145642 |
| BANK Series 2019-BN21 Class A4, 2.6% 10/17/2052  | 1393195 | 1324787 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 696264 | 673362 |
| BANK Series 2023-BNK45 Class A5, 5.203% 2/15/2056 (c) | 100000 | 103013 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 200000 | 209957 |
| BANK5 Series 2025-5YR16 Class XB, 0.3466% 8/15/2063 (c)(f) | 1000000 | 18384 |
| BBCMS Mortgage Trust Series 2022-C14 Class ASB, 2.901% 2/15/2055  | 190000 | 182125 |
| Benchmark Mortgage Trust Series 2018-B4 Class ASB, 4.059% 7/15/2051  | 13230 | 13216 |
| Benchmark Mortgage Trust Series 2018-B7 Class A3, 4.241% 5/15/2053  | 1100000 | 1098924 |
| Benchmark Mortgage Trust Series 2018-B7 Class A4, 4.51% 5/15/2053  | 300000 | 301236 |
| Benchmark Mortgage Trust Series 2019-B12 Class A5, 3.1156% 8/15/2052  | 150000 | 143993 |
| Benchmark Mortgage Trust Series 2021-B31 Class A5, 2.669% 12/15/2054  | 50000 | 44866 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 100000 | 104215 |
| Benchmark Mortgage Trust Series 2025-V16 Class XB, 0.4883% 8/15/2058 (c)(f) | 1000000 | 15354 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.3011% 3/15/2041 (b)(c)(e) | 94883 | 94883 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.9681% 10/15/2058 (c)(f) | 2900000 | 102038 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (c) | 1400000 | 1471721 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.218% 11/5/2039 (b)(c) | 700000 | 715864 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.45% 4/15/2037 (b)(c)(e) | 538683 | 538850 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.3506% 3/15/2041 (b)(c)(e) | 140359 | 140359 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.4023% 4/15/2040 (b)(c)(e) | 90664 | 90664 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.6003% 5/15/2041 (b)(c) | 183177 | 183291 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.7626% 10/15/2036 (b)(c)(e) | 100000 | 99814 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.2713% 2/15/2039 (b)(c)(e) | 70000 | 69913 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.1498% 12/9/2040 (b)(c)(e) | 71601 | 71601 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.2518% 12/15/2039 (b)(c)(e) | 753697 | 748715 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.4008% 4/15/2041 (b)(c)(e) | 331757 | 331757 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.1028% 3/15/2030 (b)(c)(e) | 110569 | 110361 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.3524% 3/15/2030 (b)(c)(e) | 21915 | 21860 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.5022% 3/15/2030 (b)(c)(e) | 597669 | 596177 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.3235% 11/15/2038 (b)(c)(e) | 78016 | 77963 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8735% 2/15/2036 (b)(c)(e) | 250000 | 249693 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.401% 2/15/2039 (b)(c)(e) | 417616 | 417746 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.7505% 2/15/2039 (b)(c)(e) | 216232 | 216502 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.109% 2/15/2035 (b)(c)(e) | 150000 | 149708 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (b)(c) | 100000 | 101763 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (b) | 1571000 | 10972 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 423872 | 418610 |
| Citigroup Commercial Mortgage Trust Series 2017-P8 Class A3, 3.203% 9/15/2050  | 400000 | 393633 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  | 169000 | 167188 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  | 440176 | 438527 |
| CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A3, 3.9585% 8/15/2051  | 500000 | 497741 |
| DBJPM Mortgage Trust Series 2016-C1 Class A3A, 3.015% 5/10/2049  | 56727 | 56631 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 300000 | 268677 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 5.8433% 1/15/2041 (b)(c) | 503000 | 517629 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (b)(c) | 1000000 | 1025328 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 5.259% 10/15/2042 (b)(c)(e) | 645000 | 646006 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.559% 10/15/2042 (b)(c)(e) | 25000 | 25047 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 200000 | 198033 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 200000 | 198099 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K748 Class A2, 2.26% 1/25/2029  | 300000 | 286150 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.7319% 6/25/2030 (c)(e) | 300000 | 299876 |
| GS Mortgage Securities Corp II Series 2019-GC40 Class A4, 3.16% 7/10/2052  | 150000 | 143398 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 448077 | 441078 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 150000 | 148253 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 146478 | 146022 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.659% 10/15/2035 (b)(c)(e) | 15000 | 15005 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (b)(c) | 102000 | 101473 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (b) | 600000 | 591053 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 4.8788% 11/5/2037 (b)(c) | 100000 | 100820 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class ASB, 3.4743% 12/15/2049 (c) | 72124 | 71811 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class A4, 3.0565% 11/13/2052  | 1500000 | 1370117 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 200000 | 171056 |
| MHC Commercial Mortgage Trust Series 2021-MHC Class A, CME Term SOFR 1 month Index + 0.9154%, 4.8744% 4/15/2038 (b)(c)(e) | 61697 | 61677 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.459% 9/15/2040 (b)(c)(e) | 1625000 | 1622173 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 285000 | 283470 |
| Morgan Stanley Capital I Trust Series 2019-H7 Class A4, 3.261% 7/15/2052  | 600000 | 579030 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class A4, 2.444% 6/15/2054 (c) | 120000 | 107579 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(c) | 56759 | 55920 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 5.209% 8/15/2042 (b)(c)(e) | 500000 | 500312 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 4/15/2028 (b) | 155000 | 155000 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.8042% 11/15/2038 (b)(c)(e) | 545247 | 544738 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.2019% 12/15/2039 (b)(c)(e) | 100000 | 100000 |
| UBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.196% 6/15/2050  | 8852 | 8751 |
| UBS Commercial Mortgage Trust Series 2017-C5 Class ASB, 3.345% 11/15/2050  | 74261 | 73602 |
| UBS Commercial Mortgage Trust Series 2019-C18 Class A4, 3.0352% 12/15/2052  | 200000 | 189755 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC24 Class A3, 2.684% 10/15/2049  | 152199 | 150908 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 50000 | 49972 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class ASB, 3.16% 6/15/2052  | 71319 | 70152 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class ASB, 2.525% 11/15/2054  | 525000 | 499016 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.7503% 10/15/2041 (b)(c)(e) | 100000 | 100004 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 6.2496% 10/15/2041 (b)(c)(e) | 100000 | 100196 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.0229% 8/15/2041 (b)(c)(e) | 86954 | 86600 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 5.7233% 8/15/2041 (b)(c)(e) | 54763 | 54765 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XB, 0.5147% 5/15/2058 (c)(f) | 2000000 | 45184 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.1004% 3/15/2038 (b)(c) | 100000 | 100527 |
| TOTAL UNITED STATES |  | 25433070 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $25,185,450) |  | <br> **25433070** |

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---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 22.7%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 82524 | 70635 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 580846 | 525962 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 173497 | 157266 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 12938 | 11727 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 331108 | 283609 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 13121 | 11894 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 14446 | 13095 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 751945 | 681598 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 462468 | 415878 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 71366 | 64689 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 172168 | 155900 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 14996 | 13579 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 189915 | 176971 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 14361 | 13299 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 56873 | 52801 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 401071 | 351081 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 20340 | 18883 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2038  | 676375 | 630275 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 48754 | 45492 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2036  | 101131 | 96266 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2035  | 254201 | 241971 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2030 (g)(h) | 143047 | 140784 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052 (h) | 65579 | 64573 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052 (g) | 49094 | 48341 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2040  | 3566754 | 3608281 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 205171 | 207560 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2040  | 825366 | 846389 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054 (g)(h) | 87913 | 90371 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 196881 | 202802 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055 (g)(h) | 133747 | 141361 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 12726 | 11536 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 16690 | 15175 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 13032 | 11813 |
| Freddie Mac Gold Pool 1.5% 2/1/2037  | 2773698 | 2511611 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 339880 | 290449 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 86773 | 78655 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 176272 | 150424 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 14909 | 13500 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 15261 | 13819 |
| Freddie Mac Gold Pool 2% 10/1/2035  | 196810 | 183395 |
| Freddie Mac Gold Pool 2% 4/1/2036  | 13338 | 12370 |
| Freddie Mac Gold Pool 2% 8/1/2036  | 94476 | 88095 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 79303 | 78087 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 155222 | 157029 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 110694 | 114807 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 197182 | 205623 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 173257 | 180458 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 69129 | 71889 |
| Ginnie Mae II Pool 5.5% 1/1/2056 (i) | 650000 | 656018 |
| Ginnie Mae II Pool 5.5% 12/1/2055 (i) | 925000 | 934394 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 89777 | 90775 |
| Ginnie Mae II Pool 6% 1/1/2056 (i) | 825000 | 840952 |
| Ginnie Mae II Pool 6% 12/1/2055 (i) | 1825000 | 1859647 |
| Ginnie Mae II Pool 6% 2/1/2056 (i) | 475000 | 483851 |
| Uniform Mortgage Backed Securities 4.5% 1/1/2041 (i) | 950000 | 949963 |
| Uniform Mortgage Backed Securities 4.5% 12/1/2040 (i) | 950000 | 950223 |
| Uniform Mortgage Backed Securities 5% 12/1/2040 (i) | 1000000 | 1011563 |
| Uniform Mortgage Backed Securities 6% 1/1/2056 (i) | 75000 | 76783 |
| Uniform Mortgage Backed Securities 6% 12/1/2055 (i) | 2975000 | 3046354 |
| Uniform Mortgage Backed Securities 6.5% 1/1/2056 (i) | 325000 | 336819 |
| Uniform Mortgage Backed Securities 6.5% 12/1/2055 (i) | 325000 | 336654 |
| TOTAL UNITED STATES |  | 25146064 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $24,920,483) |  | <br> **25146064** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 10.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 10.0%** |
|  | Yield (%) (j) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 5.12 | 520000 | 520204 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.67 | 200000 | 202500 |
| US Treasury Bonds 5% 5/15/2045  | 4.87 | 150000 | 157242 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.63 | 277916 | 271413 |
| US Treasury Notes 3.5% 11/15/2028  | 3.49 | 3150000 | 3150738 |
| US Treasury Notes 3.625% 8/15/2028  | 3.45 to 3.59 | 1960000 | 1966738 |
| US Treasury Notes 3.75% 4/30/2027  | 3.98 to 3.99 | 3000000 | 3007266 |
| US Treasury Notes 3.875% 7/15/2028  | 3.85 to 3.87 | 1790000 | 1807061 |
| US Treasury Notes 4.75% 2/15/2045  | 4.99 | 30000 | 30473 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $11,055,411) |  |  | **11113635** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** | &nbsp;&nbsp;**Money Market Funds - 3.3%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (k)<br>(Cost $3,658,299)<br>| 4.02 | 3657568 | **3658299** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** | &nbsp;&nbsp;**Purchased Swaptions - 0.3%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/5/2029 | 300000 | 9477 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1620000 | 49017 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 410000 | 12802 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 200000 | 6123 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.646% and receive annually a floating rate based on US SOFR Index, expiring January 2036 | 1/7/2026 | 400000 | 2533 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.94% and receive annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 400000 | 12562 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.455% and receive annually a floating rate based on US SOFR Index, expiring August 2034 | 8/29/2029 | 200000 | 7444 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1000000 | 12352 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 540000 | 18901 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.874% and receive annually a floating rate based on US SOFR Index, expiring October 2035 | 10/28/2030 | 300000 | 10608 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.87% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/7/2029 | 300000 | 9115 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 400000 | 14014 |
| TOTAL PUT SWAPTIONS |  |  | 164948 |
| Call Swaptions - 0.3% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/5/2029 | 300000 | 9576 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 1620000 | 60947 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 410000 | 14914 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 200000 | 7346 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.646% and pay annually a floating rate based on US SOFR Index, expiring January 2036 | 1/7/2026 | 400000 | 3733 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.94% and pay annually a floating rate based on US SOFR Index, expiring March 2035 | 3/21/2030 | 400000 | 13845 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.455% and pay annually a floating rate based on US SOFR Index, expiring August 2034 | 8/29/2029 | 200000 | 4930 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/8/2026 | 1000000 | 33779 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 540000 | 17128 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.874% and pay annually a floating rate based on US SOFR Index, expiring October 2035 | 10/28/2030 | 300000 | 9661 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.87% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/7/2029 | 300000 | 9984 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 400000 | 12701 |
| TOTAL CALL SWAPTIONS |  |  | 198544 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $427,629) |  |  | <br> **363492** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 113.5%**<br> (Cost $124,723,998)<br>| <br>**125623896** |
| **NET OTHER ASSETS (LIABILITIES) - (13.5)%**  | **(14940075)** |
| **NET ASSETS - 100.0%** | **110683821** |

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---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5.5% 12/1/2055 | (925000) | (934394) |
| Ginnie Mae II Pool 6% 1/1/2056 | (300000) | (305801) |
| Ginnie Mae II Pool 6% 12/1/2055 | (1825000) | (1859647) |
| Uniform Mortgage Backed Securities 4.5% 12/1/2040 | (950000) | (950223) |
| Uniform Mortgage Backed Securities 6% 1/1/2056 | (75000) | (76784) |
| Uniform Mortgage Backed Securities 6% 12/1/2055 | (2975000) | (3046354) |
| Uniform Mortgage Backed Securities 6.5% 12/1/2055 | (325000) | (336654) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (7509857) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $7,500,937) |  | <br> **(7509857)** |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 117 | 3/31/2026 | 24435633 | 11354 | 11354 |
| CBOT US Treasury Long Bond Contracts (United States) | 4 | 3/20/2026 | 469875 | 3777 | 3777 |
| TOTAL PURCHASED |  |  |  |  | 15131 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 19 | 3/20/2026 | 2153531 | (9981) | (9981) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 26 | 3/31/2026 | 2853703 | (7745) | (7745) |
| TOTAL SOLD |  |  |  |  | (17726) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(2595)** |
| The notional amount of futures purchased as a percentage of Net Assets is 22.5% | The notional amount of futures purchased as a percentage of Net Assets is 22.5% | The notional amount of futures purchased as a percentage of Net Assets is 22.5% | The notional amount of futures purchased as a percentage of Net Assets is 22.5% | The notional amount of futures purchased as a percentage of Net Assets is 22.5% | The notional amount of futures purchased as a percentage of Net Assets is 22.5% |
| The notional amount of futures sold as a percentage of Net Assets is 4.5% | The notional amount of futures sold as a percentage of Net Assets is 4.5% | The notional amount of futures sold as a percentage of Net Assets is 4.5% | The notional amount of futures sold as a percentage of Net Assets is 4.5% | The notional amount of futures sold as a percentage of Net Assets is 4.5% | The notional amount of futures sold as a percentage of Net Assets is 4.5% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 100000 | (1355) | 2417 | 1062 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (6775) | 13436 | 6661 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1800000 | (23250) | 23325 | 75 |
| CMBX BBB- Series 16 Index | NR | 4/17/2065 | JPMorgan Securities LLC | 3% | Monthly | 100000 | (17350) | 15416 | (1934) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 300000 | (4065) | 4461 | 396 |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 99979 | (152) | 1478 | 1326 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1355) | 2010 | 655 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2710) | 4042 | 1332 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1355) | 1551 | 196 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 599875 | (4276) | 5311 | 1035 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 500000 | (6775) | 6567 | (208) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (2710) | 3088 | 378 |
| CMBX AAA Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1199750 | (8551) | 14512 | 5961 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (12196) | 15293 | 3097 |
| CMBX BBB- Series 16 Index | NR | 4/17/2065 | Citigroup Global Markets Ltd | 3% | Monthly | 150000 | (26025) | 24482 | (1543) |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 3% | Monthly | 100000 | (14150) | 12042 | (2108) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **(133050)** | **149431** | **16381** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2027 | 2341000 | 7161 | 0 | 7161 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2028 | 5806000 | 24309 | 0 | 24309 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2029 | 1748000 | 7876 | 0 | 7876 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2032 | 130000 | 875 | 0 | 875 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2045 | 36000 | 727 | 0 | 727 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **40948** | **0** | **40948** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $56,919,784 or 51.4% of net assets.

(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(f) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(g) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $258,828.

(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $169,538.

(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(j) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 10129623 | 19250051 | 25721772 | 35097 | 397 | - | 3658299 | 3657568 | 0.0% |
| Total | 10129623 | 19250051 | 25721772 | 35097 | 397 | - | 3658299 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Limited Term Securitized Completion Fund

- **b. EDGAR series identifier (if any):** S000085243

- **c. LEI of Series:** 2549001H0X8EQFWLH509

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $135229815.74

**Total Liabilities:** $25199438.52

**Net Assets:** $110030377.22

**Delayed Delivery Securities:** $11469043.46

**Cash Not Reported:** $152699.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 505.29503348 | **1-Year:** 10028.47500582 | **5-Year:** 11413.89327354 | **10-Year:** 2881.02920980 | **30-Year:** 957.99716269

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

- **3-Month:** 17.98645575 | **1-Year:** 83.24623654 | **5-Year:** 60.06818903 | **10-Year:** 1.24343678 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000250211 | 0.55%                | 0.28%                | 0.56%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $74522.27                | $38268.21                                  |
| Month 2  | $78108.50                | $-103646.26                                |
| Month 3  | $23286.09                | $246108.85                                 |

**Designated Index Information**

- **Index Name:** Bloomberg ABS ex. Stranded Cost Utility Index

- **Index Identifier:** 82982688

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   3475535 | NS      | $3476229.70   | 3.16%             |  |  |  | No            |                  1 | On Loan: No      |
| DBJPM 16-C1                                                 | DBJPM 16-C1 3.015% 05/10/2049                                                     | CUSIP: 23312LAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56727 | PA      | $56631.27     | 0.05%             | 2049-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                   | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                               | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440176 | PA      | $438526.76    | 0.40%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    152199 | PA      | $150908.05    | 0.14%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                      | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                     | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102000 | PA      | $101473.40    | 0.09%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                             | JPMCC COML MTG SECS TR 2016-JP4 3.4743% 12/15/2049                                | CUSIP: 46645UAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72124 | PA      | $71811.13     | 0.07%             | 2049-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                      | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                       | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169000 | PA      | $167188.35    | 0.15%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                     | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                         | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448077 | PA      | $441078.34    | 0.40%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                     | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                     | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423872 | PA      | $418610.33    | 0.38%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C1                                     | UBS COML MTG TR 2017-C1 3.196% 06/15/2050                                         | CUSIP: 90276EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8852 | PA      | $8751.74      | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                              | BANK 2017-BNKS 3.131% 06/15/2060                                                  | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23967 | PA      | $23661.06     | 0.02%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 A3 3.203% 09/15/2050                  | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $393632.88    | 0.36%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                  | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $198034.18    | 0.18%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017                    | CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050                                   | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $98795.13     | 0.09%             | 2050-10-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                              | BANK 2017-BNK8 A3 3.229% 11/15/2050                                               | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147580 | PA      | $145642.33    | 0.13%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C5                                     | UBS COML MTG TR 2017-C5 3.345% 11/15/2050                                         | CUSIP: 90276TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74261 | PA      | $73601.54     | 0.07%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                  | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $198098.52    | 0.18%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                    | BENCHMARK 2018-B4 MTG TR 4.059% 07/15/2051                                        | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13230 | PA      | $13215.67     | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                            | WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051                             | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $49972.38     | 0.05%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                     | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $148253.18    | 0.13%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                    | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146478 | PA      | $146022.20    | 0.13%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX12 COML MTG TR                                 | CSAIL 2018-CX12 COML MTG TR 3.9585% 08/15/2051                                    | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $497741.40    | 0.45%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                    | BENCHMARK 2018-B7 A4 4.51% 05/15/2053                                             | CUSIP: 08162TBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301235.61    | 0.27%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                    | BENCHMARK 2018-B7 MTG TR 4.241% 11/15/2051                                        | CUSIP: 08162TBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1098923.98   | 1.00%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                      | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $283470.35    | 0.26%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                               | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                    | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1905000 | PA      | $1909466.27   | 1.74%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                        | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                       | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $591053.04    | 0.54%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-H7                             | MORGAN STANLEY CAP I TR 2019-H7 A4 3.261% 07/15/2052                              | CUSIP: 61771MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $579029.70    | 0.53%             | 2052-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                   | BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052                                      | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143992.52    | 0.13%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C51                            | WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052                             | CUSIP: 95001VAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71319 | PA      | $70152.33     | 0.06%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                    | GS MTG SECS CORP TR 2019 3.16% 07/10/2052                                         | CUSIP: 36257HBP0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143397.56    | 0.13%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                              | CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028                                   | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $789632.64    | 0.72%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                             | BANK 2019-BNK20 2.6% 10/17/2052                                                   | CUSIP: 06540BBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393195 | PA      | $1324787.24   | 1.20%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2019-2                             | ONEMAIN FINL ISSUANCE TR 2019-2 3.14% 10/14/2036 144A                             | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $590804.40    | 0.54%             | 2036-10-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                 | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                               | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1370117.10   | 1.25%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                          | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 3.0352% 12/15/2052                         | CUSIP: 90278PBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $189754.64    | 0.17%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                             | BANK 2020-BNK26 2.313% 03/15/2063                                                 | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696264 | PA      | $673362.30    | 0.61%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020             | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $171055.56    | 0.16%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 08/01/2035#MA4099                                                  | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254201 | PA      | $241970.80    | 0.22%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                               | DBJPM 2020-C9 1.926% 08/15/2053                                                   | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $268676.64    | 0.24%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 01/01/2036#SB8083                                                  | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12726 | PA      | $11535.79     | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 12/01/2035#MA4205                                                  | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12938 | PA      | $11727.34     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 03/01/2036#                                                        | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14446 | PA      | $13094.80     | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331108 | PA      | $283609.19    | 0.26%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 04/01/2036#SB8098                                                    | CUSIP: 3132D57K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13338 | PA      | $12370.39     | 0.01%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                       | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                       | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1316152.44   | 1.20%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                    | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61697 | PA      | $61677.32     | 0.06%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 10/01/2035#RC1599                                                    | CUSIP: 3133L7X44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196810 | PA      | $183395.36    | 0.17%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 06/36#SB8106                                                       | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15261 | PA      | $13819.00     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#MA4302                                                  | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71366 | PA      | $64689.47     | 0.06%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 04/01/2036#SB8097                                                  | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86773 | PA      | $78655.24     | 0.07%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                 | MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054                                    | CUSIP: 61692CBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $107578.58    | 0.10%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A             | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $977714.90    | 0.89%             | 2034-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 02/01/2036#FM5367                                                  | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13121 | PA      | $11893.73     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99814.20     | 0.09%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545247 | PA      | $544737.50    | 0.50%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 06/01/2036#MA4359                                                  | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172168 | PA      | $155899.59    | 0.14%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                           | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                               | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $44866.19     | 0.04%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                  | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $499015.70    | 0.45%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#MA4540                                                    | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401071 | PA      | $351081.26    | 0.32%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                      | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $69912.69     | 0.06%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                             | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                   | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    999550 | PA      | $940853.00    | 0.86%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C14                               | BBCMS Mortgage Trust 2022-C14 ASB 2.901% 02/15/2055                               | CUSIP: 07336AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $182124.98    | 0.17%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029                                   | CUSIP: 3137H5YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $286149.69    | 0.26%             | 2029-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 09/01/2030#AL7320                                                    | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143047 | PA      | $140784.48    | 0.13%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                      | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538683 | PA      | $538850.15    | 0.49%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176272 | PA      | $150424.42    | 0.14%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339880 | PA      | $290448.66    | 0.26%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82524 | PA      | $70634.80     | 0.06%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 11/52#MA4805                                                       | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49094 | PA      | $48340.97     | 0.04%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2052#SD8275                                                  | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79303 | PA      | $78086.80     | 0.07%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2023-1                            | TOWD POINT MORTGAGE TRUST 2023-1 A1 3.75% 01/25/2063 144A                         | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1314932 | PA      | $1280332.52   | 1.16%             | 2063-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                               | DLLAD 2023-1A 4.79% 01/20/2028 144A                                               | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    565740 | PA      | $568241.82    | 0.52%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                             | BANK 2023-BNK45 5.203% 02/15/2056                                                 | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $103012.50    | 0.09%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 02/01/2036#SB8088                                                  | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13032 | PA      | $11813.11     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2052#CB5405                                                  | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65579 | PA      | $64573.07     | 0.06%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                 | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249692.75    | 0.23%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 5.5% 06/14/2038 144A                      | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1035526.90   | 0.94%             | 2038-06-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A             | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $308429.19    | 0.28%             | 2035-04-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2023-2                                    | DELL EQUIP FIN TR 2023-2 5.65% 01/22/2029 144A                                    | CUSIP: 24703GAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     58113 | PA      | $58277.60     | 0.05%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A                            | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115000 | PA      | $115821.74    | 0.11%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 2023-1 A2 SOFR30A+115 06/15/2028 144A            | CUSIP: 361886CS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401543.56    | 0.36%             | 2028-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                           | CHASE ISSUANCE TR 5.16% 09/15/2028                                                | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    374000 | PA      | $377615.72    | 0.34%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                   | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                   | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     75863 | PA      | $76852.23     | 0.07%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-RPL1                          | BRAVO RESIDENTIAL FDG TR 2023-RPL1 A1 5% 05/25/2063 144A                          | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70092 | PA      | $70684.74     | 0.06%             | 2063-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                            | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     87079 | PA      | $88149.57     | 0.08%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                 | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54730 | PA      | $55001.90     | 0.05%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                  | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                       | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    979960 | PA      | $991020.57    | 0.90%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                          | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                         | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    469305 | PA      | $464662.98    | 0.42%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                     | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                          | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71601 | PA      | $71600.85     | 0.07%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                   | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503000 | PA      | $517629.10    | 0.47%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-1                      | CITIZENS AUTO RECEIVABLES TRUST 2024-1 5.11% 04/17/2028 144A                      | CUSIP: 17331QAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200936 | PA      | $201962.52    | 0.18%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2043                                      | CUSIP: 3137FVHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    517063 | PA      | $498296.03    | 0.45%             | 2043-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417616 | PA      | $417746.34    | 0.38%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216232 | PA      | $216501.82    | 0.20%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                           | CHASE ISSUANCE TR VAR 01/16/2029                                                  | CUSIP: 161571HV9<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100854.46    | 0.09%             | 2029-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2024-REV1                             | FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A                                | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $410139.60    | 0.37%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                      | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                           | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94883 | PA      | $94882.74     | 0.09%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                             | WELLS FARGO CARD ISSUANCE TRUST 4.94% 02/15/2029                                  | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $405333.16    | 0.37%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                     | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140359 | PA      | $140359.28    | 0.13%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                             | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                          | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    499283 | PA      | $489426.69    | 0.44%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.13% 03/15/2029 144A                            | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1013893.20   | 0.92%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.06% 03/15/2031 144A                            | CUSIP: 361886DF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1382000 | PA      | $1427511.89   | 1.30%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                       | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331757 | PA      | $331757.03    | 0.30%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 24-1                           | DELL EQUIPMENT FINANCE TRUST 24-1 5.39% 03/22/2030 144A                           | CUSIP: 24702GAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    833883 | PA      | $839645.96    | 0.76%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                              | AMERICAN EXPRESS CR ACC MST TR 5.23% 04/15/2029                                   | CUSIP: 02582JKH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $636991.19    | 0.58%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                           | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                           | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56886 | PA      | $57122.13     | 0.05%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                    | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                  | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183177 | PA      | $183291.03    | 0.17%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                              | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $406809.52    | 0.37%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                            | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                             | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $408458.76    | 0.37%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52763 | PA      | $53138.80     | 0.05%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 10/01/2035#FM4516                                                    | CUSIP: 3140X8AS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189915 | PA      | $176971.06    | 0.16%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 11/01/2035#QN4142                                                  | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16690 | PA      | $15175.46     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 05/01/2036#BR1069                                                  | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14909 | PA      | $13499.81     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 06/01/2036#BR2059                                                  | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14996 | PA      | $13578.57     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#FM6100                                                  | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751945 | PA      | $681598.27    | 0.62%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                    | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                    | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $200493.02    | 0.18%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                 | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74910 | PA      | $75402.50     | 0.07%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORDO 2024-B                                                | FORDO 2024-B 5.1% 04/15/2029                                                      | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342000 | PA      | $345956.32    | 0.31%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                      | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                            | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $75676.58     | 0.07%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                       | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                       | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100538.07    | 0.09%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-1355.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY562346 11/18/64 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     99979 | NC      | $-151.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                            | KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A                            | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1626581.92   | 1.48%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2054#CB8857                                                    | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87913 | PA      | $90371.31     | 0.08%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                          | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                         | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    103145 | PA      | $102002.61    | 0.09%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                       | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                       | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253405.73    | 0.23%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                   | MFRA TRUST VAR 02/25/2066 144A                                                    | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85342 | PA      | $81803.79     | 0.07%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                   | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                   | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $181458.47    | 0.16%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                            | EQT TR 2024-EXTR A VAR 07/05/2041 144A                                            | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1025328.40   | 0.93%             | 2041-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A             | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54763 | PA      | $54764.55     | 0.05%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A               | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86954 | PA      | $86600.10     | 0.08%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                            | DLLMT 2024-1 LLC 4.84% 08/21/2028 144A                                            | CUSIP: 23347AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $756634.05    | 0.69%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                            | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                               | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104215.20    | 0.09%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                          | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                            | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     54406 | PA      | $54174.61     | 0.05%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1355.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $7444.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $4929.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 02/01/2036#CA9140                                                    | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56873 | PA      | $52800.77     | 0.05%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3748 | PA      | $3755.60      | 0.00%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                        | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                         | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    193417 | PA      | $193417.22    | 0.18%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-B                       | AFFIRM ASSET SECURITIZATION TR 2024-B A 4.62% 09/15/2029 144A                     | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320000 | PA      | $320739.01    | 0.29%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2710.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                           | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                           | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56759 | PA      | $55919.80     | 0.05%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 4.3% 09/15/2029 144A                               | CUSIP: 34528QJK1<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1005584.50   | 0.91%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                       | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                       | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $50503.53     | 0.05%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                            | CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A                                            | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    369010 | PA      | $363452.45    | 0.33%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                    | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100004.14    | 0.09%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                    | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100195.90    | 0.09%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                          | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                         | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    166009 | PA      | $163685.24    | 0.15%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32584 | PA      | $32673.51     | 0.03%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15964 | PA      | $15947.66     | 0.01%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                             | WELLS FARGO CARD ISSUANCE TRUST 4.29% 10/15/2029                                  | CUSIP: 92970QAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $110981.53    | 0.10%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                     | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                   | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $715863.54    | 0.65%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 3.805 11/05/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9576.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 3.805 11/05/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9477.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP REC 3.87 11/07/29                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9985.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP PAY 3.87 11/07/29                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9115.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $520203.12    | 0.47%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                             | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                    | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78016 | PA      | $77963.35     | 0.07%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                        | VERIZON MASTER TRUST 4.62% 11/20/2030                                             | CUSIP: 92348KDM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $507091.30    | 0.46%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                          | PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A                                        | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    447411 | PA      | $440956.66    | 0.40%             | 2054-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 11/01/2036#FM9724                                                    | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14361 | PA      | $13298.80     | 0.01%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                    | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753697 | PA      | $748715.20    | 0.68%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1355.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A  | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99999.94     | 0.09%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 10/01/2036#FS9362                                                  | CUSIP: 3140XRML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173497 | PA      | $157266.08    | 0.14%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                    | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                     | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    166806 | PA      | $167321.36    | 0.15%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 08/01/2036#RC2193                                                    | CUSIP: 3133L8NJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94476 | PA      | $88095.45     | 0.08%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 07/01/2036#FM7881                                                    | CUSIP: 3140XBXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48754 | PA      | $45492.27     | 0.04%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#MB0092                                                    | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89777 | PA      | $90775.42     | 0.08%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 07/01/2039#SB1215                                                    | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110694 | PA      | $114806.80    | 0.10%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051           | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    184834 | PA      | $148739.69    | 0.14%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                   | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     88053 | PA      | $81524.34     | 0.07%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2055#CB9828                                                  | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133747 | PA      | $141360.58    | 0.13%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                        | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                        | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    700000 | PA      | $708350.86    | 0.64%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                            | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                            | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85000 | PA      | $86705.25     | 0.08%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                         | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20000 | PA      | $20051.64     | 0.02%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                      | REACH ABS TRUST 2025-1 4.96% 08/16/2032 144A                                      | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    331236 | PA      | $332100.93    | 0.30%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS EQUIPMENT FINANCE LLC 2025-A                        | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A                        | CUSIP: 06764MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    337788 | PA      | $339642.72    | 0.31%             | 2028-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A              | CUSIP: 81378RAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      6492 | PA      | $6549.45      | 0.01%             | 2031-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                          | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                   | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149707.50    | 0.14%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                      | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                       | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95973 | PA      | $96638.98     | 0.09%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                       | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $50303.69     | 0.05%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                              | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53029 | PA      | $53094.67     | 0.05%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                             | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     73633 | PA      | $74300.70     | 0.07%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                             | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    162005 | PA      | $163633.31    | 0.15%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                             | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    147548 | PA      | $148085.96    | 0.13%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                 | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    150156 | PA      | $150827.78    | 0.14%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.75% 02/15/2045                                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30473.44     | 0.03%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | USTN TII 2.375% 02/15/2055                                                        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $271413.37    | 0.25%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX Trust 2025-ROIC VAR 03/15/2030 144A                                            | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110569 | PA      | $110361.44    | 0.10%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21915 | PA      | $21859.80     | 0.02%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597669 | PA      | $596176.32    | 0.54%             | 2030-03-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    599875 | NC      | $-4275.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                         | AFFIRM MASTER TRUST 4.99% 02/15/2033 144A                                         | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235000 | PA      | $236908.55    | 0.22%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    500000 | NC      | $-6775.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $-4065.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027             | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    155569 | PA      | $155810.88    | 0.14%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                 | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                 | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150262.73    | 0.14%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                 | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                 | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    230925 | PA      | $231252.70    | 0.21%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100264.77    | 0.09%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $150448.14    | 0.14%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU 25-12 CTF SOFR30A+140 03/25/2055                           | CUSIP: 3136BVFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    169360 | PA      | $170280.38    | 0.15%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2710.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $151593.57    | 0.14%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                      | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96636 | PA      | $97078.45     | 0.09%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A                                      | CUSIP: 12515XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253455.20    | 0.23%             | 2032-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A              | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253685.73    | 0.23%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                 | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252804.13    | 0.23%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.68% 05/15/2030             | CUSIP: 98164PAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252565.00    | 0.23%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                            | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                            | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100527.02    | 0.09%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST               | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A               | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    139277 | PA      | $140729.01    | 0.13%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                         | CARVANA AUTO RECEIVABLES TR 2025-P1 4.98% 05/12/2031                              | CUSIP: 14689MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $203883.66    | 0.19%             | 2031-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                         | DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A                                         | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1460000 | PA      | $1475859.98   | 1.34%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.87% 05/15/2031                    | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $202127.38    | 0.18%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 4.79% 03/15/2029 144A                            | CUSIP: 361886DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100708.55    | 0.09%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 04/01/2036#MA4321                                                  | CUSIP: 31418DYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462468 | PA      | $415878.34    | 0.38%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                         | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                            | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1471721.16   | 1.34%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                      | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A              | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90664 | PA      | $90664.18     | 0.08%             | 2040-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $13844.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $12562.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2036#FS4058                                                  | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101131 | PA      | $96265.51     | 0.09%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                       | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                       | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $97754.52     | 0.09%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 5.646% 04/15/2058                                                | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $209956.74    | 0.19%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    500000 | NC      | $-6775.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.75% 04/30/2027                                                        | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3007265.64   | 2.73%             | 2027-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                    | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                    | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $302663.22    | 0.28%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 4.03 04/25/30                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $7346.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 4.03 04/25/30                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $6123.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                    | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44292 | PA      | $44374.56     | 0.04%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 5.5% 03/01/2040#FA1061                                                  | CUSIP: 3140W1FB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825366 | PA      | $846388.90    | 0.77%             | 2040-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 5.19% 04/15/2030 144A                      | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401121.40    | 0.36%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 03/01/2037#FS7773                                                    | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20340 | PA      | $18883.37     | 0.02%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.065 05/02/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $49016.70     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.065 05/02/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $60946.67     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                      | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                      | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201463.26    | 0.18%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                | VERUS 2025-4 5.448% 05/25/2070 144A                                               | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179919 | PA      | $181610.40    | 0.17%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                             | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    243285 | PA      | $246163.33    | 0.22%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.01 05/07/30                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $12801.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.01 05/07/30                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $14913.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                  | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118679 | PA      | $118934.11    | 0.11%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                             | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                             | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80331 | PA      | $80504.73     | 0.07%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                        | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                       | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     92723 | PA      | $93646.19     | 0.09%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                          | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                           | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127624 | PA      | $128848.49    | 0.12%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                         | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                    | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141000 | PA      | $141528.16    | 0.13%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 5% 05/15/2045                                         | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $157242.19    | 0.14%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                 | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $45184.20     | 0.04%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                          | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                               | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101667.12    | 0.09%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                             | VERD 2025-1A A2 4.85% 03/13/2028 144A                                             | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100407.46    | 0.09%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                           | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                            | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    144937 | PA      | $146367.15    | 0.13%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873245 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1199750 | NC      | $-8551.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 02/01/2037#SB1503                                                  | CUSIP: 3132CXU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2773698 | PA      | $2511609.59   | 2.28%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                           | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                          | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    461264 | PA      | $465599.19    | 0.42%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                              | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                            | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    452150 | PA      | $455680.30    | 0.41%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    900000 | NC      | $-12195.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                               | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                               | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100314.67    | 0.09%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                              | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                      | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     95795 | PA      | $93594.43     | 0.09%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                 | SCLP 2025-2 4.82% 06/25/2034 144A                                                 | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    265861 | PA      | $267217.84    | 0.24%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                | WESTF 2025-A 5.582% 06/15/2050 144A                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    246304 | PA      | $250501.53    | 0.23%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    150000 | NC      | $-26024.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A                     | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1012587.60   | 0.92%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                     | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    200682 | PA      | $200852.61    | 0.18%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                     | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    145419 | PA      | $146198.95    | 0.13%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-14150.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                             | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    180252 | PA      | $180012.86    | 0.16%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US LONG BOND(CBT) FUT MAR26 USH6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         4 | NC      | $3776.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR NOTE FUT (CBT)MAR26 TYH6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -19 | NC      | $-9980.89     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 5YR NOTE (CBT) FUT MAR26 FVH6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -26 | NC      | $-7745.21     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                          | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                         | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176395 | PA      | $177304.07    | 0.16%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT MAR26 TUH6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       117 | NC      | $11353.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                 | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                             | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55665 | PA      | $54486.60     | 0.05%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CY873248 04/17/65 S                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-17349.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                        | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101762.85    | 0.09%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#CC0730                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196881 | PA      | $202802.46    | 0.18%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/01/2055 #TBA                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    925000 | PA      | $934394.49    | 0.85%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/01/2055 #TBA                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -925000 | PA      | $-934394.49   | -0.85%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 12/01/2055 #TBA                                                        | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1825000 | PA      | $-1859646.53  | -1.69%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 12/01/2055 #TBA                                                        | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1825000 | PA      | $1859646.53   | 1.69%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 4.5% 12/01/2040 #TBA                                                    | CUSIP: 01F0424C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -950000 | PA      | $-950222.68   | -0.86%            | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 4.5% 12/01/2040 #TBA                                                    | CUSIP: 01F0424C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $950222.68    | 0.86%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 5% 12/01/2040 #TBA                                                      | CUSIP: 01F0504C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1011562.50   | 0.92%             | 2040-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 12/01/2055 #TBA                                                      | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2975000 | PA      | $-3046353.59  | -2.77%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 12/01/2055 #TBA                                                      | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2975000 | PA      | $3046353.59   | 2.77%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 12/01/2055 #TBA                                                    | CUSIP: 01F0626C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -325000 | PA      | $-336654.31   | -0.31%            | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 12/01/2055 #TBA                                                    | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    325000 | PA      | $336654.31    | 0.31%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                        | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                          | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571000 | PA      | $10971.86     | 0.01%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                              | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69129 | PA      | $71888.51     | 0.07%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.875% 07/15/2028                                                       | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1790000 | PA      | $1807060.94   | 1.64%             | 2028-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.9 07/08/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $12351.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.9 07/08/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1000000 | NC      | $33779.03     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                    | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                 | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    478942 | PA      | $461300.33    | 0.42%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                         | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                         | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78881 | PA      | $79180.51     | 0.07%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                   | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1505000 | PA      | $1514537.19   | 1.38%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                   | DLLAD LLC 4.42% 09/20/2030 144A                                                   | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101108.05    | 0.09%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                          | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                           | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67344 | PA      | $67508.27     | 0.06%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                           | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                             | CUSIP: 08164RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $15354.30     | 0.01%             | 2058-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+53 06/25/2030                              | CUSIP: 3137HMCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $299875.98    | 0.27%             | 2030-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                               | SCG 2025-FLWR 5.65% 08/15/2030 144A                                               | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500312.05    | 0.45%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                               | BHG 2025-2CON 4.84% 09/17/2036 144A                                               | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2026704 | PA      | $2047935.86   | 1.86%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.625% 08/15/2028                                                       | CUSIP: 91282CNU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1960000 | PA      | $1966737.50   | 1.79%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                           | OBX 2025-NQM14 STEP 08/25/2064 144A                                               | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    468039 | PA      | $469722.62    | 0.43%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                          | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                          | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2218302.90   | 2.02%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORDR 2025-2                                                | FORDR 2025-2 STEP 02/15/2038 144A                                                 | CUSIP: 34536BAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | PA      | $1719190.62   | 1.56%             | 2038-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 01/01/2056 #TBA                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $656017.57    | 0.60%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 01/01/2056 #TBA                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -300000 | PA      | $-305800.77   | -0.28%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 01/01/2056 #TBA                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825000 | PA      | $840952.12    | 0.76%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 4.5% 01/01/2041 #TBA                                                    | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $949962.86    | 0.86%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 01/01/2056 #TBA                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75000 | PA      | $76784.18     | 0.07%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 01/01/2056 #TBA                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -75000 | PA      | $-76784.18    | -0.07%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 01/01/2056 #TBA                                                    | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    325000 | PA      | $336819.34    | 0.31%             | 2056-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 08/01/2055#RJ4642                                                    | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197182 | PA      | $205623.11    | 0.19%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                               | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                               | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1100000 | PA      | $1101446.72   | 1.00%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR16                                            | BANK5 2025-5YR16 VAR 08/15/2063                                                   | CUSIP: 065934BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $18383.70     | 0.02%             | 2063-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                           | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                           | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82280 | PA      | $82454.18     | 0.07%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 5% 02/01/2040#SB8363                                                    | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155222 | PA      | $157029.02    | 0.14%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                              | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                         | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1625000 | PA      | $1622172.99   | 1.47%             | 2040-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                     | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030                           | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145000 | PA      | $145659.95    | 0.13%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                     | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.39% 09/17/2029                          | CUSIP: 30167KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170000 | PA      | $170746.86    | 0.16%             | 2029-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                    | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                    | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $202309.34    | 0.18%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 02/01/2056 #TBA                                                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475000 | PA      | $483850.58    | 0.44%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 12/17/27                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -2341000 | NC      | $7160.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 12/17/28                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -5806000 | NC      | $24308.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 12/17/29                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1748000 | NC      | $7876.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 12/17/32                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -130000 | NC      | $875.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 12/17/45                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -36000 | NC      | $726.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054                          | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    754942 | PA      | $756524.62    | 0.69%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                         | WORLD OMNI SELECT AUTO TRUST 2025-A 4.08% 08/15/2031                              | CUSIP: 98164UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40000 | PA      | $40003.26     | 0.04%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                         | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                         | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001857.10   | 0.91%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP REC 3.853 09/16/30                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $12700.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP PAY 3.853 09/16/30                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $14013.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.853 09/16/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    540000 | NC      | $18900.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.853 09/16/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    540000 | NC      | $17128.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                            | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                     | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $15004.69     | 0.01%             | 2035-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C12 MTG TR                                        | BMO 2025-5C12 MTG TR VAR 10/15/2058                                               | CUSIP: 09663VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $102037.95    | 0.09%             | 2058-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                        | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                          | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $646006.46    | 0.59%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                        | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                 | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $25046.82     | 0.02%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 08/01/2055#RJ4643                                                    | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173257 | PA      | $180458.14    | 0.16%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 3.646 01/07/26                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $2533.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 3.646 01/07/26                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $3732.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 A3 4.4% 12/16/2030                 | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40000 | PA      | $40027.71     | 0.04%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                    | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                      | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100820.36    | 0.09%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 5% 10/01/2040#MA5860                                                    | CUSIP: 31418FQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566754 | PA      | $3608280.48   | 3.28%             | 2040-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                              | CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030                                   | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100163.89    | 0.09%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                          | PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A                                         | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $996877.30    | 0.91%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST 2025-2                                | HPEFS EQUIPMENT TRUST 2025-2A A3 4.5% 11/22/2032 144A                             | CUSIP: 442927AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500159.10    | 0.45%             | 2032-11-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                               | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                               | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000969.60   | 0.91%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 4.67% 03/15/2032                   | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001155.90   | 0.91%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                              | CARMAX AUTO OWNER TRUST 2025-4 4.42% 07/15/2031                                   | CUSIP: 14320HAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001404.10   | 0.91%             | 2031-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 TR                                           | OBX 2025-NQM19 TR VAR 10/25/2065 144A                                             | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    987162 | PA      | $986195.82    | 0.90%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                | RCKTL 2025-2 4.6% 11/25/2034 144A                                                 | CUSIP: 74939HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000673.10   | 0.91%             | 2034-11-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                | RCKTL 2025-2 4.48% 11/25/2034 144A                                                | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100029.19    | 0.09%             | 2034-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+70 09/25/2052                              | CUSIP: 3136BNY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    282705 | PA      | $279563.88    | 0.25%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                      | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    190000 | PA      | $189811.20    | 0.17%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                    | ONSLOW BAY FINANCIAL LLC VAR 10/25/2065 144A                                      | CUSIP: 67126GAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    198337 | PA      | $198909.48    | 0.18%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.874 10/28/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $10608.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.874 10/28/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9660.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST III                          | WILLIS ENGINE STRUCTURED TRUST III VAR 08/15/2042 144A                            | CUSIP: 97063QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    979066 | PA      | $977512.81    | 0.89%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 03/01/2038#FA2621                                                    | CUSIP: 3140W24F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676375 | PA      | $630274.56    | 0.57%             | 2038-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 10/01/2036#FA2627                                                  | CUSIP: 3140W24M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580846 | PA      | $525961.83    | 0.48%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 5% 07/01/2040#FA2096                                                    | CUSIP: 3140W2KJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205171 | PA      | $207560.17    | 0.19%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                              | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                         | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $155000.00    | 0.14%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer