# EDGAR Filing Document

**Accession Number:** 0001392116
**File Stem:** 0000940400-26-022776
**Filing Date:** 2026-6
**Character Count:** 276360
**Document Hash:** 3329668881849465f21a68b74f612316
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022776.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022776

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya Separate Portfolios Trust
- **CENTRAL INDEX KEY:** 0001392116

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22025
- **FILM NUMBER:** 261048428

**BUSINESS ADDRESS:**
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 EAST DOUBLETREE RANCH ROAD
- **STREET 2:** STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258-2034

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING Separate Portfolios Trust
- **DATE OF NAME CHANGE:** 20070306

## Series and Classes Contracts Data

### Voya Securitized Credit Fund (Series ID: S000046242)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000159005 | Class A      | VCFAX           |
| C000159006 | Class I      | VCFIX           |
| C000191194 | Class W      | VSCWX           |
| C000221175 | Class R6     | VCFRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Separate Portfolios Trust

- **b. Investment Company Act file number:** 811-22025

- **c. CIK number of Registrant:** 0001392116

- **d. LEI of Registrant:** 549300ZK3E04XAD4QG44

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA SECURITIZED CREDIT FUND

- **b. EDGAR series identifier (if any):** S000046242

- **c. LEI of Series:** 549300IRVV55AI1KRN67

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $966453301.64

**Total Liabilities:** $22002757.66

**Net Assets:** $944450543.98

**Delayed Delivery Securities:** $8910832.92

**Cash Not Reported:** $219493.49

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 798.50943000 | **1-Year:** 30314.79968000 | **5-Year:** 177194.95926000 | **10-Year:** 65575.13238000 | **30-Year:** 470.64587000

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

- **3-Month:** 440.53646000 | **1-Year:** 20071.85495000 | **5-Year:** 62059.81697000 | **10-Year:** 23360.64293000 | **30-Year:** 4137.33629000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000191194 | 0.53%                | 1.00%                | -1.12%               |
| Class ID C000159005 | 0.51%                | 0.98%                | -1.15%               |
| Class ID C000221175 | 0.53%                | 1.00%                | -1.12%               |
| Class ID C000159006 | 0.53%                | 1.00%                | -1.12%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $47083.67                | $1625251.88                                |
| Month 2  | $-796119.41              | $6991365.27                                |
| Month 3  | $-287707.33              | $-12677220.09                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| OBX 2020-INV1 TRUST                                                               | OBX 2020-INV1 A21                                              | CUSIP: 67113CAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246246 | PA      | $221843.81    | 0.02%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL CRE SECURITIZATION 2019-VII LTD                                     | PRIMA 2019-7A C                                                | CUSIP: 74166QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509612 | PA      | $499443.53    | 0.05%             | 2050-12-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2019-CH3                                                   | SEMT 2019-CH3 A13                                              | CUSIP: 81748GBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460625 | PA      | $433653.97    | 0.05%             | 2049-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                          | BX Trust 2026-RISE                                             | CUSIP: 05595AAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2503125.00   | 0.27%             | 2041-04-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| PRM TRUST 2025-PRM6                                                               | PRM6 2025-PRM6 E                                               | CUSIP: 74277DAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2741765.40   | 0.29%             | 2033-07-08      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                | BX 2025-ARIA C                                                 | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2994226.50   | 0.32%             | 2042-12-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Trafigura Securitisation Finance PLC                                              | TRFIG 2024-1A A2                                               | CUSIP: 892725AX0<br>LEI: 549300CH6S10UEZXWN56 | Long             | ABS-O            | CORP              | IE        |   6800000 | PA      | $6816966.00   | 0.72%             | 2027-11-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2017-2                                                     | SEMT 2017-2 B2                                                 | CUSIP: 81746KCC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952291 | PA      | $899204.67    | 0.10%             | 2047-02-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2018-INV1                                                               | CIM 2018-INV1 A10                                              | CUSIP: 12553XAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294818 | PA      | $279111.73    | 0.03%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2022-FRR3                                                      | GAM 2022-FRR3 DK47                                             | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482136 | PA      | $473528.35    | 0.05%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2025-5MPR M1                                             | CUSIP: 46593VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3649000 | PA      | $3722619.30   | 0.39%             | 2055-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8                                       | CGCMT 2017-P8 AS                                               | CUSIP: 17326DAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2370114.00   | 0.25%             | 2050-09-16      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE TRUST 2015-1                                                   | ABMT 2015-1 B4                                                 | CUSIP: 00841WBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    979556 | PA      | $788619.74    | 0.08%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV3                                                | JPMMT 2019-INV3 B3                                             | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2079430 | PA      | $1928866.57   | 0.20%             | 2050-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE LOAN TRUST                                                     | ABMT 2016-1 B4                                                 | CUSIP: 00842TAV0<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-O            | CORP              | US        |    646000 | PA      | $496871.35    | 0.05%             | 2045-12-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                | MSM 2005-10 4A1                                                | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106344 | PA      | $57279.94     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTOWN 2025-STAY MORTGAGE TRUST                                                   | TOWN 2025-STAY E                                               | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2247891.98   | 0.24%             | 2042-03-17      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Csmc 2019-Afc1 Trust                                                              | CSMC 2019-AFC1 A3                                              | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301696 | PA      | $291715.80    | 0.03%             | 2049-07-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| CF 2019-CF2 MORTGAGE TRUST                                                        | CF 2019-CF2 D                                                  | CUSIP: 12528YAT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1168027.43   | 0.12%             | 2052-11-18      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA6                                       | WFALT 2007-PA3 3A1                                             | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64183 | PA      | $56728.99     | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2025-CCM1                                                | JPMMT 2025-CCM1 B3                                             | CUSIP: 46593MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1668928 | PA      | $1622652.83   | 0.17%             | 2055-06-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ1                                      | GSMBS 2020-PJ1 A4                                              | CUSIP: 36258FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204254 | PA      | $183868.96    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Benchmark 2026-V21 Mortgage Trust                                                 | BMARK 2026-V21 C                                               | CUSIP: 08164HBD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1978976.00   | 0.21%             | 2059-03-17      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE TRUST 2015-4                                                   | ABMT 2015-4 B3                                                 | CUSIP: 00842ACE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509569 | PA      | $412806.62    | 0.04%             | 2045-06-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-B33RP                                  | WFCM 2025-B33RP C                                              | CUSIP: 95004RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001307.80   | 0.11%             | 2042-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-LTV3                                                | JPMMT 2019-LTV3 B3                                             | CUSIP: 46651HBW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1453203 | PA      | $1355219.53   | 0.14%             | 2050-03-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2019-3 TRUST                               | WFMBS 2019-3 A17                                               | CUSIP: 949831AS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136499 | PA      | $124232.31    | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                       | GSAA 2006-14 A3A                                               | CUSIP: 36298YAC4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |   2167811 | PA      | $625777.33    | 0.07%             | 2036-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-LUNR                                                                | BX 2025-LUNR D                                                 | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2101302 | PA      | $2104759.62   | 0.22%             | 2040-06-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Elevation Clo 2021-14 Ltd/ Elevation Clo 2021-14 Llc                              | AWPT 2021-14A C2R                                              | CUSIP: 28623RBN7<br>LEI: 549300JPI8D017HI2768 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1646432.70   | 0.17%             | 2038-01-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                      | CAS 2021-R01 1B1                                               | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $2019559.80   | 0.21%             | 2041-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| LSTR TR 2026-HTL6                                                                 | LS 2026-HTL6 A                                                 | CUSIP: 50220QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997583.90    | 0.11%             | 2040-12-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2005-AR16 1A1                                             | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121494 | PA      | $112529.61    | 0.01%             | 2035-12-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                        | CD 2017-CD3 A4                                                 | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $978843.30    | 0.10%             | 2050-02-11      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                | BX 2026-CSMO C                                                 | CUSIP: 12433LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3610910.16   | 0.38%             | 2031-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2021-C60                                    | WFCM 2021-C60 XA                                               | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13896922 | PA      | $794876.16    | 0.08%             | 2054-08-17      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                  | FHMS K-1515 X1                                                 | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3340894 | PA      | $313572.13    | 0.03%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6                                        | NRZT 2017-6A B2                                                | CUSIP: 64830BAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    772553 | PA      | $755302.95    | 0.08%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                            | BOCA 2025-BOCA A                                               | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002268.30   | 0.11%             | 2042-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2018-6Rr                                                          | FSMT 2018-6RR B1                                               | CUSIP: 33851FBP1<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-O            | CORP              | US        |    760699 | PA      | $745345.22    | 0.08%             | 2048-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc.                                                                | DPABS 2019-1A A2                                               | CUSIP: 25755TAL4<br>LEI: 25490005ZWM1IF9UXU57 | Long             | ABS-O            | CORP              | US        |    905280 | PA      | $870926.53    | 0.09%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                                   | PFP 2026-13 B                                                  | CUSIP: 716966AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4012642.00   | 0.42%             | 2043-08-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MCR 2024-HTL MORTGAGE TRUST                                                       | MCR 2024-HTL D                                                 | CUSIP: 55286PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805692 | PA      | $804708.03    | 0.09%             | 2037-02-17      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| PRM7 TRUST 2025-PRM7                                                              | PRM7 2025-PRM7 D                                               | CUSIP: 74290HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $984774.00    | 0.10%             | 2042-11-13      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3                                      | GSMBS 2019-PJ3 B1                                              | CUSIP: 36257QAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785624 | PA      | $732952.98    | 0.08%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Benchmark 2026-V20 Mortgage Trust                                                 | BMARK 2026-V20 D                                               | CUSIP: 08164KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2969652.35   | 0.31%             | 2059-02-18      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CLI FUNDING VIII LLC                                                              | CLIF 2021-1A A                                                 | CUSIP: 12565KAA5<br>LEI: 254900Z4P82YK31RVL27 | Long             | ABS-O            | CORP              | US        |   1111547 | PA      | $1031787.46   | 0.11%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R5                                                                 | CIM 2019-R5 M2                                                 | CUSIP: 12558RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $934030.60    | 0.10%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ2                                      | GSMBS 2019-PJ2 A1                                              | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48418 | PA      | $45594.05     | 0.00%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ1                                      | GSMBS 2020-PJ1 A1                                              | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120149 | PA      | $108794.65    | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2024-III LTD                                                         | CIFC 2024-3A C                                                 | CUSIP: 12575WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503769.50   | 0.16%             | 2037-07-21      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust 2024-PJ4                                      | GSMBS 2024-PJ4 B3                                              | CUSIP: 36269RBX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1923958 | PA      | $1897708.62   | 0.20%             | 2054-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R05 2B1                                               | CUSIP: 20754XAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4550000 | PA      | $4562709.06   | 0.48%             | 2044-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2004-AR4 A6                                               | CUSIP: 92922FPT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198624 | PA      | $195011.53    | 0.02%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| OBX 2022-J1 TRUST                                                                 | OBX 2022-J1 A14                                                | CUSIP: 67116WAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830353 | PA      | $681521.54    | 0.07%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2025-HQA1                                           | STACR 2025-HQA1 M2                                             | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $2004387.20   | 0.21%             | 2045-02-27      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                        | STAR 2020-1 M1                                                 | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2096556 | PA      | $1898927.50   | 0.20%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC SERIES 2018-1                                    | PLNT 2025-1A A2I                                               | CUSIP: 72703PAH6<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1851951.75   | 0.20%             | 2055-12-05      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2025-13                                                    | SEMT 2025-13 A19                                               | CUSIP: 81750DAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940186 | PA      | $1925120.02   | 0.20%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-4 LTD                                                | BCC 2022-4A CR                                                 | CUSIP: 05685BAW6<br>LEI: 254900Z6DRX34BKP6641 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000799.00   | 0.11%             | 2037-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit Clo 2024-2 Ltd.                                               | BCC 2024-2A C                                                  | CUSIP: 056921AG4<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | JE        |   4000000 | PA      | $4005612.00   | 0.42%             | 2037-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL15 LLC                                                                 | BDS 2025-FL15 C                                                | CUSIP: 05556EAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1505095.50   | 0.16%             | 2043-03-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                            | AHPT 2017-ATRM C                                               | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $486625.00    | 0.05%             | 2036-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE MORTGAGE ACCEPTANCE CORP                                              | RAMC 2005-3 AF4                                                | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84825 | PA      | $84859.25     | 0.01%             | 2035-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                        | CSMC 2014-IVR1 B3                                              | CUSIP: 12648ABA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171652 | PA      | $166354.63    | 0.02%             | 2043-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2015-3 B3                                                | CUSIP: 46644MAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289425 | PA      | $272163.41    | 0.03%             | 2045-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                       | GSR 2005-AR5 2A3                                               | CUSIP: 362341MC0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |     87723 | PA      | $43051.60     | 0.00%             | 2035-10-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2018-4                                                    | FSMT 2018-4 B3                                                 | CUSIP: 33851LAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839101 | PA      | $772841.64    | 0.08%             | 2048-07-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2024-PJ9                                      | GSMBS 2024-PJ9 B3                                              | CUSIP: 36270WBY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2730901 | PA      | $2577607.52   | 0.27%             | 2055-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-RM1                                                                     | EFMT 2025-RM4 A1                                               | CUSIP: 26847CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1913944.00   | 0.20%             | 2055-11-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV2                                                | JPMMT 2019-INV2 A15                                            | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284276 | PA      | $258035.68    | 0.03%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2014-1 B5                                                | CUSIP: 46641CBS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597465 | PA      | $508211.32    | 0.05%             | 2044-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 5 LTD                                                                  | ABBSL 2024-5A C                                                | CUSIP: 00038GAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1652880.90   | 0.18%             | 2038-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| General Mills, Inc.                                                               | General Mills, Inc. 0% CP 01/04/2026                           | CUSIP: 3703E1D13<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4999465.00   | 0.53%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY SOLAR LOAN 2019-2 LTD                                                   | MCSLT 2019-2GS A                                               | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    728296 | PA      | $660605.76    | 0.07%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3                                      | GSMBS 2019-PJ3 B2                                              | CUSIP: 36257QAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2080365 | PA      | $1940888.82   | 0.21%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2021-FRR1                                                      | GAM 2021-FRR1 1C                                               | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5187577 | PA      | $4832379.19   | 0.51%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2016-4                                                   | JPMMT 2017-1 B4                                                | CUSIP: 46648CAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1839354 | PA      | $1647654.35   | 0.17%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2017-HR2                                           | MSC 2017-HR2 XA                                                | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13986773 | PA      | $185172.28    | 0.02%             | 2050-12-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-INV5 TRUST                                                              | GCAT 2025-INV5 B3                                              | CUSIP: 36173VCV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2618353 | PA      | $2688060.44   | 0.28%             | 2055-12-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| CBAM 2017-1 LTD                                                                   | CBAMR 2017-1A CR2                                              | CUSIP: 14987LAJ0<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1706657.20   | 0.18%             | 2038-01-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2024-R04                                      | CAS 2024-R04 1M2                                               | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1499967.60   | 0.16%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C27                                                    | BBCMS 2024-5C27 D                                              | CUSIP: 05555FAT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2725635.60   | 0.29%             | 2057-07-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-8                                                   | JPMMT 2019-8 A15                                               | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249216 | PA      | $225828.02    | 0.02%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-BCAT                                            | BX 2025-BCAT C                                                 | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2395712 | PA      | $2397156.94   | 0.25%             | 2042-08-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-9                                                   | JPMMT 2018-9 B2                                                | CUSIP: 46649YBH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794280 | PA      | $748249.14    | 0.08%             | 2049-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                                                | SUBWAY 2024-3A A2II                                            | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7455625 | PA      | $7363621.84   | 0.78%             | 2054-07-30      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2018-D TRUST                                       | SOFI 2018-D BFX                                                | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1468000 | PA      | $1420086.98   | 0.15%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE TRUST 2025-6                                           | PFMT 2025-6 B3                                                 | CUSIP: 74388TBM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730228 | PA      | $3644200.75   | 0.39%             | 2055-12-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| NXPT COMMERCIAL MORTGAGE TRUST 2024-STOR                                          | NXPT 2024-STOR E                                               | CUSIP: 67119YAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3509813.30   | 0.37%             | 2041-11-07      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| PSMC 2019-3 TRUST                                                                 | PSMC 2019-3 A12                                                | CUSIP: 69375BAM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177437 | PA      | $164085.00    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Cstl Commercial Mortgage Trust 2025-GATE2                                         | CSTL 2025-GATE2 E                                              | CUSIP: 12676JAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3217594.58   | 0.34%             | 2042-11-13      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIII LTD                                                       | BLUEM 2021-33A BR                                              | CUSIP: 09630MAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3244530.25   | 0.34%             | 2038-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST 2022-MHIL                                           | MHP 2022-MHIL F                                                | CUSIP: 55293DAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2001411.21   | 0.21%             | 2039-01-18      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2021-NQM4                                            | IMPRL 2021-NQM4 M1                                             | CUSIP: 45276JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1048278 | PA      | $831520.21    | 0.09%             | 2057-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2024-R04                                      | CAS 2024-R04 1B1                                               | CUSIP: 20753GAG6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $2023683.20   | 0.21%             | 2044-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SUNRUN ATLAS ISSUER 2019-2 LLC                                                    | SUNRN 2019-2 A                                                 | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2025380 | PA      | $1955585.69   | 0.21%             | 2055-01-30      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST 2024-FBLU                                         | FMBT 2024-FBLU E                                               | CUSIP: 34461WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2663892.89   | 0.28%             | 2039-12-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Galaxy XXII CLO Ltd/Galaxy XXII CLO LLC                                           | GALXY 2016-22A ER4                                             | CUSIP: 36321AAR4<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1426293.00   | 0.15%             | 2034-04-17      | Variable      | 10.16%                | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-KING                                            | BX 2024-KING E                                                 | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3158420 | PA      | $3166177.08   | 0.34%             | 2034-05-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                   | BALTA 2005-4 23A1                                              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58881 | PA      | $56961.73     | 0.01%             | 2035-05-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2019-CH3                                                   | SEMT 2019-CH3 B1B                                              | CUSIP: 81748GEJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1764099 | PA      | $1690999.08   | 0.18%             | 2049-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2016-BNK2                                          | MSC 2016-BNK2 B                                                | CUSIP: 61690YBY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2711876.13   | 0.29%             | 2049-11-18      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | U.S. Treasury Bond Futures, Jun-2026,ETH                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       272 | NC      | $-657894.59   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-7                                                     | SEMT 2025-7 B3                                                 | CUSIP: 81749VCK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3155166 | PA      | $3150964.01   | 0.33%             | 2055-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| BMD 2 RE-REMIC TRUST                                                              | BMD2 2019-FRR1 3AB                                             | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4598445 | PA      | $4076142.81   | 0.43%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-J2                                                                 | CIM 2020-J2 B3                                                 | CUSIP: 12568PCH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1122593 | PA      | $914779.09    | 0.10%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                    | CWALT 2004-J7 M1                                               | CUSIP: 12667FTE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248906 | PA      | $247993.19    | 0.03%             | 2034-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-2                                                 | JPMMT 2019-2 A15                                               | CUSIP: 46650TAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21523 | PA      | $20318.57     | 0.00%             | 2049-08-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GSAT TRUST 2025-BMF                                                               | GSAT 2025-BMF E                                                | CUSIP: 36271XAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2005114.00   | 0.21%             | 2040-07-16      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                   | BANK 2020-BN26 C                                               | CUSIP: 06540JBV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2103101.75   | 0.22%             | 2063-03-16      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| SABAL ISSUER 2025-1 LLC                                                           | PALMET 2025-1A A                                               | CUSIP: 78517QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3952769 | PA      | $3975664.03   | 0.42%             | 2060-11-01      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Swch Commercial Mortgage Trust 2025-Data                                          | SWCH 2025-DATA E                                               | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1970506.00   | 0.21%             | 2042-02-18      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2019-CH1                                                   | SEMT 2019-CH1 B2B                                              | CUSIP: 81747MCF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448745 | PA      | $440132.39    | 0.05%             | 2049-03-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                      | GSMBS 2021-GR3 B3                                              | CUSIP: 36263TBJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    893956 | PA      | $753489.21    | 0.08%             | 2052-04-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-1                                                     | SEMT 2025-1 A19                                                | CUSIP: 81743EAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361300 | PA      | $1370828.81   | 0.15%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2004-AR7 A6                                               | CUSIP: 92922FTB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186373 | PA      | $177700.95    | 0.02%             | 2034-07-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                  | SMB 2014-A C                                                   | CUSIP: 784456AF2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   1833000 | PA      | $1659947.02   | 0.18%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CWALT INC MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2007-18                       | CWALT 2007-18CB 1A7                                            | CUSIP: 02151NBV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354160 | PA      | $97115.08     | 0.01%             | 2037-08-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-9                                                     | SEMT 2013-9 B2                                                 | CUSIP: 81745DAH4<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-O            | CORP              | US        |    184584 | PA      | $178117.78    | 0.02%             | 2043-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BREAN ASSET BACKED SECS TR 24-RM8                                                 | BABS 2024-RM9 A1                                               | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845944 | PA      | $837746.98    | 0.09%             | 2064-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                              | WAMU 2007-HY2 1A1                                              | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202601 | PA      | $187357.29    | 0.02%             | 2036-12-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-LTV2                                                | JPMMT 2019-LTV2 B2                                             | CUSIP: 46651ABB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894580 | PA      | $864931.71    | 0.09%             | 2049-12-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2015-2                                              | MCMLT 2015-2 B2                                                | CUSIP: 599808BL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257933 | PA      | $1165033.39   | 0.12%             | 2057-09-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                                      | RFT 2025-3 A                                                   | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2225196 | PA      | $2246337.70   | 0.24%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GALTON FUNDING MORTGAGE TRUST 2018-2                                              | GFMT 2018-2 A51                                                | CUSIP: 36418GBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209935 | PA      | $204145.35    | 0.02%             | 2058-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                    | CWALT 2004-32CB 2A2                                            | CUSIP: 12667FP41<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185101 | PA      | $174270.11    | 0.02%             | 2035-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV4 TRUST                                                              | GCAT 2024-INV4 B4                                              | CUSIP: 367919CJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1727523 | PA      | $1756682.84   | 0.19%             | 2054-12-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FS TRUST 2026-ORL                                                                 | FS 2026-ORL C                                                  | CUSIP: 30343YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2750428.45   | 0.29%             | 2041-02-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2023-FUN                                        | GSMS 2023-FUN C                                                | CUSIP: 36267CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1408648.08   | 0.15%             | 2028-03-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                | BX 2026-CART D                                                 | CUSIP: 12433MAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2977733.40   | 0.32%             | 2036-02-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B22 MORTGAGE TRUST                                                 | BMARK 2020-B22 XA                                              | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10935352 | PA      | $628533.97    | 0.07%             | 2054-01-16      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2020-1                                                        | RCKT 2020-1 B2A                                                | CUSIP: 749389BH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194170 | PA      | $1079827.45   | 0.11%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE TRUST 2019-1                                                      | RCKT 2019-1 B2A                                                | CUSIP: 749357BH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795917 | PA      | $731812.19    | 0.08%             | 2049-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-VLT6                                                                | BX 2025-VLT6 E                                                 | CUSIP: 12433KAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2732903.80   | 0.29%             | 2042-03-17      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                           | STACR 2022-DNA1 B1                                             | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-O            | USGSE             | US        |   6988518 | PA      | $7118395.41   | 0.75%             | 2042-01-27      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                       | GSR 2006-AR1 2A1                                               | CUSIP: 3623414A4<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    125561 | PA      | $119200.10    | 0.01%             | 2036-01-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MTG TR 2024-11                                                 | CHASE 2024-11 B3                                               | CUSIP: 161919BQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1963857 | PA      | $2007889.87   | 0.21%             | 2055-11-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios Ii Issuer Llc                                                      | SNVA 2018-1A A                                                 | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    738727 | PA      | $714008.97    | 0.08%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-A-GS                                           | CBSLT 2020-AGS B                                               | CUSIP: 20267WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311187 | PA      | $261893.52    | 0.03%             | 2050-08-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                             | PSTAT 2025-1A D                                                | CUSIP: 69703VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1512430.40   | 0.16%             | 2033-02-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK7                                                                    | BANK 2017-BNK7 B                                               | CUSIP: 06541XAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1858437.20   | 0.20%             | 2060-09-17      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| HLTN COMMERCIAL MORTGAGE TRUST 2024-DPLO                                          | HLTN 2024-DPLO D                                               | CUSIP: 40424UAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2004601.40   | 0.21%             | 2041-06-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| SDAL TRUST 2025-DAL                                                               | SDAL 2025-DAL A                                                | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004311.80   | 0.11%             | 2042-04-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust 2024-PJ4                                      | GSMBS 2024-PJ4 B2                                              | CUSIP: 36269RBU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465094 | PA      | $1463156.85   | 0.15%             | 2054-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B20 MORTGAGE TRUST                                                 | BMARK 2020-B20 XA                                              | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6274396 | PA      | $292941.20    | 0.03%             | 2053-10-20      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE LOAN TRUST                                                     | ABMT 2016-1 B3                                                 | CUSIP: 00842TAU2<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-O            | CORP              | US        |    336430 | PA      | $284893.47    | 0.03%             | 2045-12-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R02 1B2                                               | CUSIP: 20754GAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    850000 | PA      | $888653.24    | 0.09%             | 2044-02-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE 2018-MTG2                                       | MELLO 2018-MTG2 B2                                             | CUSIP: 585499BR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1225339 | PA      | $1166219.05   | 0.12%             | 2048-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Cf 2019-Cf3 Mortgage Trust                                                        | CF 2019-CF3 D                                                  | CUSIP: 12529TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $884284.75    | 0.09%             | 2053-01-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BHMS COMMERCIAL MORTGAGE TRUST 2025-ATLS                                          | BHMS 2025-ATLS B                                               | CUSIP: 088928AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002486.20   | 0.11%             | 2042-08-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2016-FL1 LTD                            | ARCREN 2026-FL1 B                                              | CUSIP: 03881XAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001874.40   | 0.21%             | 2043-09-22      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2016-2                                                   | ABMT 2016-2 B3                                                 | CUSIP: 00842EAU5<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-O            | CORP              | US        |    582575 | PA      | $552499.52    | 0.06%             | 2046-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2019-4                                                     | SEMT 2019-4 A19                                                | CUSIP: 81748JAU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254232 | PA      | $230717.70    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE TRUST 2019-1                                                      | RCKT 2019-1 B1A                                                | CUSIP: 749357BE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    778720 | PA      | $718561.47    | 0.08%             | 2049-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-2                                                     | SEMT 2025-2 A19                                                | CUSIP: 816935AU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    617553 | PA      | $619236.31    | 0.07%             | 2055-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2019-2                                                    | FSMT 2019-2 B2                                                 | CUSIP: 33852BAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843226 | PA      | $774279.19    | 0.08%             | 2049-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                      | GSMBS 2021-GR3 B4                                              | CUSIP: 36263TBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    896238 | PA      | $748579.86    | 0.08%             | 2052-04-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40                                    | WFCM 2017-C40 XA                                               | CUSIP: 95000YAZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21044204 | PA      | $165059.16    | 0.02%             | 2050-10-17      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| BMD 2 RE-REMIC TRUST                                                              | BMD2 2019-FRR1 6B10                                            | CUSIP: 055631HH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5887827 | PA      | $5144640.45   | 0.54%             | 2052-05-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2015-3 B4                                                | CUSIP: 46644MAM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    866534 | PA      | $670995.78    | 0.07%             | 2045-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-INV3                                                               | CIM 2019-INV3 A15                                              | CUSIP: 12557LAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179562 | PA      | $163440.26    | 0.02%             | 2049-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2019-HYB1 B1                                             | CUSIP: 46651FAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1837343 | PA      | $1816074.72   | 0.19%             | 2049-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Magnetite XLV Ltd.                                                                | MAGNE 2025-45A E                                               | CUSIP: 55956DAA7<br>LEI: 529900IK6R4NURGLMB37 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $842747.80    | 0.09%             | 2038-04-15      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C34                                                    | BBCMS 2025-5C34 C                                              | CUSIP: 07337BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1041810.80   | 0.11%             | 2058-05-17      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 12 LTD                                                            | BGCLO 2025-12A D2                                              | CUSIP: 09090MAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1700000 | PA      | $1640326.60   | 0.17%             | 2038-04-22      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V19 MORTGAGE TRUST                                                 | BMARK 2025-V19 C                                               | CUSIP: 08164DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2486308.25   | 0.26%             | 2058-01-17      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| UWM MORTGAGE TRUST 2021-INV5                                                      | UWM 2021-INV5 B3                                               | CUSIP: 90355DBJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3107217 | PA      | $2610359.68   | 0.28%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-8 TRUST    | WMALT 2005-8 1A2                                               | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286877 | PA      | $249540.55    | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-INV1                                                               | CIM 2019-INV1 A1                                               | CUSIP: 12555DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22386 | PA      | $21428.88     | 0.00%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Ltd                                                                       | OCT75 2025-1A D1                                               | CUSIP: 67579EAJ8<br>LEI: 5493009LQ0GMI27K0355 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1966036.00   | 0.21%             | 2038-01-22      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| BRSP 2026-FL3 Ltd / BRSP 2026-FL3 LLC                                             | BRSP 2026-FL3 B                                                | CUSIP: 116686AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1252223.50   | 0.13%             | 2043-08-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2021-7                                                     | SEMT 2021-7 B3                                                 | CUSIP: 81748TCF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564329 | PA      | $1312730.54   | 0.14%             | 2051-11-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOANS 2017-1 LLC                                                     | MSAIC 2018-1A A                                                | CUSIP: 61946FAA3<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    430989 | PA      | $406630.71    | 0.04%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corporation                                                | PPL Electric Utilities Corporation 0% CP 10/04/2026            | CUSIP: 6935A3DA8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6992252.40   | 0.74%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1Inv                                                 | FSMT 2020-1INV B2A                                             | CUSIP: 33851YBD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3016770 | PA      | $2774965.62   | 0.29%             | 2050-03-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C31                                                    | BBCMS 2024-5C31 D                                              | CUSIP: 07336YAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2209142.75   | 0.23%             | 2057-12-17      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST 2021-D                                       | NAVSL 2021-DA C                                                | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1745184 | PA      | $1628736.86   | 0.17%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2025-CRE8 ISSUER LLC                                                     | LNCR 2025-CRE8 C                                               | CUSIP: 53947FAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000263.75   | 0.11%             | 2042-08-18      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                    | CWALT 2005-31 1A1                                              | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198711 | PA      | $193652.11    | 0.02%             | 2035-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST 2015-WOLF                                                        | GWT 2024-WOLF D                                                | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2008138.40   | 0.21%             | 2039-03-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2005-AR13 A1C3                                            | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139039 | PA      | $134763.14    | 0.01%             | 2045-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKE'S FUNDING LLC                                                         | JMIKE 2024-1A A2                                               | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1584000 | PA      | $1604298.96   | 0.17%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-2                                                     | SEMT 2024-2 A19                                                | CUSIP: 81749HAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485581 | PA      | $488979.95    | 0.05%             | 2054-03-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B9 MORTGAGE TRUST                                                  | BMARK 2019-B9 D                                                | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $925240.86    | 0.10%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KSL COMMERCIAL MORTGAGE TRUST 2024-HT2                                            | KSL 2024-HT2 D                                                 | CUSIP: 500937AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2228024 | PA      | $2219443.74   | 0.23%             | 2039-12-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                     | STACR 2026-DNA2 M2                                             | CUSIP: 35564UDR5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2400000 | PA      | $2404111.68   | 0.25%             | 2046-03-26      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-6                                                     | SEMT 2024-6 B4                                                 | CUSIP: 81743DCG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419396 | PA      | $1375534.41   | 0.15%             | 2054-07-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-A                                           | SMB 2025-A A1A                                                 | CUSIP: 83207EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1737922 | PA      | $1752051.60   | 0.19%             | 2054-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-D1                            | ACE 2007-D1 A3                                                 | CUSIP: 00083BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656092 | PA      | $494293.04    | 0.05%             | 2038-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Shellpoint Co-Originator Trust 2017-2                                             | SCOT 2017-2 B3                                                 | CUSIP: 82281FCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704581 | PA      | $654087.51    | 0.07%             | 2047-10-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-LTV1                                                | JPMMT 2019-LTV1 B2                                             | CUSIP: 46650PAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420741 | PA      | $403075.85    | 0.04%             | 2049-06-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29                                                    | BBCMS 2024-5C29 D                                              | CUSIP: 05555PAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1764070.80   | 0.19%             | 2057-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC SERIES 2018-1                                    | PLNT 2024-1A A2II                                              | CUSIP: 72703PAG8<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   6304000 | PA      | $6427215.46   | 0.68%             | 2054-06-05      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 18 LTD                                                                | ELM18 2022-5A CRR                                              | CUSIP: 29003MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3006615.00   | 0.32%             | 2037-07-17      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| LAUREL ROAD PRIME STUDENT LOAN TRUST 2019-A                                       | LRK 2019-A BFX                                                 | CUSIP: 51889RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404707 | PA      | $401173.12    | 0.04%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2017-A                                           | SMB 2017-A B                                                   | CUSIP: 78448WAD7<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |    641003 | PA      | $637063.30    | 0.07%             | 2041-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2005-OPT2                                   | CMLTI 2007-10 22AA                                             | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147841 | PA      | $140543.57    | 0.01%             | 2037-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Comm 2004-Lnb3 Commercial Mortgage Pass-Through Certificates                      | ILPT 2025-LPF2 C                                               | CUSIP: 451955AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002552.20   | 0.11%             | 2042-07-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Commonbond St Ln Tr 2017-A-Gs                                                     | CBSLT 2017-AGS C                                               | CUSIP: 20267VAD9<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |    219054 | PA      | $202209.14    | 0.02%             | 2041-05-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 10-Year T-Note Futures, Jun-2026,ETH                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        31 | NC      | $-57220.42    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK5 2026-5YR20                                                                  | BANK5 2026-5YR21 B                                             | CUSIP: 06644BAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2065011.60   | 0.22%             | 2059-04-17      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-XL4                                             | BX 2024-XL4 D                                                  | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198775 | PA      | $1204802.26   | 0.13%             | 2039-02-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                                      | RFM 2022-FRR1 AB60                                             | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5550000 | PA      | $5432396.33   | 0.58%             | 2049-11-08      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                                           | PLYM 2026-IND D                                                | CUSIP: 69292BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1985041.00   | 0.21%             | 2043-03-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-4                             | MSRM 2024-4 B3                                                 | CUSIP: 61777BBH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    978504 | PA      | $1011616.44   | 0.11%             | 2054-09-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP                                                       | CHASE 2006-A1 2A3                                              | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73351 | PA      | $65241.67     | 0.01%             | 2036-09-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2006-AR2 TRUST                             | WFMBS 2006-AR4 2A4                                             | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31608 | PA      | $31510.95     | 0.00%             | 2036-04-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-6                                                 | VERUS 2021-6 A1                                                | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314217 | PA      | $275054.74    | 0.03%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2016-1                                                   | JPMMT 2016-1 B4                                                | CUSIP: 46646BBB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $753381.80    | 0.08%             | 2046-05-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-11INV                                                | FSMT 2021-11IN A18                                             | CUSIP: 33851TAU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622441 | PA      | $1341713.68   | 0.14%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3                                      | GSMBS 2019-PJ3 B3                                              | CUSIP: 36257QAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1782405 | PA      | $1654713.72   | 0.18%             | 2050-03-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-OMNI                    | JPMCC 2024-OMNI D                                              | CUSIP: 46593JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $994055.60    | 0.11%             | 2039-10-07      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                 | Enterprise Products Operating LLC 0% CP 01/04/2026             | CUSIP: 29380DD15<br>LEI: 5493004LGN656HWLDA30 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4999451.00   | 0.53%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2023-HQA3                                           | STACR 2023-HQA3 M2                                             | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-O            | USGSE             | US        |   2500000 | PA      | $2609569.00   | 0.28%             | 2043-11-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-GS1                                             | GSMS 2019-GC39 D                                               | CUSIP: 36260JAL1<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-O            | CORP              | US        |   1516508 | PA      | $1190761.02   | 0.13%             | 2052-05-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRUPS FINANCIALS NOTE SECURITIZATION 2026-1                                       | TFINS 2026-1A A1                                               | CUSIP: 897930AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6030150.00   | 0.64%             | 2038-01-15      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| MF1 2025-FL20 LLC                                                                 | MF1 2025-FL20 A                                                | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1503023.25   | 0.16%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MORTGAGE TRUST                                                 | BMARK 2019-B10 XA                                              | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11528837 | PA      | $352367.37    | 0.04%             | 2062-03-17      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                           | STACR 2021-DNA6 B1                                             | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-O            | USGSE             | US        |   1825522 | PA      | $1845803.91   | 0.20%             | 2041-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| LCSS FINANCING LLC 2018-A                                                         | LCSS 2018-A A                                                  | CUSIP: 50200XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693568 | PA      | $610932.89    | 0.06%             | 2062-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2020-2                                                     | SEMT 2020-2 B3                                                 | CUSIP: 81748KEG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1476428 | PA      | $1317981.02   | 0.14%             | 2050-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                                              | WSTOP 2020-1A A2                                               | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3973266 | PA      | $3849399.43   | 0.41%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-SDMF                                                                | BX 2021-SDMF E                                                 | CUSIP: 12434CAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2231783 | PA      | $2229486.75   | 0.24%             | 2034-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25                                   | WFCM 2016-LC25 D                                               | CUSIP: 95000JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375000 | PA      | $3139714.24   | 0.33%             | 2059-12-17      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| WIND RIVER 2017-3 CLO LTD                                                         | WINDR 2017-3A CR2                                              | CUSIP: 97316LAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4979210.00   | 0.53%             | 2035-04-16      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2026-5C40                                                    | BBCMS 2026-5C40 D                                              | CUSIP: 05557AAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2944841.20   | 0.31%             | 2059-02-18      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ZAXBY'S FUNDING LLC                                                               | ZAXBY 2024-1A A2I                                              | CUSIP: 98920MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2807250 | PA      | $2850262.97   | 0.30%             | 2054-04-30      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MORTGAGE TRUST                                                       | BMO 2024-5C6 D                                                 | CUSIP: 05593QAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1783652.00   | 0.19%             | 2057-09-17      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                  | NAVSL 2020-HA A                                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110544 | PA      | $105095.07    | 0.01%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                             | DNKN 2021-1A A23                                               | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3399125 | PA      | $3013378.36   | 0.32%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C54                                    | WFCM 2019-C54 C                                                | CUSIP: 95001YAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $870574.20    | 0.09%             | 2052-12-17      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2021-5                                                   | OCMT 2021-5 B3                                                 | CUSIP: 67647ECF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400412 | PA      | $1996143.06   | 0.21%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| PARK BLUE CLO 2023-IV LTD                                                         | PKBLU 2023-4A ER                                               | CUSIP: 699918AG3<br>LEI: 213800XCIR4Y5GCOQX50 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3910952.00   | 0.41%             | 2039-01-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                      | CAS 2020-R02 2B1                                               | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1397704 | PA      | $1415931.60   | 0.15%             | 2040-01-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2019-5                                                     | SEMT 2019-5 B2                                                 | CUSIP: 81743ACC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394213 | PA      | $362908.55    | 0.04%             | 2049-12-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                   | BALTA 2005-10 21A1                                             | CUSIP: 07386HZC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45033 | PA      | $43783.31     | 0.00%             | 2036-01-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C45                                    | WFCM 2018-C45 XA                                               | CUSIP: 95001NAZ1<br>LEI: 5493006021R83VCLAO08 | Long             | ABS-O            | CORP              | US        |  13327398 | PA      | $185937.20    | 0.02%             | 2051-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust 2019-D                                                   | AJAXM 2019-D A2                                                | CUSIP: 00968FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2096556 | PA      | $1983837.39   | 0.21%             | 2065-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bojangles Inc                                                                     | BOJA 2024-1A A2                                                | CUSIP: 09748RAC2<br>LEI: 549300V7MGDZ6K056B43 | Long             | ABS-O            | CORP              | US        |   1393000 | PA      | $1402565.45   | 0.15%             | 2054-11-20      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| HELIOS ISSUER LLC                                                                 | SNVA 2021-B B                                                  | CUSIP: 86744TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4403305 | PA      | $2942741.99   | 0.31%             | 2048-07-20      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| TEXTAINER MARINE CONTAINERS VII LTD                                               | TMCL 2021-1A A                                                 | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    890000 | PA      | $837303.11    | 0.09%             | 2046-02-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12                                                                  | BANK5 2024-5YR12 D                                             | CUSIP: 06644XAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2022339.63   | 0.21%             | 2057-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H7                                            | MSC 2019-H7 AS                                                 | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1710000 | PA      | $1625082.77   | 0.17%             | 2052-07-17      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                          | AJAXM 2019-F A2                                                | CUSIP: 00969PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1048278 | PA      | $1011714.80   | 0.11%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SCG COMMERCIAL MORTGAGE TRUST 2025-FLWR                                           | SCG 2025-FLWR C                                                | CUSIP: 78438AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4005531.60   | 0.42%             | 2042-08-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-VAMF                                                                | BX 2022-VAMF F                                                 | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380513 | PA      | $379482.23    | 0.04%             | 2039-01-18      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ1                                      | GSMBS 2019-PJ1 B3                                              | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802846 | PA      | $721117.75    | 0.08%             | 2049-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-LTV3                                                | JPMMT 2019-LTV3 B2                                             | CUSIP: 46651HBT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831766 | PA      | $780268.68    | 0.08%             | 2050-03-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3                                         | CSTL 2026-GATE3 E                                              | CUSIP: 228920AJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1981098.40   | 0.21%             | 2043-02-10      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Ubs Commercial Mortgage Trust 2019-C18                                            | UBSCM 2019-C18 B                                               | CUSIP: 90278PBE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1659000 | PA      | $1442861.00   | 0.15%             | 2052-12-17      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-3 LTD                                                      | PLMRS 2021-3A ER                                               | CUSIP: 69688JAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4843660.00   | 0.51%             | 2038-10-15      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                         | CIM 2020-J1 B3                                                 | CUSIP: 12559YBJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    854728 | PA      | $746856.83    | 0.08%             | 2049-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2006-AR14 1A3                                             | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163034 | PA      | $148469.70    | 0.02%             | 2036-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-7                                                   | JPMMT 2019-7 A15                                               | CUSIP: 46651GAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293914 | PA      | $265505.48    | 0.03%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                                          | CHASE 2024-6 B3                                                | CUSIP: 161931AZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4404255 | PA      | $4644965.30   | 0.49%             | 2055-05-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-LGCY                                                                | BX 2021-LGCY E                                                 | CUSIP: 12434DAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999324.60    | 0.11%             | 2036-10-15      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                                                  | Flatiron CLO 24 LTD                                            | CUSIP: 33882HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $4880200.00   | 0.52%             | 2039-01-15      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                                       | Eaton Corp. 0% CP 01/04/2026                                   | CUSIP: 27805BD10<br>LEI: 0NZWDMRCE180888QQE14 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4999451.00   | 0.53%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                | BX 2025-TAIL D                                                 | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2505536.50   | 0.27%             | 2035-06-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2020-B TRUST                                       | SOFI 2020-B BFX                                                | CUSIP: 83405FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3529000 | PA      | $2950904.98   | 0.31%             | 2046-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                                  | JPMMT 2021-14 B4                                               | CUSIP: 46653QCH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941315 | PA      | $777231.08    | 0.08%             | 2052-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| HTAP ISSUER TRUST 2025-1                                                          | HTAP 2025-1 A                                                  | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1797182 | PA      | $1791424.31   | 0.19%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                               | Constellation Energy Generation LLC 0% CP 01/04/2026           | CUSIP: 21038QD19<br>LEI: S2PEWKCZFFECR4533P43 | Long             | STIV             | CORP              | US        |   1300000 | PA      | $1299842.44   | 0.14%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 11 LTD                                                            | BGCLO 2024-11A E                                               | CUSIP: 09078AAA3<br>LEI: 2549009HQHT8KMO8YJ79 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980156.00    | 0.10%             | 2038-01-22      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| SABAL ISSUER 2025-2 LLC                                                           | PALMET 2025-2A A                                               | CUSIP: 78517MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6343603 | PA      | $6242579.82   | 0.66%             | 2061-04-30      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2005-OPT2                                   | CMLTI 2006-AR2 1A1                                             | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182503 | PA      | $135315.34    | 0.01%             | 2036-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| SUNRUN IRIS ISSUER 2023-1 LLC                                                     | SUNRN 2023-1A A                                                | CUSIP: 86772YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2043393 | PA      | $2000596.66   | 0.21%             | 2059-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-E                                  | NAVSL 2021-FA B                                                | CUSIP: 63942GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $608054.30    | 0.06%             | 2070-02-18      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-AFC1 TRUST                                                              | CSMC 2021-AFC1 M1                                              | CUSIP: 12657LAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $638182.00    | 0.07%             | 2056-03-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST 2021-MHC                                            | MHC 2021-MHC F                                                 | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1600080.97   | 0.17%             | 2038-04-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2018-2                                                    | FSMT 2018-2 B2                                                 | CUSIP: 33851HBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775243 | PA      | $715343.82    | 0.08%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust 2026-ESH2                                             | ESA 2026-ESH2 F                                                | CUSIP: 30227WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990679 | PA      | $994290.77    | 0.11%             | 2043-02-18      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                                  | JPMMT 2021-10 B2                                               | CUSIP: 46654ABZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999565 | PA      | $818415.35    | 0.09%             | 2051-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 3 LTD                                                                  | ABBSL 2021-3A D1R                                              | CUSIP: 00037QAU3<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1500956.45   | 0.16%             | 2038-04-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS IV ISSUER LLC                                                      | SNVA 2020-AA A                                                 | CUSIP: 86746CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826344 | PA      | $728148.78    | 0.08%             | 2047-06-20      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Cd 2019-Cd8 Mortgage Trust                                                        | CD 2019-CD8 XA                                                 | CUSIP: 12515BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11817411 | PA      | $415451.14    | 0.04%             | 2057-08-17      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-6                                                   | JPMMT 2022-6 B3                                                | CUSIP: 46655KDF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2546927 | PA      | $2121319.85   | 0.22%             | 2052-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-MTG3                                       | MELLO 2021-MTG3 B3                                             | CUSIP: 58549RCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883487 | PA      | $723397.74    | 0.08%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 5 LTD                                                                | NAVS 2026-5A D1                                                | CUSIP: 63943LAJ0<br>LEI: 254900V88NPZZJ3OTO41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998085.00    | 0.11%             | 2039-03-31      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                                | RAMC 2005-4 A6                                                 | CUSIP: 759950GA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233904 | PA      | $218304.28    | 0.02%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| SUNRUN XANADU ISSUER 2019-1 LLC                                                   | SUNRN 2019-1A A                                                | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    732315 | PA      | $704393.88    | 0.07%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| GWT COMMERCIAL MORTGAGE TRUST 2024-WLF2                                           | GWT 2024-WLF2 D                                                | CUSIP: 362414AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2713669.83   | 0.29%             | 2041-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                               | Constellation Energy Generation LLC 0% CP 02/04/2026           | CUSIP: 21038QD27<br>LEI: S2PEWKCZFFECR4533P43 | Long             | STIV             | CORP              | US        |   3300000 | PA      | $3299199.75   | 0.35%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2018-2-GS                                                 | MSAIC 2018-2GS A                                               | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    587661 | PA      | $549787.67    | 0.06%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA4                                           | STACR 2022-DNA4 M2                                             | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-O            | USGSE             | US        |   2096556 | PA      | $2189527.78   | 0.23%             | 2042-05-27      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                               | JPMBB 2014-C26 XD                                              | CUSIP: 46643TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  46979000 | PA      | $506591.00    | 0.05%             | 2048-01-17      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST 2025-MHIL2                                          | MHP 2025-MHIL2 E                                               | CUSIP: 59317DAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2994690.00   | 0.32%             | 2040-09-17      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK43                                                                   | BANK 2022-BNK43 B                                              | CUSIP: 06541QBK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1930807.00   | 0.20%             | 2055-08-17      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                  | CWALT 2007-OA4 A1                                              | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    670051 | PA      | $615805.94    | 0.07%             | 2047-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARZ TRUST 2024-BILT                                                               | ARZ 2024-BILT F                                                | CUSIP: 00218TAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2048902.40   | 0.22%             | 2039-06-13      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 5-Year T-Note Futures, Jun-2026,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        16 | NC      | $-20403.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                  | CWALT 2006-20CB A9                                             | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566868 | PA      | $214138.76    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE SECURITIES CORP                                        | WMALT 2005-10 2A9                                              | CUSIP: 93934FGH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245320 | PA      | $235356.05    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2025-1 LTD                                                          | BMIR 2025-1 M1B                                                | CUSIP: 07876NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005388.00   | 0.11%             | 2035-10-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| CF 2019-CF1                                                                       | CF 2019-CF1 B                                                  | CUSIP: 12529MAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $905525.70    | 0.10%             | 2052-05-17      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| BXMT 2026-FL6 LTD                                                                 | BXMT 2026-FL6 B                                                | CUSIP: 05620AAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1997504.80   | 0.21%             | 2043-08-19      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2026-2                                                   | JPMMT 2026-2 A9B                                               | CUSIP: 46594PBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3715252 | PA      | $3623156.12   | 0.38%             | 2056-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2022-INV2                               | BVINV 2022-2 B3A                                               | CUSIP: 07336NCJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1320861 | PA      | $1109283.30   | 0.12%             | 2051-12-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ3                                      | GSMBS 2019-PJ3 A1                                              | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33718 | PA      | $31786.79     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2015-2                                              | MCMLT 2017-2 M2                                                | CUSIP: 59980AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $881003.70    | 0.09%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk4                                                                    | BANK 2017-BNK4 B                                               | CUSIP: 06541FBE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1431501.00   | 0.15%             | 2050-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C15                               | JPMBB 2013-C15 XC                                              | CUSIP: 46640NAM0<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-O            | CORP              | US        |  22522263 | PA      | $359225.59    | 0.04%             | 2045-11-17      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                                     | GS Mortgage-Backed Securities Trust 2026-PJ3                   | CUSIP: 362976DC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1228000 | PA      | $1188819.55   | 0.13%             | 2056-08-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                     | STACR 2026-DNA2 B1                                             | CUSIP: 35564UEP8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4500000 | PA      | $4505303.25   | 0.48%             | 2046-03-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIX LTD                                                          | SNDPT 2021-1A CR                                               | CUSIP: 83614VAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4079975.60   | 0.43%             | 2034-04-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Institutional Liquidity Funds                                      | Morgan Stanley Institutional Liquidity Funds GOVT PTF INSTL    | CUSIP: 61747C707<br>LEI: 5493000A332Y142SOW84 | Long             | STIV             | RF                | US        |  20483000 | NS      | $20483000.00  | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2020-4 TRUST                               | WFMBS 2020-4 B2                                                | CUSIP: 95002VBJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914503 | PA      | $825979.93    | 0.09%             | 2050-07-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 2-Year T-Note Futures, Jun-2026,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1269 | NC      | $-1837448.77  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Csmc Trust 2013-IVR5                                                              | CSMC 2013-IVR5 B3                                              | CUSIP: 12647VAZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122585 | PA      | $119534.78    | 0.01%             | 2043-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-1                                        | STAR 2021-1 A3                                                 | CUSIP: 85573GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391577 | PA      | $367499.79    | 0.04%             | 2065-05-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2023-PRM3                                     | CGCMT 2023-PRM3 C                                              | CUSIP: 17331LAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2037398.00   | 0.22%             | 2028-07-10      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-PJ5                                      | GSMBS 2023-PJ5 B2                                              | CUSIP: 36268ABS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3474947 | PA      | $3594969.91   | 0.38%             | 2054-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2019-5                                                     | SEMT 2019-5 B3                                                 | CUSIP: 81743ACD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394213 | PA      | $361262.81    | 0.04%             | 2049-12-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-LBA6                                                                | BX 2022-LBA6 E                                                 | CUSIP: 12433EAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2002131.00   | 0.21%             | 2039-01-18      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-J2                                                                 | CIM 2020-J2 B2                                                 | CUSIP: 12568PCG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    847057 | PA      | $696809.49    | 0.07%             | 2051-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R01 1B1                                               | CUSIP: 20753UAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1629592.32   | 0.17%             | 2044-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-7                                                   | JPMMT 2019-7 B3A                                               | CUSIP: 46651GBF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1710213 | PA      | $1521544.09   | 0.16%             | 2050-02-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2015-2                                                  | TPMT 2015-2 2B2                                                | CUSIP: 89171YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762640 | PA      | $760735.19    | 0.08%             | 2057-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-1                                                 | JPMMT 2019-1 A3                                                | CUSIP: 46650HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66290 | PA      | $62024.05     | 0.01%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         6 | NC      | $-19700.82    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GAM RE-REMIC TRUST 2022-FRR3                                                      | GAM 2022-FRR3 BK71                                             | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3728439.20   | 0.39%             | 2050-11-29      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV6                                                | JPMMT 2021-INV6 A5A                                            | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697712 | PA      | $577406.35    | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE VII LTD                                                                | OMIR 2021-2 M1C                                                | CUSIP: 67389JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   2655637 | PA      | $2682542.85   | 0.28%             | 2034-04-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2023-R07                                      | CAS 2023-R07 2M2                                               | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1028526.20   | 0.11%             | 2043-09-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LLC                                                        | BLUEM 2022-34A CR                                              | CUSIP: 09631JAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $4859967.00   | 0.51%             | 2035-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-6                                                   | JPMMT 2021-6 B3                                                | CUSIP: 46653PBZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4399782 | PA      | $3555040.46   | 0.38%             | 2051-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2017-6                                                   | JPMMT 2017-6 B4                                                | CUSIP: 46649HBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797153 | PA      | $723530.81    | 0.08%             | 2048-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2020-C TRUST                                       | SOFI 2020-C BFX                                                | CUSIP: 83390UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2865000 | PA      | $2477860.86   | 0.26%             | 2046-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD/LLC                                                           | SYMP 2024-43A C                                                | CUSIP: 87170BAL0<br>LEI: 254900QCSPTCYRSY3N68 | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7510605.00   | 0.80%             | 2037-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Figure Line Of Credit Trust 2020-1                                                | FLOC 2020-1 A                                                  | CUSIP: 302452AA5<br>LEI: 254900175VJRXFD8YS91 | Long             | ABS-O            | CORP              | US        |    353217 | PA      | $342326.07    | 0.04%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C10 MORTGAGE TRUST                                                      | BMO 2025-5C10 C                                                | CUSIP: 05615BAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015535.80   | 0.11%             | 2058-05-17      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R03                                      | CAS 2025-R02 1B1                                               | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $2004302.80   | 0.21%             | 2045-02-27      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| HIT TRUST 2022-HI32                                                               | HIT 2022-HI32 B                                                | CUSIP: 40442AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391928 | PA      | $394980.38    | 0.04%             | 2039-07-15      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-D1                            | ACE 2007-D1 A2                                                 | CUSIP: 00083BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432814 | PA      | $355455.95    | 0.04%             | 2038-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-1                                                   | JPMMT 2022-1 B3                                                | CUSIP: 46654WCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1077781 | PA      | $879224.70    | 0.09%             | 2052-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-6                                                   | JPMMT 2018-6 1A10                                              | CUSIP: 46650JAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207075 | PA      | $188950.02    | 0.02%             | 2048-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SABAL ISSUER 2026-1 LLC                                                           | PALMET 2026-1A A1                                              | CUSIP: 78518CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4216103.22   | 0.45%             | 2061-05-02      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-LTV2                                                | JPMMT 2019-LTV2 B3                                             | CUSIP: 46651ABC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894580 | PA      | $862793.84    | 0.09%             | 2049-12-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 12 LTD                                                            | BGCLO 2025-12A E                                               | CUSIP: 09090NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1250000 | PA      | $1216876.25   | 0.13%             | 2038-04-22      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| CHERRY SECURITIZATION TRUST 2025-1                                                | CHRY 2025-1A A                                                 | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2323795.80   | 0.25%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 10-Year T-Note Futures, Jun-2026,ETH                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -34 | NC      | $25960.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                               | CGCMT 2023-SMRT D                                              | CUSIP: 17291NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $995837.20    | 0.11%             | 2040-10-12      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Jpmbb Commercial Mortgage Securities Trust 2013-C12                               | JPMBB 2014-C26 XE                                              | CUSIP: 46643TAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34428000 | PA      | $59892.67     | 0.01%             | 2048-01-17      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2024-25 LTD                                                           | OAKCL 2024-25A C                                               | CUSIP: 67402PAE7<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1101882.10   | 0.12%             | 2037-04-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ORL 2024-GLKS MORTGAGE TRUST                                                      | ORL 2024-GLKS E                                                | CUSIP: 67120DAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2764483.15   | 0.29%             | 2039-12-15      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| SUN HEL XII ISSUER LLC 2023-B                                                     | SNVA 2023-B C                                                  | CUSIP: 86745YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1499055 | PA      | $1013137.39   | 0.11%             | 2050-08-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2023-R02                                      | CAS 2023-R02 1B1                                               | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4088283 | PA      | $4347560.27   | 0.46%             | 2043-01-26      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2017-CH1                                                   | SEMT 2017-CH1 B2B                                              | CUSIP: 81746HBE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596802 | PA      | $578209.38    | 0.06%             | 2047-08-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JW TRUST 2024-BERY                                                                | JW 2024-BERY A                                                 | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1151500.75   | 0.12%             | 2039-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                     | GSAA 2007-1 1A1                                                | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    838876 | PA      | $229750.58    | 0.02%             | 2037-02-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2023-1 LTD                                                               | PARL 2023-1A BR                                                | CUSIP: 69915NAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3370515.20   | 0.36%             | 2036-07-21      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA4                                           | STACR 2021-HQA4 B1                                             | CUSIP: 35564KPN3<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-O            | USGSE             | US        |   3494259 | PA      | $3551103.61   | 0.38%             | 2041-12-26      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER FINANCE VIII LLC                                                 | TCF 2021-1A B                                                  | CUSIP: 89680HAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1205775 | PA      | $1110098.66   | 0.12%             | 2046-03-20      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-J1                                                                 | CIM 2019-J1 B3                                                 | CUSIP: 12556MCR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737757 | PA      | $684909.01    | 0.07%             | 2049-08-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-RM3                                                                     | EFMT 2024-RM3 A1A                                              | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2910034 | PA      | $2844900.20   | 0.30%             | 2054-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SMRT COMMERCIAL MORTGAGE TRUST 2022-MINI                                          | SMRT 2022-MINI F                                               | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2790000 | PA      | $2723534.39   | 0.29%             | 2039-01-18      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BXSC COMMERCIAL MORTGAGE TRUST 2022                                               | BXSC 2022-WSS E                                                | CUSIP: 05610BAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1934428 | PA      | $1934543.49   | 0.20%             | 2035-03-15      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-C2                                       | CGCMT 2016-C2 D                                                | CUSIP: 17291CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $964476.90    | 0.10%             | 2049-08-12      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2015-4                                                   | JPMMT 2015-4 B4                                                | CUSIP: 46644VBT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1264067 | PA      | $910247.81    | 0.10%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                           | STACR 2022-DNA2 B1                                             | CUSIP: 35564KSJ9<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-O            | USGSE             | US        |   6604150 | PA      | $6763292.84   | 0.72%             | 2042-02-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2021-1                                                    | MSAIC 2021-1A B                                                | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    627290 | PA      | $491719.31    | 0.05%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R01 1B2                                               | CUSIP: 20753UAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    500000 | PA      | $528307.70    | 0.06%             | 2044-01-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2020-1 Trust                               | WFMBS 2020-1 B3                                                | CUSIP: 95002KBK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1264712 | PA      | $1114459.81   | 0.12%             | 2049-12-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ1                                      | GSMBS 2020-PJ1 A8                                              | CUSIP: 36258FAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480621 | PA      | $433917.44    | 0.05%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TIF FUNDING II LLC                                                                | TIF 2021-1A A                                                  | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933399 | PA      | $852847.54    | 0.09%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2006-AR16 1A1                                             | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501770 | PA      | $464679.37    | 0.05%             | 2036-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| COMM 2024-CBM MORTGAGE TRUST                                                      | COMM 2024-CBM D                                                | CUSIP: 12674GAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2834762.70   | 0.30%             | 2041-12-12      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| Venture 33 Clo Limited & Llc                                                      | VENTR 2018-33A CR                                              | CUSIP: 92330YAW3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |   1266720 | PA      | $1268479.47   | 0.13%             | 2031-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GALTON FUNDING MORTGAGE TRUST 2019-1                                              | GFMT 2019-1 A21                                                | CUSIP: 36418WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19321 | PA      | $18799.46     | 0.00%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Acrec 2026-FL4 LLC                                                                | ACREC 2026-FL4 A                                               | CUSIP: 004970AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001896.25   | 0.11%             | 2043-01-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-2                             | MSRM 2024-2 B2                                                 | CUSIP: 61776FBK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900647 | PA      | $4033789.65   | 0.43%             | 2054-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                    | SARM 2005-4 3A1                                                | CUSIP: 863579MS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30633 | PA      | $28021.02     | 0.00%             | 2035-03-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIX LTD                                                              | SYMP 2018-19A C                                                | CUSIP: 87165YAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    885000 | PA      | $883892.87    | 0.09%             | 2031-04-16      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-4                                                   | JPMMT 2024-4 A9                                                | CUSIP: 46657WAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237849 | PA      | $241613.79    | 0.03%             | 2054-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                           | STACR 2021-DNA7 B1                                             | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-O            | USGSE             | US        |   2096556 | PA      | $2129994.81   | 0.23%             | 2041-11-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Cedar Funding II CLO Ltd/LLC                                                      | CEDF 2013-1A CR3                                               | CUSIP: 15032TBW5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |   6450000 | PA      | $6444781.95   | 0.68%             | 2038-07-22      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT                        | WMALT 2007-OC1 A3                                              | CUSIP: 93936FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399605 | PA      | $367316.84    | 0.04%             | 2047-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                     | UBSCM 2019-C16 XA                                              | CUSIP: 90276YAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14022940 | PA      | $484512.22    | 0.05%             | 2052-04-17      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| JG WENTWORTH XLII LLC                                                             | HENDR 2018-2A B                                                | CUSIP: 46590UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562863 | PA      | $511175.97    | 0.05%             | 2077-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2023-3                                                     | SEMT 2023-3 B3                                                 | CUSIP: 816943BC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985625 | PA      | $976658.18    | 0.10%             | 2053-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-6                                                   | JPMMT 2024-6 B3                                                | CUSIP: 46657YBB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1464835 | PA      | $1527812.90   | 0.16%             | 2054-12-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| GAM RE-REMIC TRUST 2022-FRR3                                                      | GAM 2022-FRR3 BK89                                             | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1682796.10   | 0.18%             | 2052-01-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING VII LLC                                                    | VSLR 2020-1A A                                                 | CUSIP: 92855HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270290 | PA      | $1169812.93   | 0.12%             | 2051-07-31      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF3                              | AMMST 2021-MF3 E                                               | CUSIP: 03882KBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3947814 | PA      | $3051669.70   | 0.32%             | 2054-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates Series 2007-WM1      | DMSI 2007-WM1 A1                                               | CUSIP: 25157TAA2<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    230685 | PA      | $205830.08    | 0.02%             | 2037-06-27      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2022-R02 2B1                                               | CUSIP: 20754BAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1048278 | PA      | $1075751.69   | 0.11%             | 2042-01-27      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ3                                      | GSMBS 2021-PJ3 B3                                              | CUSIP: 36262AAT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1129671 | PA      | $908638.11    | 0.10%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios Ii Issuer Llc                                                      | SNVA 2018-1A B                                                 | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1049413 | PA      | $939111.76    | 0.10%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-4                                       | DRMT 2021-4 M1                                                 | CUSIP: 24381JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1397704 | PA      | $1114233.56   | 0.12%             | 2066-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C30                                    | WFCM 2015-C30 XFG                                              | CUSIP: 94989NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12929960 | PA      | $216017.61    | 0.02%             | 2058-09-17      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-8                                          | CHASE 2024-8 B3                                                | CUSIP: 16159XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    979573 | PA      | $1022867.90   | 0.11%             | 2055-08-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                              | ESA 2025-ESH F                                                 | CUSIP: 30227TAL4<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1607929.60   | 0.17%             | 2042-10-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29                       | MSBAM 2016-C29 B                                               | CUSIP: 61766EBJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2856031.50   | 0.30%             | 2049-05-17      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-2                                                 | JPMMT 2019-2 B1                                                | CUSIP: 46650TAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808198 | PA      | $765528.17    | 0.08%             | 2049-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| LQR TRUST 2025-CALI                                                               | LQR 2025-CALI A                                                | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $994990.80    | 0.11%             | 2043-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND IV TRUST 2021-INV6                                | BVINV 2021-6 B3A                                               | CUSIP: 07335UCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1612184 | PA      | $1365297.49   | 0.14%             | 2051-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| LMNT CRE 2025-FL3                                                                 | LMNT 2025-FL3 A                                                | CUSIP: 50208TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1650000 | PA      | $1655788.04   | 0.18%             | 2043-07-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BX 2024-PALM MORTGAGE TRUST                                                       | BX 2024-PALM B                                                 | CUSIP: 05612UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163462 | PA      | $2163647.38   | 0.23%             | 2037-06-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL2 ISSUER LTD                                       | ACRES 2026-FL4 A                                               | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001685.30   | 0.11%             | 2044-08-18      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| MFA 2021-INV2 TRUST                                                               | MFRA 2021-INV2 M1                                              | CUSIP: 552732AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2438294 | PA      | $1982630.98   | 0.21%             | 2056-11-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-8                                                   | JPMMT 2019-8 B3A                                               | CUSIP: 46591KBU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1707517 | PA      | $1525952.55   | 0.16%             | 2050-03-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO XX LTD                                                       | NEUB 2015-20A D2R3                                             | CUSIP: 64130TBU8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1349084.80   | 0.14%             | 2039-04-15      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                            | BX 2026-ALOHA E                                                | CUSIP: 12434HAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2352937.50   | 0.25%             | 2043-04-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                  | CWALT 2006-19CB A12                                            | CUSIP: 02147QAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240350 | PA      | $99299.08     | 0.01%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2023-R05                                      | CAS 2023-R05 1B1                                               | CUSIP: 207942AC7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1589975.40   | 0.17%             | 2043-06-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-INV2                                                | JPMMT 2019-INV2 A3                                             | CUSIP: 46651DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123186 | PA      | $112134.51    | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V17 MORTGAGE TRUST                                                 | BMARK 2025-V17 C                                               | CUSIP: 081934AW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3512586.00   | 0.37%             | 2058-09-17      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                   | BALTA 2005-9 26A1                                              | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692169 | PA      | $357966.48    | 0.04%             | 2035-11-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| TBW MORTGAGE BACKED TRUST SERIES 2006-6                                           | TBW 2006-6 A5B                                                 | CUSIP: 87222PAU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2450435 | PA      | $519012.52    | 0.05%             | 2037-01-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2023-1                                                     | SEMT 2023-1 B2                                                 | CUSIP: 81749BCE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392934 | PA      | $1320805.12   | 0.14%             | 2053-01-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2025-3                                                   | JPMMT 2025-3 M1                                                | CUSIP: 46593RAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2240000 | PA      | $2269320.70   | 0.24%             | 2055-09-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                          | CSAIL 2020-C19 C                                               | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $628403.60    | 0.07%             | 2053-03-17      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Obx 2019-Exp3 Trust                                                               | OBX 2019-EXP3 1A9                                              | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87696 | PA      | $82809.35     | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CWMBS INC MORTGAGE PASS THROUGH CERTIFICATES SERIES 2003-J11                      | CWHL 2006-1 A2                                                 | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401173 | PA      | $191533.81    | 0.02%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Laurel Rd Prime Sl Tr 2018-B                                                      | LRB 2018-B BFX                                                 | CUSIP: 51888RAC4<br>LEI: 549300XLHGW4YH0MCQ51 | Long             | ABS-O            | CORP              | US        |     90911 | PA      | $90660.22     | 0.01%             | 2043-05-26      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                              | ESA 2025-ESH E                                                 | CUSIP: 30227TAJ9<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2008708.40   | 0.21%             | 2042-10-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2014-Ivr3                                                              | CSMC 2014-IVR3 B3                                              | CUSIP: 12648TAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174299 | PA      | $170074.91    | 0.02%             | 2044-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Wcore Commercial Mortgage Trust 2024-Core                                         | WCORE 2024-CORE D                                              | CUSIP: 951913AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1564046.64   | 0.17%             | 2041-11-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-8                                                   | JPMMT 2018-8 B2                                                | CUSIP: 46650MBG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    802902 | PA      | $740191.24    | 0.08%             | 2049-01-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                           | STACR 2021-DNA5 M2                                             | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-O            | USGSE             | US        |    191857 | PA      | $191893.36    | 0.02%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PNW TRUST 2026-ARTE                                                               | PNW 2026-ARTE B                                                | CUSIP: 73020TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1998656.80   | 0.21%             | 2041-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST 2021-STOR                                           | MHP 2021-STOR G                                                | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000487.60   | 0.21%             | 2038-07-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Cbam 2019-9 Ltd/Llc                                                               | CBAMR 2019-9A CR                                               | CUSIP: 14987VAU3<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5009240.00   | 0.53%             | 2037-07-15      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2020-3 LLC                                                     | LPSLT 2020-3GS B                                               | CUSIP: 53948NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930748 | PA      | $653318.58    | 0.07%             | 2047-12-20      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2022-R05 2B2                                               | CUSIP: 20754DAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3900000 | PA      | $4112901.78   | 0.44%             | 2042-04-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| HELIOS ISSUER LLC                                                                 | SNVA 2021-B A                                                  | CUSIP: 86744TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2123781 | PA      | $1733718.71   | 0.18%             | 2048-07-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C3 Mortgage Trust                                                      | DBJPM 2016-C3 B                                                | CUSIP: 23312VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1847000 | PA      | $1776503.33   | 0.19%             | 2049-08-12      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| DBWF 2015-LCM MORTGAGE TRUST                                                      | DBWF 2015-LCM D                                                | CUSIP: 23306NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $905000.00    | 0.10%             | 2034-06-12      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ACCEPTANCE CORP I                                                       | JPMMT 2006-S2 1A18                                             | CUSIP: 46628YAT7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406342 | PA      | $165594.22    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-4                                                   | JPMMT 2018-4 B2                                                | CUSIP: 46649CBF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1215340 | PA      | $1116166.84   | 0.12%             | 2048-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2017-B-GS                                           | CBSLT 2017-BGS C                                               | CUSIP: 20268KAD2<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |     85953 | PA      | $73546.73     | 0.01%             | 2042-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R01 1M2                                               | CUSIP: 20753UAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1009016.60   | 0.11%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                                                 | BMARK 2025-V16 D                                               | CUSIP: 08164RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2581631.70   | 0.27%             | 2058-08-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-3                                                     | SEMT 2026-3 A19                                                | CUSIP: 816948AW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1982009 | PA      | $1937646.15   | 0.21%             | 2056-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DK TRUST 2024-SPBX                                                                | DK 2024-SPBX D                                                 | CUSIP: 23346LAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3507091.00   | 0.37%             | 2034-03-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2022-1 LTD                                                | BOBA 2022-1A CR                                                | CUSIP: 05766EAQ5<br>LEI: 549300USDGJ8GD3PWY07 | Long             | ABS-CBDO         | CORP              | KY        |   2850000 | PA      | $2851938.00   | 0.30%             | 2037-04-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2007-S1 2A22                                             | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    911934 | PA      | $313375.38    | 0.03%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2025-1 LTD                                                          | BMIR 2025-1 M1C                                                | CUSIP: 07876NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010334.80   | 0.11%             | 2035-10-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                                  | BANK5 2026-5YR20 D                                             | CUSIP: 06650JBJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1283482.35   | 0.14%             | 2057-02-16      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Obx 2019-Inv2 Trust                                                               | OBX 2019-INV2 A25                                              | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94874 | PA      | $88623.30     | 0.01%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans 2017-1 LLC                                                     | MSAIC 2017-2A A                                                | CUSIP: 61946GAA1<br>LEI: 549300ZLA8SW2SVJMN33 | Long             | ABS-O            | CORP              | US        |    398390 | PA      | $376954.40    | 0.04%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-4                                                   | JPMMT 2018-4 B1                                                | CUSIP: 46649CBE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831721 | PA      | $763858.88    | 0.08%             | 2048-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST 2024-2                                                           | UNLOK 2024-2 A                                                 | CUSIP: 91528AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769066 | PA      | $1765629.62   | 0.19%             | 2039-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2018-1                                                    | MSAIC 2018-2GS B                                               | CUSIP: 61946LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321280 | PA      | $291915.23    | 0.03%             | 2044-02-22      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Verde Clo Ltd.                                                                    | VERDE 2019-1A CRR                                              | CUSIP: 92338BBA2<br>LEI: 254900DT3DF8KM5RRZ79 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1401622.60   | 0.15%             | 2032-04-15      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                                     | CAS 2020-SBT1 1M2                                              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2026670 | PA      | $2073156.74   | 0.22%             | 2040-02-27      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-2                                                 | JPMMT 2019-2 A3                                                | CUSIP: 46650TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14797 | PA      | $13968.96     | 0.00%             | 2049-08-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| UWM MORTGAGE TRUST 2021-INV4                                                      | UWM 2021-INV4 B3                                               | CUSIP: 918307BH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950190 | PA      | $782705.90    | 0.08%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2019-4 LTD                                                            | OAKCL 2019-4A CRR                                              | CUSIP: 67402CBJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3135000 | PA      | $3137379.47   | 0.33%             | 2037-07-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2021-C10                                                     | BBCMS 2021-C10 XA                                              | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5902041 | PA      | $274949.84    | 0.03%             | 2054-07-17      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL BANK                                                            | WAMU 2007-HY1 2A3                                              | CUSIP: 92925VAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152382 | PA      | $142619.84    | 0.02%             | 2037-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2015-1                                                   | JPMMT 2015-1 B3                                                | CUSIP: 46643UDQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413903 | PA      | $406857.23    | 0.04%             | 2044-12-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Sunrun Jupiter Issuer 2022-1 LLC                                                  | SUNRN 2022-1A A                                                | CUSIP: 86772RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4281609 | PA      | $4111577.73   | 0.44%             | 2057-07-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-3                                                     | SEMT 2015-3 B3                                                 | CUSIP: 81746LCD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272951 | PA      | $220301.05    | 0.02%             | 2045-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                | BX 2021-21M E                                                  | CUSIP: 05609CAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1399990.07   | 0.15%             | 2036-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                   | BALTA 2005-7 21A1                                              | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156273 | PA      | $121277.13    | 0.01%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2018-2 Ltd                                                      | PLMRS 2018-2A BR                                               | CUSIP: 69688MAS4<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3754661.25   | 0.40%             | 2037-04-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2007-A3 1A1                                              | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67436 | PA      | $56590.06     | 0.01%             | 2037-05-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-PJ1                                      | GSMBS 2020-PJ1 B3                                              | CUSIP: 36258FAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1336309 | PA      | $1180672.17   | 0.13%             | 2050-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2019-1inv                                                 | FSMT 2019-1INV A15                                             | CUSIP: 33852AAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210463 | PA      | $189784.24    | 0.02%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MAD COMMERCIAL MORTGAGE TRUST 2025-11MD                                           | MAD 2025-11MD A                                                | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2242034.78   | 0.24%             | 2042-10-17      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Gcat 2025-INV4 Trust                                                              | GCAT 2025-INV4 B3                                              | CUSIP: 367920CM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    995412 | PA      | $1067095.51   | 0.11%             | 2055-08-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-65CB                                                  | CWALT 2005-65CB 1A3                                            | CUSIP: 12668AX59<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170889 | PA      | $108080.53    | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2021-J3                                             | CMLTI 2021-J3 B3W                                              | CUSIP: 17330BDN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941443 | PA      | $778254.84    | 0.08%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2018-C TRUST                                       | SOFI 2018-C BFX                                                | CUSIP: 78490DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398000 | PA      | $1354569.31   | 0.14%             | 2048-01-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-6                                                   | JPMMT 2019-6 B2                                                | CUSIP: 46651BAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1132451 | PA      | $1062214.64   | 0.11%             | 2049-12-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-backed Securities Trust 2025-PJ1                                      | GSMBS 2025-PJ1 B3                                              | CUSIP: 36271DCK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2292000 | PA      | $2086247.39   | 0.22%             | 2055-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO LIMITED 2024-2                                                       | NAVS 2024-2A CR                                                | CUSIP: 63942YAW4<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2181302.20   | 0.23%             | 2036-01-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2017-4                                                   | JPMMT 2017-4 B2                                                | CUSIP: 46648UAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    765789 | PA      | $708482.99    | 0.08%             | 2048-11-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                | BX 2024-MF D                                                   | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885455 | PA      | $887172.69    | 0.09%             | 2039-02-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| DK TRUST 2025-LXP                                                                 | DK 2025-LXP C                                                  | CUSIP: 23292LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1803827.88   | 0.19%             | 2037-08-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GSMS TRUST 2024-FAIR                                                              | GSMS 2024-FAIR C                                               | CUSIP: 36270JAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2550574.50   | 0.27%             | 2029-07-15      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-12                                                  | JPMMT 2024-12 A9                                               | CUSIP: 46658TAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1289374 | PA      | $1299591.17   | 0.14%             | 2055-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                      | CHASE 2007-A1 1A2                                              | CUSIP: 161630AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13596 | PA      | $13620.42     | 0.00%             | 2037-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding Llc                                                             | BELL 2021-1A A23                                               | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3930000 | PA      | $3424745.84   | 0.36%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Obx 2020-Exp3 Trust                                                               | OBX 2020-EXP3 1A9                                              | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195015 | PA      | $171117.87    | 0.02%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SG COML MTG SECS TR 2020-COVE                                                     | SGCMS 2020-COVE E                                              | CUSIP: 78397FAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2320000 | PA      | $2150412.64   | 0.23%             | 2037-03-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2021-R02 2B1                                               | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    698852 | PA      | $708945.94    | 0.08%             | 2041-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| LAQ 2023-LAQ MORTGAGE TRUST                                                       | LAQ 2023-LAQ D                                                 | CUSIP: 516681AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    868040 | PA      | $843141.39    | 0.09%             | 2036-03-17      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-9                                                     | SEMT 2024-9 A20                                                | CUSIP: 81749PAV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362482 | PA      | $359984.92    | 0.04%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST SERIES 2007-A6                                | CMALT 2007-A6 1A10                                             | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102739 | PA      | $94282.04     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B25 MORTGAGE TRUST                                                 | BMARK 2021-B25 XA                                              | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23179126 | PA      | $947183.69    | 0.10%             | 2054-04-17      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2022-R01 1B1                                               | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2445981 | PA      | $2469338.16   | 0.26%             | 2041-12-26      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-8                                                   | JPMMT 2018-8 B1                                                | CUSIP: 46650MBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1122219 | PA      | $1037415.82   | 0.11%             | 2049-01-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R05                                      | CAS 2019-R05 1B1                                               | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    550553 | PA      | $555126.15    | 0.06%             | 2039-07-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2022-L8                                            | MSC 2022-L8 B                                                  | CUSIP: 61774LBT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2633067.60   | 0.28%             | 2055-04-16      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-6                                                   | JPMMT 2019-6 B1                                                | CUSIP: 46651BAY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810222 | PA      | $762010.65    | 0.08%             | 2049-12-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-3                                                   | JPMMT 2018-3 B3                                                | CUSIP: 46649TBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1172746 | PA      | $1077196.90   | 0.11%             | 2048-09-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                               | BVINV 2021-5 B3A                                               | CUSIP: 07336JCL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1255810 | PA      | $1078014.54   | 0.11%             | 2051-11-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                     | Consolidated Edison Company of New York, Inc. 0% CP 07/04/2026 | CUSIP: 20911UD71<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6994637.30   | 0.74%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BIRCH GROVE CLO 9 LTD                                                             | BGCLO 2024-9A C                                                | CUSIP: 09077WAG3<br>LEI: 254900VS6E4BD1HWHW18 | Long             | ABS-CBDO         | CORP              | JE        |    900000 | PA      | $901058.40    | 0.10%             | 2037-10-22      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2014-IVR2                                                              | CSMC 2014-IVR2 B3                                              | CUSIP: 12648HBD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102734 | PA      | $100986.44    | 0.01%             | 2044-04-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2024-1 LTD                                                              | RMIR 2024-1 B1                                                 | CUSIP: 75049AAD4<br>LEI: 2549006BAWB1S6RD1R66 | Long             | ABS-O            | CORP              | BM        |    600000 | PA      | $623958.84    | 0.07%             | 2034-09-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| KSL COMMERCIAL MORTGAGE TRUST 2025-MH                                             | KSL 2025-MH C                                                  | CUSIP: 48268VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $497576.70    | 0.05%             | 2042-12-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTG LN TR 2013-7                                                        | CMLTI 2013-7 2A2                                               | CUSIP: 17321BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422114 | PA      | $398712.09    | 0.04%             | 2036-08-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| PRM5 TRUST 2025-PRM5                                                              | PRM5 2025-PRM5 D                                               | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2729895.30   | 0.29%             | 2033-03-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2 TRUST                                                              | PRET 2025-RPL2 A1                                              | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2507873 | PA      | $2435918.13   | 0.26%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-PJ2                                      | GSMBS 2019-PJ2 B2                                              | CUSIP: 36257LAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817389 | PA      | $761350.59    | 0.08%             | 2049-11-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-C32                                                     | BBCMS 2025-C32 XA                                              | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19964623 | PA      | $1604690.53   | 0.17%             | 2062-02-17      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2020-1                                                    | MSAIC 2020-1A B                                                | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554760 | PA      | $477286.13    | 0.05%             | 2046-04-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOFAS RE-REMIC TRUST 2026-FRR8                                                    | BOFAS 2026-FRR8 D746                                           | CUSIP: 05620FBQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3471000 | PA      | $2960166.86   | 0.31%             | 2054-04-27      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| SPLITERO TRUST 2025-1                                                             | SPLTO 2025-1 A1                                                | CUSIP: 848948AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3932717.60   | 0.42%             | 2055-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-3                                        | STAR 2020-3 A2                                                 | CUSIP: 85573MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1397704 | PA      | $1336368.70   | 0.14%             | 2065-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-KING                                            | BX 2024-KING D                                                 | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    987006 | PA      | $988710.41    | 0.10%             | 2034-05-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2015-3                                                   | ABMT 2015-3 B4                                                 | CUSIP: 00841YCF3<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-O            | CORP              | US        |    272425 | PA      | $220780.56    | 0.02%             | 2045-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                        | INDX 2006-AR2 2A1                                              | CUSIP: 45661EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1366649 | PA      | $1061447.38   | 0.11%             | 2046-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                               | MFRA 2020-NQM3 A3                                              | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132233 | PA      | $127561.82    | 0.01%             | 2065-01-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2017-3                                                   | JPMMT 2017-3 B1                                                | CUSIP: 46647SCQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    642021 | PA      | $595571.99    | 0.06%             | 2047-08-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC40                                            | GSMS 2019-GC40 XA                                              | CUSIP: 36257HBR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10655026 | PA      | $301749.26    | 0.03%             | 2052-07-12      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| FRETE 2021-ML11 TRUST                                                             | FRETE 2021-ML11 XUS                                            | CUSIP: 302610AD2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  13055195 | PA      | $597389.39    | 0.06%             | 2038-03-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| CFK TRUST 2020-MF2                                                                | CFK 2020-MF2 C                                                 | CUSIP: 12529AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1854478.40   | 0.20%             | 2039-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-1                                                   | JPMMT 2024-1 B3                                                | CUSIP: 46657PBA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3048702 | PA      | $3022484.82   | 0.32%             | 2054-06-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                        | BSABS 2006-SD4 1A1                                             | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84399 | PA      | $84364.24     | 0.01%             | 2036-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                      | CAS 2022-R09 2B1                                               | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    700000 | PA      | $751574.46    | 0.08%             | 2042-09-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2019-C4                                                      | BBCMS 2019-C4 XA                                               | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29543881 | PA      | $1134474.69   | 0.12%             | 2052-08-16      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| BX Trust 2025-Roic                                                                | BX 2025-ROIC E                                                 | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1634826 | PA      | $1631965.29   | 0.17%             | 2030-03-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2021-PJ8                                                    | GSMS 2021-GSA3 D                                               | CUSIP: 36263UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1257933 | PA      | $755921.50    | 0.08%             | 2054-12-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BXMT 2025-FL5 LTD                                                                 | BXMT 2025-FL5 A                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002630.90   | 0.21%             | 2042-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV3                                                 | HAWT 2021-INV3 B3                                              | CUSIP: 44555QCF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564383 | PA      | $1336409.93   | 0.14%             | 2051-12-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2021-MF3                              | AMMST 2021-MF3 D                                               | CUSIP: 03882KBA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1803038 | PA      | $1447578.79   | 0.15%             | 2054-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B23 MORTGAGE TRUST                                                 | BMARK 2021-B28 XA                                              | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4698603 | PA      | $219497.12    | 0.02%             | 2054-08-17      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 27 Ltd.                                        | NEUB 2018-27A CR                                               | CUSIP: 64131WAS6<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1852331.00   | 0.20%             | 2038-07-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-4                                                   | JPMMT 2024-4 B2                                                | CUSIP: 46657WBD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1947110 | PA      | $2061256.35   | 0.22%             | 2054-10-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY DIVISION                                                  | FREMF 2016-K57 X2B                                             | CUSIP: 30295DAU6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  12250292 | PA      | $3343.72      | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-7                                            | CWHL 2007-7 A7                                                 | CUSIP: 12544TAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330370 | PA      | $145903.33    | 0.02%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARBYS FUNDING LLC                                                                 | ARBYS 2020-1A A2                                               | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1882440 | PA      | $1837857.80   | 0.19%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       393 | NC      | $-392711.91   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2005-OPT2                                   | CMLTI 2005-9 22A2                                              | CUSIP: 17307GL89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158038 | PA      | $160811.03    | 0.02%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2023-2                                                   | JPMMT 2023-2 B3                                                | CUSIP: 46656DDF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1738405 | PA      | $1658024.09   | 0.18%             | 2053-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2021-1 TRUST                               | WFMBS 2021-1 B3                                                | CUSIP: 95003ABJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1114438 | PA      | $847094.36    | 0.09%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MORTGAGE TRUST                                                  | BMARK 2018-B7 XA                                               | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45352155 | PA      | $340240.93    | 0.04%             | 2053-05-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXIV / Apidos CLO XXIV LLC                                             | APID 2016-24A BRR                                              | CUSIP: 03759CAX8<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |   2650000 | PA      | $2653304.55   | 0.28%             | 2030-10-21      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV12                                                         | PMTLT 2025-INV12 A29                                           | CUSIP: 73015KBE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2430631 | PA      | $2412800.25   | 0.26%             | 2056-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Acrec 2025-FL3 LLC                                                                | ACREC 2025-FL3 B                                               | CUSIP: 00112HAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4013607.40   | 0.42%             | 2042-08-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DELC                                                                | BX 2025-DELC A                                                 | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2004861.00   | 0.21%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-4                                             | HVMLT 2007-5 A1A                                               | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482841 | PA      | $427556.75    | 0.05%             | 2037-09-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2020-3                                                     | SEMT 2020-3 B3                                                 | CUSIP: 81748ACE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199703 | PA      | $1047216.09   | 0.11%             | 2050-04-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Commonbond Studnt Ln Tr 2016-A                                                    | CBSLT 2016-A B                                                 | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129376 | PA      | $119019.09    | 0.01%             | 2040-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                   | FHMS K-1521 X1                                                 | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8996765 | PA      | $635112.25    | 0.07%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK27                                                                   | BANK 2020-BN27 XA                                              | CUSIP: 06539XAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36608748 | PA      | $1291311.36   | 0.14%             | 2063-04-17      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-HY1 TRUST  | WAMU 2007-HY1 3A2                                              | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285761 | PA      | $248942.87    | 0.03%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                | BX 2025-VOLT D                                                 | CUSIP: 05619PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2738062.25   | 0.29%             | 2044-12-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2019-CH3                                                   | SEMT 2019-CH3 B2B                                              | CUSIP: 81748GEQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1038826 | PA      | $1005288.28   | 0.11%             | 2049-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-LTV1                                                | JPMMT 2020-LTV1 A15                                            | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5622 | PA      | $5598.12      | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LOAN TRUST LLC SERIES 2005-B                                    | WMLT 2005-B 2A1                                                | CUSIP: 92977YBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42037 | PA      | $41370.74     | 0.00%             | 2035-10-20      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-1                                              | CMLTI 2024-1 B3                                                | CUSIP: 17332CCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1951608 | PA      | $2007936.18   | 0.21%             | 2054-07-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LOAN TRUST LLC SERIES 2005-B                                    | WMLT 2005-B 2A2                                                | CUSIP: 92977YBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54536 | PA      | $53670.98     | 0.01%             | 2035-10-20      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                            | MSC 2018-H3 C                                                  | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1171000 | PA      | $1121954.07   | 0.12%             | 2051-07-17      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Southern Power Company                                                            | Southern Power Company 0% CP 07/04/2026                        | CUSIP: 84364UD79<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4996140.50   | 0.53%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ASHF                              | BAMLL 2025-ASHF C                                              | CUSIP: 05494CAE5<br>LEI: 549300MWBLMUUG6B8094 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1748652.50   | 0.19%             | 2042-02-18      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| STWD 2025-FL4 LLC                                                                 | STWD 2025-FL4 B                                                | CUSIP: 863922AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2000496.40   | 0.21%             | 2042-11-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV2 TRUST                                                              | GCAT 2024-INV2 B3                                              | CUSIP: 36170KBH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2347504 | PA      | $2503209.64   | 0.27%             | 2054-06-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST | WAMU 2006-AR16 2A3                                             | CUSIP: 92925GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    218168 | PA      | $195227.70    | 0.02%             | 2036-12-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2024-HQA2                                           | STACR 2024-HQA2 M2                                             | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-O            | USGSE             | US        |   1000000 | PA      | $1003144.00   | 0.11%             | 2044-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                    | CWALT 2005-J2 1A12                                             | CUSIP: 12667F6H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293476 | PA      | $229802.40    | 0.02%             | 2035-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                                                      | RFM 2022-FRR1 CK60                                             | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2690000 | PA      | $2567032.57   | 0.27%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JG WENTWORTH XLI LLC SERIES 2018-1                                                | HENDR 2018-1A B                                                | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502597 | PA      | $443442.12    | 0.05%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK30                                                                   | BANK 2020-BN30 XA                                              | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11778029 | PA      | $524848.41    | 0.06%             | 2053-12-17      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| AREIT 2025-CRE10 LTD                                                              | AREIT 2025-CRE10 C                                             | CUSIP: 00193DAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2750553.03   | 0.29%             | 2030-01-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ1                                      | GSMBS 2024-PJ1 B2                                              | CUSIP: 36268VBU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2127412 | PA      | $2237720.68   | 0.24%             | 2054-06-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-8 TRUST    | WMALT 2005-7 1A4                                               | CUSIP: 93934FBF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81307 | PA      | $72615.68     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-2                             | MSRM 2024-2 B3                                                 | CUSIP: 61776FBN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3672459 | PA      | $3763396.88   | 0.40%             | 2054-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| GODDARD FUNDING LLC 2022-1                                                        | GDRD 2022-1A A2                                                | CUSIP: 380241AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1528770 | PA      | $1538537.31   | 0.16%             | 2052-10-30      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                | BX 2024-AIR2 D                                                 | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1918360 | PA      | $1922468.84   | 0.20%             | 2041-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2016-B                                              | CBSLT 2016-B B                                                 | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307032 | PA      | $289416.61    | 0.03%             | 2040-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-IMC                                                                 | BX 2019-IMC D                                                  | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1679341 | PA      | $1663097.74   | 0.18%             | 2034-04-17      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -186 | NC      | $510961.43    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY DIVISION                                                  | FREMF 2016-K57 X2A                                             | CUSIP: 30295DAS1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  38600598 | PA      | $4132.19      | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2019-CH2                                                   | SEMT 2019-CH2 B2B                                              | CUSIP: 81747CCH2<br>LEI: 549300RES143ZXEZ6T39 | Long             | ABS-O            | CORP              | US        |    971525 | PA      | $959332.33    | 0.10%             | 2049-08-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38                                    | WFCM 2017-C38 B                                                | CUSIP: 95001MAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $947664.20    | 0.10%             | 2050-07-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 5-Year T-Note Futures, Jun-2026,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $1365.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-CCM1                                                | JPMMT 2024-CCM1 B3                                             | CUSIP: 46658NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    979425 | PA      | $969730.30    | 0.10%             | 2055-04-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2019-2                                                 | JPMMT 2019-2 B2                                                | CUSIP: 46650TAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808198 | PA      | $763492.66    | 0.08%             | 2049-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-8                                                   | JPMMT 2020-8 B3                                                | CUSIP: 46652TCK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882495 | PA      | $779745.87    | 0.08%             | 2051-03-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-5                                                   | JPMMT 2019-5 B2                                                | CUSIP: 46591FAZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1162458 | PA      | $1102423.39   | 0.12%             | 2049-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2016-2                                                   | ABMT 2016-2 B4                                                 | CUSIP: 00842EAW1<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-O            | CORP              | US        |    998319 | PA      | $762973.82    | 0.08%             | 2046-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                           | CSMC 2013-IVR3 B3                                              | CUSIP: 12646XAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53577 | PA      | $52779.31     | 0.01%             | 2043-05-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| MARKET STREET CLO LTD II                                                          | MKTST 2025-2A C                                                | CUSIP: 57064FAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1496386.50   | 0.16%             | 2038-03-20      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-4                                          | CHASE 2024-4 B3                                                | CUSIP: 16159NBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1935009 | PA      | $1928344.32   | 0.20%             | 2055-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2020-5                                                   | JPMMT 2020-5 B1                                                | CUSIP: 46653JBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1502063 | PA      | $1326444.21   | 0.14%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B11 MORTGAGE TRUST                                                 | BMARK 2019-B11 AS                                              | CUSIP: 08162BBJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765000 | PA      | $1614318.60   | 0.17%             | 2052-05-17      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                    | WFCM 2021-C61 D                                                | CUSIP: 95003QCQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $1851846.00   | 0.20%             | 2054-11-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GALTON FUNDING MORTGAGE TRUST 2019-1                                              | GFMT 2019-1 B2                                                 | CUSIP: 36418WBX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    823937 | PA      | $800274.96    | 0.08%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-20 LTD                                                               | OCP 2020-20A CR                                                | CUSIP: 670859AS6<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3503948.00   | 0.37%             | 2037-04-20      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL CRE SECURITIZATION 2019-VII LTD                                     | PRIMA 2019-7A D                                                | CUSIP: 74166VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6988518 | PA      | $6716253.03   | 0.71%             | 2050-12-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DLIC RE-REMIC TRUST 2025-FRR1                                                     | DLIC 2025-FRR1 BC20                                            | CUSIP: 255928CY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $4686541.80   | 0.50%             | 2053-09-27      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2025-12                                         | CHASE 2025-12 B3                                               | CUSIP: 16160CDW2<br>LEI: 529900IQHYRM30ZMGD48 | Long             | ABS-O            | CORP              | US        |   2489505 | PA      | $2548595.15   | 0.27%             | 2056-09-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| VTR COMMERCIAL MORTGAGE TRUST 2025-STEM                                           | VTR 2025-STEM C                                                | CUSIP: 92890YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1976213.00   | 0.21%             | 2039-10-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| HOME RE 2026-1 LTD                                                                | HMIR 2026-1 M1C                                                | CUSIP: 436956AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2005939.40   | 0.21%             | 2036-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1Inv                                                 | FSMT 2020-1INV B3                                              | CUSIP: 33851YBE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1503574 | PA      | $1373055.28   | 0.15%             | 2050-03-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES                                            | WFMBS 2007-AR7 A1                                              | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213024 | PA      | $194165.96    | 0.02%             | 2037-12-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2020-2                                                     | SEMT 2020-2 B2                                                 | CUSIP: 81748KEE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    845589 | PA      | $757248.42    | 0.08%             | 2050-03-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                 | BMARK 2020-B17 XA                                              | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10152911 | PA      | $424694.22    | 0.04%             | 2053-03-17      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                                    | BBCMS 2025-5C37 C                                              | CUSIP: 05494NAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2518623.50   | 0.27%             | 2058-09-17      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C7                                    | WFCM 2025-5C7 C                                                | CUSIP: 95004XAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3688717.88   | 0.39%             | 2058-12-17      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO XXX Ltd/Bluemountain CLO XXX LLC                                 | BLUEM 2020-30A CR2                                             | CUSIP: 09630QAY7<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2975658.00   | 0.32%             | 2035-04-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-8                                                     | SEMT 2025-8 B4                                                 | CUSIP: 81749WCL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2266000 | PA      | $1917202.10   | 0.20%             | 2055-09-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C59                                    | WFCM 2021-C59 B                                                | CUSIP: 95003CAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1176979.78   | 0.12%             | 2054-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ5                                      | GSMBS 2022-PJ5 B3                                              | CUSIP: 362925CE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2733544 | PA      | $2292703.07   | 0.24%             | 2052-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Coml T                                                                | WFCM 2016-NXS6 XFG                                             | CUSIP: 95000KAE5<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-O            | CORP              | US        |   3488032 | PA      | $50862.13     | 0.01%             | 2049-11-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ZAXBYS FUNDING LLC                                                                | ZAXBY 2021-1A A2                                               | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4371493 | PA      | $4152219.73   | 0.44%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                          | JPMMT 2014-5 B4                                                | CUSIP: 46643KBY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786000 | PA      | $735744.89    | 0.08%             | 2029-10-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                             | CAS 2024-R03 2B1                                               | CUSIP: 207941AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4000000 | PA      | $4130982.40   | 0.44%             | 2044-03-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST 2025-1                                                 | PNT 2025-1 A1                                                  | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2332662 | PA      | $2334036.42   | 0.25%             | 2055-06-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LOAN PROGRAM 2019-A LLC                                             | ELFI 2019-A B                                                  | CUSIP: 26857EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413902 | PA      | $354632.20    | 0.04%             | 2044-03-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-4                                                   | JPMMT 2024-4 B3                                                | CUSIP: 46657WBG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3894220 | PA      | $4051971.12   | 0.43%             | 2054-10-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST 2025-2                                                           | UNLOK 2025-2 A                                                 | CUSIP: 914917AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1963488 | PA      | $1945829.97   | 0.21%             | 2041-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-2                                                      | RFT 2025-2 A                                                   | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3236573 | PA      | $3254735.82   | 0.34%             | 2055-10-27      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE TRUST 2019-1                                                      | RCKT 2019-1 A13                                                | CUSIP: 749357AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77379 | PA      | $70297.88     | 0.01%             | 2049-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ2                                      | GSMBS 2024-PJ2 B3                                              | CUSIP: 36271PBW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1924648 | PA      | $1895163.59   | 0.20%             | 2054-07-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| SUNNOVA SOL II ISSUER LLC                                                         | SNVA 2020-2A A                                                 | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2355350 | PA      | $2046994.17   | 0.22%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-INV3 TRUST                                                              | GCAT 2022-INV3 B1                                              | CUSIP: 36830RCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1094649 | PA      | $1027901.82   | 0.11%             | 2052-08-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Autozone, Inc.                                                                    | Autozone, Inc. 0% CP 06/04/2026                                | CUSIP: 05333UD64<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | STIV             | CORP              | US        |   8600000 | PA      | $8594385.06   | 0.91%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                       | 2-Year T-Note Futures, Jun-2026,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $2952.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Sound Point Clo Vii Ltd.                                                          | SNDPT 2014-3RA C                                               | CUSIP: 83610HAG5<br>LEI: 549300IYECLSB6ZQZB89 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600819.60    | 0.06%             | 2031-10-23      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust 2019-3                                                      | ARRW 2019-3 A3                                                 | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359325 | PA      | $345987.53    | 0.04%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Voya Separate Portfolios Trust

**Signature:** Dorothy Roman

**Name of Signer:** Dorothy Roman

**Title:** Vice President, Fund Administration