# EDGAR Filing Document

**Accession Number:** 0000792858
**File Stem:** 0001193125-26-026060
**Filing Date:** 2026-1
**Character Count:** 116238
**Document Hash:** 98325aa66414c58f128c73c90a81c66b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-026060.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0001193125-26-026060

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260531

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04651
- **FILM NUMBER:** 26568400

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HANCOCK JOHN STRATEGIC SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HANCOCK JOHN HIGH INCOME TRUST
- **DATE OF NAME CHANGE:** 19911118

## Series and Classes Contracts Data

### John Hancock Managed Account Shares Securitized Debt Portfolio (Series ID: S000065850)

| Class ID   | Class Name                                                     | Ticker Symbol   |
|:---|:---|:---|
| C000212732 | John Hancock Managed Account Shares Securitized Debt Portfolio | JMAEX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Strategic Series

- **b. Investment Company Act file number:** 811-04651

- **c. CIK number of Registrant:** 0000792858

- **d. LEI of Registrant:** 549300EHS8HZVU6EA108

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-543-9634

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

- **a. Name of Series:** John Hancock Managed Account Shares Securitized Debt Portfolio

- **b. EDGAR series identifier (if any):** S000065850

- **c. LEI of Series:** 549300MFZ8GMNFIW3214

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

- **a. Date of fiscal year-end:** 2026-05-31

- **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:** $220842777.18

**Total Liabilities:** $2913422.42

**Net Assets:** $217929354.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -758.928565000001 | **1-Year:** -15222.807312000000 | **5-Year:** -42876.041282000000 | **10-Year:** -21060.921735000000 | **30-Year:** -3899.031015000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212732 | 0.47%                | 0.47%                | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $67840.93                | $107149.67                                 |
| Month 2  | $115387.17               | $4109.32                                   |
| Month 3  | $96202.04                | $416164.03                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GCAT 2021-NQM6 TRUST GCAT 2021 NQM6 A1 144A            | GCAT 2021-NQM6 TRUST GCAT 2021 NQM6 A1 144A            | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83184 | PA      | $76413.77     | 0.04%             | 2066-08-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM1 TRUST GCAT 2021 NQM1 A1 144A            | GCAT 2021-NQM1 TRUST GCAT 2021 NQM1 A1 144A            | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419563 | PA      | $376355.72    | 0.17%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-NQM1          | GS MORTGAGE-BACKED SECURITIES GSMBS 2020 NQM1 A1 144A  | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184677 | PA      | $176015.27    | 0.08%             | 2060-09-27      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MVW 2022-2 LLC                                         | MVW 2022-2 LLC MVWOT 2022 2A A 144A                    | CUSIP: 55400VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103692 | PA      | $105968.29    | 0.05%             | 2041-10-21      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| ABPCI DIRECT LENDING FUND ABS ABDLF 2020 1A A 144A     | ABPCI DIRECT LENDING FUND ABS ABDLF 2020 1A A 144A     | CUSIP: 00090TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329954 | PA      | $326414.45    | 0.15%             | 2030-12-29      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CLI Funding VI LLC                                     | CLI FUNDING VI LLC CLIF 2020 1A A 144A                 | CUSIP: 12563LAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1202554 | PA      | $1133276.32   | 0.52%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| CLI Funding VI LLC                                     | CLI FUNDING VI LLC CLIF 2020 3A A 144A                 | CUSIP: 12563LAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311559 | PA      | $294276.46    | 0.14%             | 2045-10-18      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 108 IO         | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2392385 | PA      | $138642.28    | 0.06%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 47 IO          | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4441429 | PA      | $299532.61    | 0.14%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 150 IO         | CUSIP: 38380RBL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1057372 | PA      | $72375.10     | 0.03%             | 2062-12-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 170 IO         | CUSIP: 38380RGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491329 | PA      | $31942.11     | 0.01%             | 2062-11-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 3 IO           | CUSIP: 38380RQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1969257 | PA      | $126410.17    | 0.06%             | 2062-09-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 10 IO          | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416051 | PA      | $31713.08     | 0.01%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 11 IO          | CUSIP: 38380RRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11484070 | PA      | $848043.43    | 0.39%             | 2062-12-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 203 IO         | CUSIP: 38381EEL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5505021 | PA      | $359504.83    | 0.16%             | 2063-07-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 220 IO         | CUSIP: 38381ELU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5060108 | PA      | $315780.11    | 0.14%             | 2063-12-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 144 IO         | CUSIP: 38381HPQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20136444 | PA      | $998852.20    | 0.46%             | 2064-10-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 33 IO          | CUSIP: 38381JAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4469902 | PA      | $317013.92    | 0.15%             | 2063-05-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 36 IO          | CUSIP: 38381JDB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7983581 | PA      | $492253.25    | 0.23%             | 2064-10-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 62 IO          | CUSIP: 38381JED5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4857503 | PA      | $308047.27    | 0.14%             | 2065-02-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 177 IO         | CUSIP: 38381JG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7511833 | PA      | $448087.57    | 0.21%             | 2065-06-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 91 IO          | CUSIP: 38381JKL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4444840 | PA      | $310354.72    | 0.14%             | 2065-04-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 105 IO         | CUSIP: 38381JMK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5545689 | PA      | $335401.63    | 0.15%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 35 IO          | CUSIP: 38381L7W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15829205 | PA      | $942521.54    | 0.43%             | 2066-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 193 IO         | CUSIP: 38381LG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16008002 | PA      | $1014102.12   | 0.47%             | 2066-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 194 IO         | CUSIP: 38381LK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13967929 | PA      | $1055064.74   | 0.48%             | 2067-08-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 135 IO         | CUSIP: 38381LSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14423442 | PA      | $910234.58    | 0.42%             | 2066-11-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 3 IO           | CUSIP: 38381LU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13290571 | PA      | $927570.20    | 0.43%             | 2067-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 179 XI         | CUSIP: 38381LYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13728820 | PA      | $983689.19    | 0.45%             | 2066-12-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 128 IO         | CUSIP: 38381MA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12709099 | PA      | $1038546.91   | 0.48%             | 2067-09-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 73 IO          | CUSIP: 38381MJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15841936 | PA      | $979516.42    | 0.45%             | 2067-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 181 IO         | CUSIP: 38383Y3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2372028 | PA      | $144590.52    | 0.07%             | 2064-07-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 197 IO         | CUSIP: 38384GVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7279248 | PA      | $611861.55    | 0.28%             | 2065-09-16      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| HI-FI MUSIC IP ISSUER LP HIFI 2022 1A A2 144A          | HI-FI MUSIC IP ISSUER LP HIFI 2022 1A A2 144A          | CUSIP: 428357AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   2143000 | PA      | $2120121.33   | 0.97%             | 2062-02-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2019- HPA 2019 1 A 144A       | HOME PARTNERS OF AMERICA 2019- HPA 2019 1 A 144A       | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65961 | PA      | $64364.64     | 0.03%             | 2039-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL A 144A     | HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL A 144A     | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1463000 | PA      | $1519520.52   | 0.70%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2021 NQM1 A1 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2021 NQM1 A1 144A | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308150 | PA      | $270815.66    | 0.12%             | 2056-06-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES 2024-SFR1 TRU IHSFR 2024 SFR1 A 144A  | INVITATION HOMES 2024-SFR1 TRU IHSFR 2024 SFR1 A 144A  | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302768 | PA      | $1283346.04   | 0.59%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341000 | PA      | $305205.23    | 0.14%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                              | JERSEY MIKE'S FUNDING LLC JMIKE 2024 1A A2 144A        | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1323995 | PA      | $1353251.71   | 0.62%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A            | JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A            | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596505 | PA      | $608964.38    | 0.28%             | 2055-08-16      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Lyra Music Assets (Delaware) L.P.                      | LYRA MUSIC ASSETS DELAWARE LP LYRA 2025 1A A2 144A     | CUSIP: 552339AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1179000 | PA      | $1194037.67   | 0.55%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A             | MFA 2021-NQM1 TRUST MFRA 2021 NQM1 A1 144A             | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499200 | PA      | $471647.44    | 0.22%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MONROE CAPITAL ABS FUNDING 202 MCAF 2021 1A A2 144A    | MONROE CAPITAL ABS FUNDING 202 MCAF 2021 1A A2 144A    | CUSIP: 610331AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     58661 | PA      | $58198.08     | 0.03%             | 2031-04-22      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A             | NMLT 2021-INV1 TRUST NLT 2021 INV1 A1 144A             | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915270 | PA      | $810028.07    | 0.37%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-CP1 NYMT 2022 CP1 A1 144A         | NYMT LOAN TRUST 2022-CP1 NYMT 2022 CP1 A1 144A         | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766560 | PA      | $721950.65    | 0.33%             | 2061-07-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-Inv2                              | NYMT LOAN TRUST 2025-INV2 NYMT 2025 INV2 A1 144A       | CUSIP: 62957JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1797124 | PA      | $1802772.51   | 0.83%             | 2060-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F       | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 FA A 144A    | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27072 | PA      | $25645.41     | 0.01%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H       | NAVIENT PRIVATE EDUCATION REFI NAVSL 2020 IA A1A 144A  | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116426 | PA      | $108768.21    | 0.05%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 FA A 144A    | NAVIENT PRIVATE EDUCATION REFI NAVSL 2021 FA A 144A    | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530360 | PA      | $473563.63    | 0.22%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 202 NAVSL 2020 2A A1A 144A  | NAVIENT STUDENT LOAN TRUST 202 NAVSL 2020 2A A1A 144A  | CUSIP: 63942HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127651 | PA      | $110276.46    | 0.05%             | 2069-08-26      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER LLC NBLY 2021 1A A2 144A             | NEIGHBORLY ISSUER LLC NBLY 2021 1A A2 144A             | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2109648 | PA      | $2013933.31   | 0.92%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    899938 | PA      | $848619.82    | 0.39%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | NEW ECONOMY ASSETS - PHASE 1 S USRE 2021 1 A1 144A     | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2857000 | PA      | $2420703.82   | 1.11%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | NEW ECONOMY ASSETS - PHASE 1 S USRE 2021 1 B1 144A     | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297000 | PA      | $875200.94    | 0.40%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-1             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A    | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67444 | PA      | $63906.47     | 0.03%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM6 NRZT 2025 NQM6 A1 144A                  | NRZT 2025-NQM6 NRZT 2025 NQM6 A1 144A                  | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088000 | PA      | $1088755.29   | 0.50%             | 2065-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM2 TRUST OBX 2021 NQM2 A1 144A              | OBX 2021-NQM2 TRUST OBX 2021 NQM2 A1 144A              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977577 | PA      | $815208.73    | 0.37%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                    | OBX 2021-NQM1 TRUST OBX 2021 NQM1 A1 144A              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434676 | PA      | $382952.26    | 0.18%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A              | OBX 2021-NQM3 TRUST OBX 2021 NQM3 A1 144A              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028851 | PA      | $851342.68    | 0.39%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| NXPT COMMERCIAL MORTGAGE TRUST NXPT 2024 STOR A 144A   | NXPT COMMERCIAL MORTGAGE TRUST NXPT 2024 STOR A 144A   | CUSIP: 67119YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503000 | PA      | $1493904.14   | 0.69%             | 2041-11-05      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM20 Trust                                   | OBX 2025-NQM20 TRUST OBX 2025 NQM20 A1 144A            | CUSIP: 67126GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515292 | PA      | $1522315.31   | 0.70%             | 2065-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM18 Trust                                   | OBX 2025-NQM18 TRUST OBX 2025 NQM18 A1 144A            | CUSIP: 673918AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736987 | PA      | $739358.15    | 0.34%             | 2065-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM21 Trust                                   | OBX 2025-NQM21 TRUST OBX 2025 NQM21 A1 144A            | CUSIP: 67448BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107000 | PA      | $1109494.07   | 0.51%             | 2065-10-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 Trust                                   | OBX 2025-NQM19 TRUST OBX 2025 NQM19 A1 144A            | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461000 | PA      | $1460121.19   | 0.67%             | 2065-10-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| 1301 TRUST 2025-AOA AOA 2025 1301 A 144A               | 1301 TRUST 2025-AOA AOA 2025 1301 A 144A               | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1359000 | PA      | $1385176.51   | 0.64%             | 2042-08-11      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| 1301 TRUST 2025-AOA AOA 2025 1301 B 144A               | 1301 TRUST 2025-AOA AOA 2025 1301 B 144A               | CUSIP: 682461AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $702054.23    | 0.32%             | 2042-08-11      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR1 PROG 2024 SFR1 A 144A   | PROGRESS RESIDENTIAL 2024-SFR1 PROG 2024 SFR1 A 144A   | CUSIP: 74331QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774617 | PA      | $751722.72    | 0.34%             | 2041-02-17      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 PROG 2021 SFR6 A 144A   | PROGRESS RESIDENTIAL 2025-SFR1 PROG 2021 SFR6 A 144A   | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428239 | PA      | $421603.01    | 0.19%             | 2038-07-17      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 A 144A   | PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 A 144A   | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338209 | PA      | $335951.05    | 0.15%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 A 144A   | PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 A 144A   | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1512769 | PA      | $1444744.44   | 0.66%             | 2042-04-17      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR1 PROG 2025 SFR1 A 144A   | PROGRESS RESIDENTIAL 2025-SFR1 PROG 2025 SFR1 A 144A   | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1214670 | PA      | $1166675.86   | 0.54%             | 2042-02-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 A 144A   | PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 A 144A   | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395000 | PA      | $1355688.34   | 0.62%             | 2042-10-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR A 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR A 144A             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1361000 | PA      | $1403709.40   | 0.64%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1926000 | PA      | $2019042.17   | 0.93%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RIN XII LLC RIN 2025 1A A1 144A                        | RIN XII LLC RIN 2025 1A A1 144A                        | CUSIP: 74983UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    960000 | PA      | $956977.92    | 0.44%             | 2038-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC               | RETAINED VANTAGE DATA CENTERS VDCR 2023 1A A2A 144A    | CUSIP: 76134KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1603000 | PA      | $1601189.41   | 0.73%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIN II Ltd.                                            | RIN II LTD RIN 2019 1A AR 144A                         | CUSIP: 76676CAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    857000 | PA      | $858138.95    | 0.39%             | 2038-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT2 144A    | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    336684 | PA      | $308405.94    | 0.14%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-D                | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1A 144A     | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102000 | PA      | $96339.20     | 0.04%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA SLG 2021 OVA C 144A          | SLG OFFICE TRUST 2021-OVA SLG 2021 OVA C 144A          | CUSIP: 78449RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1678000 | PA      | $1495063.10   | 0.69%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA SLG 2021 OVA D 144A          | SLG OFFICE TRUST 2021-OVA SLG 2021 OVA D 144A          | CUSIP: 78449RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $209562.36    | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A     | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107303 | PA      | $109389.37    | 0.05%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A     | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229784 | PA      | $1252801.57   | 0.57%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SCALELOGIX ABS US ISSUER LLC SCLGX 2025 1A A2 144A     | SCALELOGIX ABS US ISSUER LLC SCLGX 2025 1A A2 144A     | CUSIP: 80587FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1406000 | PA      | $1418505.10   | 0.65%             | 2055-07-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | TACO BELL FUNDING LLC BELL 2025 1A A2II 144A           | CUSIP: 87342RAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1056000 | PA      | $1058496.38   | 0.49%             | 2055-08-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015 TPMT 2015 6 M2 144A     | TOWD POINT MORTGAGE TRUST 2015 TPMT 2015 6 M2 144A     | CUSIP: 89172RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166132 | PA      | $164413.54    | 0.08%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2018 TPMT 2018 4 A1 144A     | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569464 | PA      | $543572.92    | 0.25%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-1                       | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 1 A1 144A     | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    608371 | PA      | $594697.65    | 0.27%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 A1 144A     | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369386 | PA      | $356157.74    | 0.16%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 3 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 3 A1 144A     | CUSIP: 89178UAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135855 | PA      | $132214.77    | 0.06%             | 2063-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 1 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 1 A1 144A     | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308766 | PA      | $298096.29    | 0.14%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 4 A1 144A     | TOWD POINT MORTGAGE TRUST 2020 TPMT 2020 4 A1 144A     | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073184 | PA      | $984092.64    | 0.45%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-1                       | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 1 A1 144A     | CUSIP: 89182NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994073 | PA      | $1014165.00   | 0.47%             | 2064-03-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 3 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 3 A1A 144A    | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694244 | PA      | $703702.17    | 0.32%             | 2065-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518395 | PA      | $523135.27    | 0.24%             | 2064-10-27      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES 2020-SFR TAH 2020 SFR2 A 144A    | TRICON AMERICAN HOMES 2020-SFR TAH 2020 SFR2 A 144A    | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429599 | PA      | $408760.98    | 0.19%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 A 144A    | TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 A 144A    | CUSIP: 89616YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1391821 | PA      | $1393163.98   | 0.64%             | 2041-08-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance VIII LLC                      | TRITON CONTAINER FINANCE VIII TCF 2020 1A A 144A       | CUSIP: 89680HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1222617 | PA      | $1152450.82   | 0.53%             | 2045-09-20      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance VIII LLC                      | TRITON CONTAINER FINANCE VIII TCF 2021 1A A 144A       | CUSIP: 89680HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137283 | PA      | $1057188.82   | 0.49%             | 2046-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | UNITI FIBER ABS ISSUER LLC UNIT 2025 1A A2 144A        | CUSIP: 91326EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121000 | PA      | $1150117.75   | 0.53%             | 2055-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | UNITI FIBER ABS ISSUER LLC UNIT 2025 2A A2 144A        | CUSIP: 91326EAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427000 | PA      | $430595.34    | 0.20%             | 2056-01-20      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ A 144A     | VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ A 144A     | CUSIP: 91825CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1385000 | PA      | $1405448.42   | 0.64%             | 2044-07-13      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                               | VANTAGE DATA CENTERS LLC VDC 2020 2A A2 144A           | CUSIP: 92212KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1145000 | PA      | $1087622.10   | 0.50%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| VCP RRL ABS I LTD VCRRL 2021 1A A 144A                 | VCP RRL ABS I LTD VCRRL 2021 1A A 144A                 | CUSIP: 92243RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    412246 | PA      | $405111.20    | 0.19%             | 2031-10-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2025-11                     | VERUS SECURITIZATION TRUST 202 VERUS 2025 11 A1 144A   | CUSIP: 924935AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188000 | PA      | $1190623.94   | 0.55%             | 2070-11-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A1 144A    | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705022 | PA      | $636986.48    | 0.29%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-R2                     | VERUS SECURITIZATION TRUST 202 VERUS 2021 R2 A1 144A   | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91674 | PA      | $86069.18     | 0.04%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 4 A1 144A    | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500299 | PA      | $427279.45    | 0.20%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-5                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 5 A1 144A    | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308481 | PA      | $269907.52    | 0.12%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2021 6 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2021 6 A1 144A    | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119191 | PA      | $105617.72    | 0.05%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-3                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A1 144A    | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471911 | PA      | $416481.11    | 0.19%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-8                      | VERUS SECURITIZATION TRUST VERUS 2023 8 A2 144A        | CUSIP: 92540DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260544 | PA      | $263348.33    | 0.12%             | 2068-12-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| JH COLLATERAL                                          | JH COLLATERAL                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    328027 | NS      | $3281284.18   | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| VISIO 2020-1R TRUST VISIO 2020 1R A1 144A              | VISIO 2020-1R TRUST VISIO 2020 1R A1 144A              | CUSIP: 92837MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324583 | PA      | $314216.63    | 0.14%             | 2055-11-25      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC A 144A    | WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC A 144A    | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858000 | PA      | $887882.42    | 0.41%             | 2040-07-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding LLC                                    | WENDY'S FUNDING LLC WEN 2021 1A A2I 144A               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1901103 | PA      | $1772846.59   | 0.81%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2020 1A A2 144A             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2293080 | PA      | $2215136.38   | 1.02%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2024 1A A2 144A             | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047000 | PA      | $1078977.16   | 0.50%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | ZAYO ISSUER LLC ZAYO 2025 1A A2 144A                   | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1678000 | PA      | $1706928.89   | 0.78%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A     | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1666059 | PA      | $1662100.76   | 0.76%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 10 A1 144A    | ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 10 A1 144A    | CUSIP: 034940AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662606 | PA      | $661691.11    | 0.30%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST 2021-A AQFIT 2021 A A 144A          | AQUA FINANCE TRUST 2021-A AQFIT 2021 A A 144A          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160503 | PA      | $147804.79    | 0.07%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust 2021-1R                          | ARROYO MORTGAGE TRUST 2021-1R ARRW 2021 1R A1 144A     | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95876 | PA      | $86799.98     | 0.04%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3 ARRW 2019 3 A1 144A       | ARROYO MORTGAGE TRUST 2019-3 ARRW 2019 3 A1 144A       | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43476 | PA      | $41814.92     | 0.02%             | 2048-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2020-C6 BBCMS 2020 C6 A2          | BBCMS MORTGAGE TRUST 2020-C6 BBCMS 2020 C6 A2          | CUSIP: 05492TAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190939 | PA      | $179725.14    | 0.08%             | 2053-02-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1716000 | PA      | $1783000.88   | 0.82%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 A3      | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 A3      | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2544131.62   | 1.17%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C38 BBCMS 2025 5C38 A3      | BBCMS MORTGAGE TRUST 2025-5C38 BBCMS 2025 5C38 A3      | CUSIP: 05556RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $511626.95    | 0.23%             | 2058-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11 BX 2019 OC11 A 144A                 | BX TRUST 2019-OC11 BX 2019 OC11 A 144A                 | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1172000 | PA      | $1114950.91   | 0.51%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST 2021-FILM BXHPP 2021 FILM C 144A           | BXHPP TRUST 2021-FILM BXHPP 2021 FILM C 144A           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409000 | PA      | $1308088.97   | 0.60%             | 2036-08-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C31 BBCMS 2024 5C31 A3      | BBCMS MORTGAGE TRUST 2024-5C31 BBCMS 2024 5C31 A3      | CUSIP: 07336YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983000 | PA      | $1027987.29   | 0.47%             | 2057-12-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BEACON CONTAINER FINANCE II LL BEACN 2021 1A A 144A    | BEACON CONTAINER FINANCE II LL BEACN 2021 1A A 144A    | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2025867 | PA      | $1895494.17   | 0.87%             | 2046-10-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MORTGAGE TR BMARK 2019 B12 A2       | BENCHMARK 2019-B12 MORTGAGE TR BMARK 2019 B12 A2       | CUSIP: 08162FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199907 | PA      | $193002.20    | 0.09%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V12 MORTGAGE TR BMARK 2024 V12 A3       | BENCHMARK 2024-V12 MORTGAGE TR BMARK 2024 V12 A3       | CUSIP: 081915AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726000 | PA      | $762781.48    | 0.35%             | 2057-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C8 MORTGAGE TRUST BMO 2024 5C8 A3            | BMO 2024-5C8 MORTGAGE TRUST BMO 2024 5C8 A3            | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1045042.10   | 0.48%             | 2057-12-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| CARS-DB7 LP CAUTO 2023 1A A1 144A                      | CARS-DB7 LP CAUTO 2023 1A A1 144A                      | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2040997 | PA      | $2054599.10   | 0.94%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 2A A2 144A          | CUSIP: 12510HAX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878219 | PA      | $875560.92    | 0.40%             | 2054-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 3A A1 144A          | CUSIP: 12510HAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946660 | PA      | $928139.01    | 0.43%             | 2054-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 57 IO          | CUSIP: 38381EW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2802203 | PA      | $141895.15    | 0.07%             | 2063-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 30 IO          | CUSIP: 38381H2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2904595 | PA      | $194148.08    | 0.09%             | 2064-11-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 221 IO         | CUSIP: 38381HG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6721099 | PA      | $443799.55    | 0.20%             | 2064-06-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 150 IO         | CUSIP: 38381HPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5355062 | PA      | $305493.43    | 0.14%             | 2064-06-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2021 1A A2 144A         | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1217625 | PA      | $1149127.38   | 0.53%             | 2051-04-25      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2024 1A A2 144A         | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900952 | PA      | $932722.25    | 0.43%             | 2054-01-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A     | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1533281 | PA      | $1567330.08   | 0.72%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A     | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A     | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101202 | PA      | $104230.02    | 0.05%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2020 1A A2I 144A               | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1337870 | PA      | $1320580.31   | 0.61%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2020 1A A2II 144A              | CUSIP: 83546DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1241225 | PA      | $1202378.02   | 0.55%             | 2050-01-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2021 1A A2I 144A               | CUSIP: 83546DAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1425042 | PA      | $1327244.93   | 0.61%             | 2051-08-20      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A      | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388911 | PA      | $368978.63    | 0.17%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR 2022 1 A1 144A      | STARWOOD MORTGAGE RESIDENTIAL STAR 2022 1 A1 144A      | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108438 | PA      | $1006906.36   | 0.46%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A2I 144A             | SUBWAY FUNDING LLC SUBWAY 2024 1A A2I 144A             | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1211760 | PA      | $1225546.56   | 0.56%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A2II 144A            | SUBWAY FUNDING LLC SUBWAY 2024 1A A2II 144A            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1122660 | PA      | $1147647.16   | 0.53%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 3A A23 144A             | SUBWAY FUNDING LLC SUBWAY 2024 3A A23 144A             | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1588950 | PA      | $1583718.22   | 0.73%             | 2054-07-30      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| SUMMIT ISSUER LLC FIBER 2025 1A A2 144A                | SUMMIT ISSUER LLC FIBER 2025 1A A2 144A                | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1187000 | PA      | $1198177.03   | 0.55%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2024 2A A2 144A            | SWITCH ABS ISSUER LLC SWTCH 2024 2A A2 144A            | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468000 | PA      | $469112.48    | 0.22%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2025 1A A2 144A            | SWITCH ABS ISSUER LLC SWTCH 2025 1A A2 144A            | CUSIP: 871044AL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1508000 | PA      | $1492332.94   | 0.68%             | 2055-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2025 2A A21 144A           | SWITCH ABS ISSUER LLC SWTCH 2025 2A A21 144A           | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213000 | PA      | $213265.72    | 0.10%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING II LLC TIF 2020 1A A 144A                  | TIF FUNDING II LLC TIF 2020 1A A 144A                  | CUSIP: 872480AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1123200 | PA      | $1074216.12   | 0.49%             | 2045-08-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING II LLC TIF 2021 1A A 144A                  | TIF FUNDING II LLC TIF 2021 1A A 144A                  | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935071 | PA      | $857330.35    | 0.39%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | TACO BELL FUNDING LLC BELL 2025 1A A2I 144A            | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1446000 | PA      | $1448325.02   | 0.66%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 A 144A             | AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 A 144A             | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $119705.63    | 0.05%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR 2021-SFR1 TRUST AMSR 2021 SFR1 B 144A             | AMSR 2021-SFR1 TRUST AMSR 2021 SFR1 B 144A             | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $536599.54    | 0.25%             | 2038-06-17      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR2 TRUST AMSR 2025 SFR2 A 144A             | AMSR 2025-SFR2 TRUST AMSR 2025 SFR2 A 144A             | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319000 | PA      | $316205.91    | 0.15%             | 2042-11-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 A 144A             | AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 A 144A             | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757000 | PA      | $733057.60    | 0.34%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 4 A1 144A     | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1056237 | PA      | $901328.32    | 0.41%             | 2065-01-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 R1 A1 144A    | ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 R1 A1 144A    | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78396 | PA      | $74656.02     | 0.03%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 1 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 1 A1 144A     | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277500 | PA      | $248396.52    | 0.11%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 5 A1 144A     | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186407 | PA      | $161776.31    | 0.07%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A     | ANGEL OAK MORTGAGE TRUST 2021- AOMT 2021 6 A1 144A     | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556635 | PA      | $475762.22    | 0.22%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2020- AOMT 2020 3 A1 144A     | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354592 | PA      | $339287.90    | 0.16%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 5 A1 144A     | CUSIP: 03465YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1169531 | PA      | $1167773.33   | 0.54%             | 2068-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 11 A1 144A    | ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 11 A1 144A    | CUSIP: 03466FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1387277 | PA      | $1386151.37   | 0.64%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Arby's Funding Llc                                     | ARBYS FUNDING LLC ARBYS 2020 1A A2 144A                | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2098712 | PA      | $2034918.57   | 0.93%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1 BX 2021 MFM1 D 144A                       | BX 2021-MFM1 BX 2021 MFM1 D 144A                       | CUSIP: 05608VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252000 | PA      | $251848.63    | 0.12%             | 2034-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-CLS BX 2022 CLS A 144A                   | BX TRUST 2022-CLS BX 2022 CLS A 144A                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1098000 | PA      | $1102931.23   | 0.51%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF HIPPOLYTA ISSUER LLC SORT 2021 1A A1 144A           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2326007 | PA      | $1898623.69   | 0.87%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2021 1A A 144A               | CUSIP: 12565KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    709099 | PA      | $659589.19    | 0.30%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2022 1A A 144A               | CUSIP: 12565KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    838880 | PA      | $781047.99    | 0.36%             | 2047-01-18      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CLI Funding IX LLC                                     | CLI FUNDING IX LLC CLIF 2025 1A A 144A                 | CUSIP: 12571WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1467528 | PA      | $1491246.98   | 0.68%             | 2050-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM1 CSMC 2021 NQM1 A1 144A                  | CSMC 2021-NQM1 CSMC 2021 NQM1 A1 144A                  | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417050 | PA      | $380513.72    | 0.17%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| COMM 2020-CX MORTGAGE TRUST COMM 2020 CX D 144A        | COMM 2020-CX MORTGAGE TRUST COMM 2020 CX D 144A        | CUSIP: 12656KAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $676403.99    | 0.31%             | 2046-11-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2TRUST CSMC 2021 RPL2 A1A 144A            | CSMC 2021-RPL2TRUST CSMC 2021 RPL2 A1A 144A            | CUSIP: 12656TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125318 | PA      | $964132.37    | 0.44%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-AFC1 TRUST CSMC 2021 AFC1 A1 144A            | CSMC 2021-AFC1 TRUST CSMC 2021 AFC1 A1 144A            | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894686 | PA      | $769041.14    | 0.35%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                  | CSMC 2021-NQM2 CSMC 2021 NQM2 A1 144A                  | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321134 | PA      | $288890.56    | 0.13%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Csmc 2021-Nqm6 Trust                                   | CSMC 2021-NQM6 TRUST CSMC 2021 NQM6 A1 144A            | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611123 | PA      | $526199.21    | 0.24%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2023 SMRT A 144A   | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2023 SMRT A 144A   | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1670000 | PA      | $1719970.74   | 0.79%             | 2040-10-12      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE CGCMT 2020 GC46 A2       | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2020 GC46 A2       | CUSIP: 17328RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139672 | PA      | $134233.80    | 0.06%             | 2053-02-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| COLT 2022-2 MORTGAGE LOAN TRUS COLT 2022 2 A1 144A     | COLT 2022-2 MORTGAGE LOAN TRUS COLT 2022 2 A1 144A     | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437218 | PA      | $420839.54    | 0.19%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| COLT 2021-2 MORTGAGE LOAN TRUS COLT 2021 2 A1 144A     | COLT 2021-2 MORTGAGE LOAN TRUS COLT 2021 2 A1 144A     | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304994 | PA      | $259527.26    | 0.12%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT 2020-RPL1 TRUST COLT 2020 RPL1 A1 144A            | COLT 2020-RPL1 TRUST COLT 2020 RPL1 A1 144A            | CUSIP: 19687YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2189143 | PA      | $1912787.75   | 0.88%             | 2065-01-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1RMORTGAGE PASS-THRO COLT 2021 1R A1 144A    | COLT 2021-1RMORTGAGE PASS-THRO COLT 2021 1R A1 144A    | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15275 | PA      | $13972.03     | 0.01%             | 2065-05-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A     | COLT 2021-3 MORTGAGE LOAN TRUS COLT 2021 3 A1 144A     | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572151 | PA      | $485516.42    | 0.22%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 A1 144A   | COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 A1 144A   | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113970 | PA      | $99104.35     | 0.05%             | 2066-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| COLT 2025-6 MORTGAGE LOAN TRUS COLT 2025 6 A1 144A     | COLT 2025-6 MORTGAGE LOAN TRUS COLT 2025 6 A1 144A     | CUSIP: 19689BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    944508 | PA      | $951475.04    | 0.44%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER II CMPDC 2024 1A A1 144A    | COMPASS DATACENTERS ISSUER II CMPDC 2024 1A A1 144A    | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1406679.12   | 0.65%             | 2049-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A    | COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A    | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579000 | PA      | $592824.90    | 0.27%             | 2050-02-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER II CMPDC 2025 1A A1 144A    | COMPASS DATACENTERS ISSUER II CMPDC 2025 1A A1 144A    | CUSIP: 20469CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1374000 | PA      | $1400139.66   | 0.64%             | 2050-05-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A       | CUSIP: 20633KAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1293000 | PA      | $1319300.65   | 0.61%             | 2075-07-20      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A    | CONSOLIDATED COMMUNICATIONS LL CNSL 2025 1A A2 144A    | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1693260.09   | 0.78%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H8 MORTGAGE TRUST CROSS 2025 H8 A1 144A     | CROSS 2025-H8 MORTGAGE TRUST CROSS 2025 H8 A1 144A     | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617227 | PA      | $618617.11    | 0.28%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST CROSS 2025 H9 A1 144A     | CROSS 2025-H9 MORTGAGE TRUST CROSS 2025 H9 A1 144A     | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453000 | PA      | $1456038.37   | 0.67%             | 2070-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2023 1A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2023 1A A2 144A   | CUSIP: 23284BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1893000 | PA      | $1865758.40   | 0.86%             | 2048-04-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 2A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 2A A2 144A   | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2240000 | PA      | $2195555.49   | 1.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2017 1A A2II 144A           | CUSIP: 233046AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023975 | PA      | $1012745.99   | 0.46%             | 2047-11-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2025 1A A2I 144A            | CUSIP: 233046AU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894000 | PA      | $899599.66    | 0.41%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2025 1A A2II 144A           | CUSIP: 233046AW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    955000 | PA      | $962186.76    | 0.44%             | 2055-08-20      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| DBJPM 20-C9 MORTGAGE TRUST DBJPM 2020 C9 A2            | DBJPM 20-C9 MORTGAGE TRUST DBJPM 2020 C9 A2            | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34302 | PA      | $34233.51     | 0.02%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER COLO 2021 1A A2 144A                   | DATABANK ISSUER COLO 2021 1A A2 144A                   | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3073000 | PA      | $3049817.90   | 1.40%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER COLO 2021 2A A2 144A                   | DATABANK ISSUER COLO 2021 2A A2 144A                   | CUSIP: 23802WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1356000 | PA      | $1321579.97   | 0.61%             | 2051-10-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2            | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320151 | PA      | $285476.02    | 0.13%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A    | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229000 | PA      | $1187991.71   | 0.55%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2019 1A A2 144A   | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682560 | PA      | $659106.97    | 0.30%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2021 1A A2I 144A  | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1862338 | PA      | $1773581.47   | 0.81%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2025 1A A2I 144A  | CUSIP: 25755TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762000 | PA      | $766192.68    | 0.35%             | 2055-07-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2025 1A A2II 144A | CUSIP: 25755TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885000 | PA      | $892105.84    | 0.41%             | 2055-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2020 2A A2 144A         | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1836243 | PA      | $1775475.50   | 0.81%             | 2051-01-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2021 1A A2 144A         | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1764540 | PA      | $1667118.17   | 0.76%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2024 1A A2 144A         | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1981912 | PA      | $2062229.11   | 0.95%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2025 1A A2 144A         | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845000 | PA      | $848025.27    | 0.39%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV4 EFMT 2025 INV4 A1 144A                  | EFMT 2025-INV4 EFMT 2025 INV4 A1 144A                  | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    888921 | PA      | $889342.78    | 0.41%             | 2070-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2021-A LLC                  | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A A 144A     | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31767 | PA      | $30371.90     | 0.01%             | 2035-08-27      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| EXTENET ISSUER LLC EXTNT 2024 1A A2 144A               | EXTENET ISSUER LLC EXTNT 2024 1A A2 144A               | CUSIP: 30227XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1883000 | PA      | $1890597.72   | 0.87%             | 2054-07-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 A1 144A     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1132397 | PA      | $966321.41    | 0.44%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2019 2 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2019 2 A1 144A     | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16847 | PA      | $16338.05     | 0.01%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 1 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 1 A1 144A     | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94703 | PA      | $83169.22     | 0.04%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2025 4A A2 144A    | CONSOLIDATED COMMUNICATIONS LL CNSL 2025 4A A2 144A    | CUSIP: 315961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994000 | PA      | $1000471.83   | 0.46%             | 2055-12-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 C 144A    | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 C 144A    | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213000 | PA      | $208574.26    | 0.10%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 D 144A    | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021 SFR1 D 144A    | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $436087.94    | 0.20%             | 2038-08-17      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-1 FSMT 2021 1 A2 144A     | FLAGSTAR MORTGAGE TRUST 2021-1 FSMT 2021 1 A2 144A     | CUSIP: 33852DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948300 | PA      | $797275.90    | 0.37%             | 2051-02-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER LLC FLX 2025 1A A2 144A              | FLEXENTIAL ISSUER LLC FLX 2025 1A A2 144A              | CUSIP: 33938MAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999000 | PA      | $996471.93    | 0.46%             | 2060-10-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST GCAT 2020 NQM2 A1 144A            | GCAT 2020-NQM2 TRUST GCAT 2020 NQM2 A1 144A            | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460959 | PA      | $444376.15    | 0.20%             | 2065-04-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A            | GCAT 2021-NQM3 TRUST GCAT 2021 NQM3 A1 144A            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852412 | PA      | $752665.16    | 0.35%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES GSMBS 2021 NQM1 A1 144A  | GS MORTGAGE-BACKED SECURITIES GSMBS 2021 NQM1 A1 144A  | CUSIP: 36262EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882601 | PA      | $803047.80    | 0.37%             | 2061-07-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM5 TRUST GCAT 2025 NQM5 A1 144A            | GCAT 2025-NQM5 TRUST GCAT 2025 NQM5 A1 144A            | CUSIP: 36831KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287551 | PA      | $1286775.28   | 0.59%             | 2070-08-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2020 1A A2 144A   | GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2020 1A A2 144A   | CUSIP: 38177UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    190610 | PA      | $189629.27    | 0.09%             | 2029-01-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2021 1A A2 144A   | GOLUB CAPITAL PARTNERS ABS FUN GCPAF 2021 1A A2 144A   | CUSIP: 38178HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    264214 | PA      | $262115.89    | 0.12%             | 2029-04-20      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 140 IO         | CUSIP: 38379R4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33192 | PA      | $861.48       | 0.00%             | 2059-02-16      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 109 IO         | CUSIP: 38379RG98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35621 | PA      | $365.83       | 0.00%             | 2057-04-16      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 174 IO         | CUSIP: 38379RJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29469 | PA      | $918.33       | 0.00%             | 2056-11-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 23 IO          | CUSIP: 38379RMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5074375 | PA      | $172296.85    | 0.08%             | 2059-05-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 22 IO          | CUSIP: 38379RNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22124 | PA      | $805.03       | 0.00%             | 2057-12-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 54 IO          | CUSIP: 38379RSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13760614 | PA      | $475740.22    | 0.22%             | 2058-12-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 61 IO          | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225672 | PA      | $7863.57      | 0.00%             | 2059-05-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 124 IO         | CUSIP: 38379RW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25168 | PA      | $916.23       | 0.00%             | 2059-01-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 89 IO          | CUSIP: 38379RZH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31128 | PA      | $767.84       | 0.00%             | 2059-07-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 20 IO          | CUSIP: 38379U6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67936 | PA      | $1401.86      | 0.00%             | 2058-12-16      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2023 1A A2 144A              | CUSIP: 44148HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1825000 | PA      | $1842345.53   | 0.85%             | 2053-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2021 1 A2 144A               | CUSIP: 44148JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1660000 | PA      | $1620825.16   | 0.74%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                      | SESAC FINANCE LLC SESAC 2025 1 A2 144A                 | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1575000 | PA      | $1578060.54   | 0.72%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2225000 | PA      | $2276012.80   | 1.04%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY CENT 2025 CITY A 144A                   | CENT 2025-CITY CENT 2025 CITY A 144A                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173000 | PA      | $1193678.23   | 0.55%             | 2040-07-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 46 IO          | CUSIP: 38379U7Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48287 | PA      | $1822.17      | 0.00%             | 2057-11-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 99 IO          | CUSIP: 38380J7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164043 | PA      | $4395.83      | 0.00%             | 2060-06-16      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 159 IO         | CUSIP: 38380JAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19428487 | PA      | $480281.90    | 0.22%             | 2059-06-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 23 IO          | CUSIP: 38380JPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14854459 | PA      | $493799.35    | 0.23%             | 2059-11-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 69 IO          | CUSIP: 38380JQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56687 | PA      | $2576.44      | 0.00%             | 2060-04-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 114 IO         | CUSIP: 38380MFV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79911 | PA      | $3170.27      | 0.00%             | 2060-04-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 158 IO         | CUSIP: 38380MUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163604 | PA      | $9864.58      | 0.00%             | 2061-05-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 131 IO         | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130018 | PA      | $7472.99      | 0.00%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 118 IO         | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4847432 | PA      | $306499.72    | 0.14%             | 2062-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 137 IO         | CUSIP: 38380P4X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3808642 | PA      | $221745.22    | 0.10%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 114 IO         | CUSIP: 38380PT20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771499 | PA      | $40637.77     | 0.02%             | 2062-09-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 92 IO          | CUSIP: 38380PTT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    766136 | PA      | $42941.83     | 0.02%             | 2062-02-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 120 IO         | CUSIP: 38380PV76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904476 | PA      | $53278.50     | 0.02%             | 2062-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C4 A3        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C4 A3        | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1364000 | PA      | $1432682.86   | 0.66%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A2        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A2        | CUSIP: 95002EAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27135 | PA      | $26779.54     | 0.01%             | 2053-02-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C6 A3        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 5C6 A3        | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    955000 | PA      | $986794.91    | 0.45%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST WESTF 2025 A A 144A     | WILLIS ENGINE STRUCTURED TRUST WESTF 2025 A A 144A     | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    814773 | PA      | $828659.06    | 0.38%             | 2050-06-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| ZAXBYS FUNDING LLC ZAXBY 2021 1A A2 144A               | ZAXBYS FUNDING LLC ZAXBY 2021 1A A2 144A               | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890475 | PA      | $838678.60    | 0.38%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                | BOURZOU ISSUER LLC, JAMSHID IS CLDCD 2024 2A A2 144A   | CUSIP: 102104AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1540856.19   | 0.71%             | 2049-11-22      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 A1 144A | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287356 | PA      | $270456.27    | 0.12%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE CF 2019 CF1 A2           | CANTOR COMMERCIAL REAL ESTATE CF 2019 CF1 A2           | CUSIP: 12529MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272972 | PA      | $268333.77    | 0.12%             | 2052-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF HIPPOLYTA ISSUER LLC SORT 2020 1 A1 144A            | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1858970 | PA      | $1586943.63   | 0.73%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-29

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

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer