# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-25-004197
**Filing Date:** 2025-10
**Character Count:** 704154
**Document Hash:** 6dedecb573f23c47846b5d3fdfc64b8f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004197.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004197

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 251429215

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Short Duration Bond Fund (Series ID: S000003490)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009653 | Class I      | HLLVX           |
| C000009654 | Class A      | OGLVX           |
| C000009656 | Class C      | OSTCX           |
| C000009657 | Class R6     | JSDUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Short Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000003490

- **c. LEI of Series:** F9RLRLTOX821HGOUUJ26

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**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:** $10687905145.32

**Total Liabilities:** $35364884.29

**Net Assets:** $10652540261.03

**Cash Not Reported:** $5323056.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18477.14732000 | **1-Year:** 909194.19008000 | **5-Year:** 700142.83367000 | **10-Year:** 14819.31580000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.73317000 | **1-Year:** 5040.31001000 | **5-Year:** 51.37593000 | **10-Year:** 0.00000000 | **30-Year:** 129.99053000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009657 | 0.75%                | -0.00%               | 1.01%                |
| Class ID C000009654 | 0.63%                | -0.03%               | 0.98%                |
| Class ID C000009656 | 0.67%                | -0.07%               | 0.93%                |
| Class ID C000009653 | 0.74%                | -0.01%               | 1.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1064645.11              | $38100800.99                               |
| Month 2  | $7374103.04              | $-37761843.67                              |
| Month 3  | $1581924.53              | $54106082.34                               |

**Designated Index Information**

- **Index Name:** 1-3 Yr Gov/Credit

- **Index Identifier:** 1030TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Driven Brands Funding LLC                            | Driven Brands Funding LLC, Series 2022-1A, Class A2                              | CUSIP: 26209XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7828025 | PA      | $7848944.22   | 0.07%             | 2052-10-20      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-33, Class UZ                                            | CUSIP: 3136ADDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7285439 | PA      | $6893022.82   | 0.06%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-31, Class PB                                            | CUSIP: 31394CY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312084 | PA      | $322253.78    | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3568138 | PA      | $3515869.30   | 0.03%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K53, Class B                                   | CUSIP: 30288LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27760000 | PA      | $27607120.13  | 0.26%             | 2049-03-25      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB15, Class A                                              | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   7333128 | PA      | $7294096.24   | 0.07%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2022-A, Class A                                   | CUSIP: 22767DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326934 | PA      | $327450.29    | 0.00%             | 2031-04-21      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30014 | PA      | $30781.10     | 0.00%             | 2036-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4112, Class PB                                              | CUSIP: 3137ATUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $483729.10    | 0.00%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-22, Class SC                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4908 | PA      | $155.46       | 0.00%             | 2037-03-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-5, Class C                   | CUSIP: 80286PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $7028446.95   | 0.07%             | 2031-02-18      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-16, Class AL                                            | CUSIP: 3136ARTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7568409 | PA      | $6936468.12   | 0.07%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FA                                                  | CUSIP: 38376RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006283 | PA      | $1010574.09   | 0.01%             | 2066-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HV6U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9874807 | PA      | $9645317.03   | 0.09%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-72, Class KA                                            | CUSIP: 3136B7JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153450 | PA      | $133439.51    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-91, Class DZ                                            | CUSIP: 3136AGGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22206627 | PA      | $21320076.38  | 0.20%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-2A, Class A                            | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1154548 | PA      | $1178644.73   | 0.01%             | 2038-03-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4314, Class LP                                              | CUSIP: 3137B9GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10684 | PA      | $10632.71     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd.                                      | Galaxy CLO Ltd., Series 2022-30A, Class XR                                       | CUSIP: 36321RAL0<br>LEI: 549300QQ6WEN7DIBD138 | Long             | ABS-CBDO         | CORP              | KY        |   1875000 | PA      | $1874075.63   | 0.02%             | 2038-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154016 | PA      | $159627.86    | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-2, Class D             | CUSIP: 02529YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5070765.00   | 0.05%             | 2029-08-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-25, Class LV                                            | CUSIP: 3136BP6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6037745 | PA      | $6236710.03   | 0.06%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  16465000 | PA      | $16770838.69  | 0.16%             | 2029-04-12      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201589 | PA      | $208588.73    | 0.00%             | 2036-03-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-113, Class KA                                                  | CUSIP: 38381NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27250000 | PA      | $27560047.78  | 0.26%             | 2051-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-45, Class ZA                                            | CUSIP: 31397S2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5982682 | PA      | $5956380.05   | 0.06%             | 2031-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-5, Class PE                                             | CUSIP: 31396YGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56832 | PA      | $58183.89     | 0.00%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92856 | PA      | $91322.43     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-25, Class DC                                            | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254198 | PA      | $245687.98    | 0.00%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4043, Class PB                                              | CUSIP: 3137APSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91517 | PA      | $89587.73     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CarVal CLO Ltd.                                      | CarVal CLO Ltd., Series 2019-2A, Class AR2                                       | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9620645 | PA      | $9623329.11   | 0.09%             | 2032-07-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                       | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6084033.00   | 0.06%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5507, Class LA                                              | CUSIP: 3137HJU47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16343869 | PA      | $16460224.43  | 0.15%             | 2051-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-74, Class KA                                            | CUSIP: 3136AX5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10032 | PA      | $9995.54      | 0.00%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XMTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3381381 | PA      | $3344971.43   | 0.03%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H21, Class FA                                                  | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134572 | PA      | $134652.32    | 0.00%             | 2064-10-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25434 | PA      | $25948.79     | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140W1W58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13120895 | PA      | $13617407.10  | 0.13%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-100, Class TL                                           | CUSIP: 3136A8PS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166289 | PA      | $163833.73    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2024-RTL3, Class A1                                            | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12170000 | PA      | $12263326.86  | 0.12%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCIV LLC                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                        | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192104 | PA      | $192016.92    | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4330, Class PE                                              | CUSIP: 3137B9P74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93057 | PA      | $90292.49     | 0.00%             | 2043-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-1, Class A3                                 | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11165847.00  | 0.10%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XF6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1962573 | PA      | $1879473.96   | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H27, Class FA                                                  | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    504185 | PA      | $505037.69    | 0.00%             | 2065-09-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241257 | PA      | $231810.55    | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K52, Class B                                   | CUSIP: 30294DAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2985861.90   | 0.03%             | 2049-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J8NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219763 | PA      | $1143971.69   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3546, Class A                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261875 | PA      | $266360.07    | 0.00%             | 2039-02-15      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2995, Class FT                                              | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39349 | PA      | $39153.53     | 0.00%             | 2029-05-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H30, Class GA                                                  | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36081 | PA      | $36034.05     | 0.00%             | 2062-12-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class B            | CUSIP: 10805MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1075000 | PA      | $1087876.14   | 0.01%             | 2030-02-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust             | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-SD1, Class M1              | CUSIP: 61746RCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36730 | PA      | $36315.31     | 0.00%             | 2033-03-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  13000000 | PA      | $13034795.93  | 0.12%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-84, Class PZ                                            | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33000 | PA      | $33735.89     | 0.00%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-45, Class CB                                            | CUSIP: 3136BAZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3110604 | PA      | $2948639.46   | 0.03%             | 2044-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-1A, Class A2                               | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8187072 | PA      | $8248447.81   | 0.08%             | 2030-05-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20750000 | PA      | $20859248.75  | 0.20%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2933, Class EM                                              | CUSIP: 31395MS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25469 | PA      | $25681.28     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class A                                                 | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $3923060.45   | 0.04%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4997000 | PA      | $4874287.72   | 0.05%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4089, Class AI                                              | CUSIP: 3137ASWC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545572 | PA      | $9763.94      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class C             | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7700000 | PA      | $7736106.84   | 0.07%             | 2031-08-12      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12649532 | PA      | $13054748.01  | 0.12%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  37875000 | PA      | $38085675.52  | 0.36%             | 2028-05-07      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2020-86A, Class BR2                                      | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   4070000 | PA      | $4071237.28   | 0.04%             | 2034-07-17      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3540, Class A                                               | CUSIP: 31398EB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98521 | PA      | $99048.44     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4346, Class A                                               | CUSIP: 3137BAJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23730 | PA      | $23556.46     | 0.00%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2256203 | PA      | $2221212.52   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10434000 | PA      | $10566907.25  | 0.10%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 290, Class 200                                             | CUSIP: 31283CAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237015 | PA      | $223802.06    | 0.00%             | 2032-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC - GNMA, Series 56, Class Z                                                 | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1130 | PA      | $1132.40      | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39511017 | PA      | $1759729.80   | 0.02%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  18740000 | PA      | $19133123.60  | 0.18%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2986762 | PA      | $3128653.35   | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3726, Class PA                                              | CUSIP: 3137GAB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20787 | PA      | $20651.64     | 0.00%             | 2040-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1499108 | PA      | $1485663.95   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class A                           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1188618 | PA      | $1149920.11   | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DSRF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4846897 | PA      | $4983902.75   | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-50, Class PE                                            | CUSIP: 31395DTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203675 | PA      | $209358.64    | 0.00%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                       | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9343000 | PA      | $9391621.91   | 0.09%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  16450000 | PA      | $17053712.86  | 0.16%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19020000 | PA      | $17886229.59  | 0.17%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4217, Class UD                                              | CUSIP: 3137B2KL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70845 | PA      | $69087.27     | 0.00%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XBND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4396137 | PA      | $4330838.16   | 0.04%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-64, Class PF                                            | CUSIP: 3136AEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371261 | PA      | $366281.36    | 0.00%             | 2043-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31403DTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6527 | PA      | $6682.26      | 0.00%             | 2036-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125662 | PA      | $130151.50    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4054, Class AE                                              | CUSIP: 3137APVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8335 | PA      | $8287.62      | 0.00%             | 2027-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622745 | PA      | $599815.31    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-75, Class NB                                                   | CUSIP: 38376CMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24264 | PA      | $24243.29     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO                              | Bain Capital Credit CLO, Series 2018-2A, Class BR                                | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250050.00    | 0.00%             | 2031-07-19      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Galaxy XXVI CLO Ltd.                                 | Galaxy CLO Ltd., Series 2018-26A, Class AR                                       | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2868909 | PA      | $2870194.44   | 0.03%             | 2031-11-22      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC               | Virginia Power Fuel Securitization LLC, Series A-1                               | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   2731412 | PA      | $2744479.16   | 0.03%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914963 | PA      | $934968.41    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class A                                               | CUSIP: 3137BB2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231788 | PA      | $222329.68    | 0.00%             | 2044-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC07, Class A7  | CUSIP: 3137FQK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2003034 | PA      | $1964747.23   | 0.02%             | 2026-10-25      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45698 | PA      | $45469.14     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H07, Class FE                                                  | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21078 | PA      | $21033.15     | 0.00%             | 2068-02-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec          | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |  15410000 | PA      | $15942566.83  | 0.15%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2662, Class MT                                              | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32102 | PA      | $32189.13     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4144, Class KD                                              | CUSIP: 3137AWTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349001 | PA      | $322611.17    | 0.00%             | 2042-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class C                                | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2553407.50   | 0.02%             | 2032-07-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D                  | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1768198 | PA      | $1793428.84   | 0.02%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-H13, Class FK                                                  | CUSIP: 38380QGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2386914 | PA      | $2379088.85   | 0.02%             | 2070-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2303, Class FY                                              | CUSIP: 3133TSRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57559 | PA      | $57212.11     | 0.00%             | 2031-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-35, Class LP                                            | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5777705 | PA      | $5597984.38   | 0.05%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust                              | PowerPay Issuance Trust, Series 2024-1A, Class A                                 | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1926173 | PA      | $1991999.45   | 0.02%             | 2039-02-18      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286WSK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959185 | PA      | $941614.75    | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class B                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14857000 | PA      | $15031883.23  | 0.14%             | 2030-05-10      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NU3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1252550 | PA      | $1284737.83   | 0.01%             | 2029-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-62, Class CV                                            | CUSIP: 3136BWZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8094167 | PA      | $8322609.95   | 0.08%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4122, Class PA                                              | CUSIP: 3137AV2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132090 | PA      | $126581.88    | 0.00%             | 2042-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |  13067000 | PA      | $13089509.21  | 0.12%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2007-16, Class KU                                                   | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1317999 | PA      | $49633.35     | 0.00%             | 2037-04-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 359, Class 350                                             | CUSIP: 3132J0SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187767 | PA      | $1113827.08   | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class E                                                    | CUSIP: 38384KAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20248444 | PA      | $20336797.74  | 0.19%             | 2057-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                          | VOLT CI LLC, Series 2021-NP10, Class A1                                          | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724904 | PA      | $1723869.26   | 0.02%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-51, Class DW                                            | CUSIP: 3136B5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334372 | PA      | $327647.80    | 0.00%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-27, Class PL                                            | CUSIP: 3136A4CU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85656 | PA      | $82766.11     | 0.00%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class JE                                              | CUSIP: 3137AY5J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442329 | PA      | $426086.26    | 0.00%             | 2041-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 380335000 | PA      | $382251530.89 | 3.59%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                  | Bank of New York Mellon Corp. (The)                                              | CUSIP: 06406RBX4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  21905000 | PA      | $22253904.15  | 0.21%             | 2028-07-21      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H07, Class FG                                                  | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99688 | PA      | $99650.08     | 0.00%             | 2067-02-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-44, Class EA                                            | CUSIP: 3136BWDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6238116 | PA      | $6233720.43   | 0.06%             | 2052-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1194171 | PA      | $977452.71    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                               | John Deere Owner Trust, Series 2024-C, Class A4                                  | CUSIP: 477911AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6830000 | PA      | $6861598.31   | 0.06%             | 2031-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust          | Goldman Home Improvement Trust Issuer Trust, Series 2021-GRN2, Class A           | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3031853 | PA      | $2955125.51   | 0.03%             | 2051-06-25      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVRF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2042059.46   | 0.02%             | 2029-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class C                   | CUSIP: 802927AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14925000 | PA      | $15365002.43  | 0.14%             | 2031-12-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                        | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  11690000 | PA      | $11689527.72  | 0.11%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2020-AA, Class A                            | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128226 | PA      | $125790.84    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-87, Class TB                                            | CUSIP: 3136AQXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2439817 | PA      | $2430403.01   | 0.02%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   6720000 | PA      | $6813393.35   | 0.06%             | 2028-07-14      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506439 | PA      | $491420.44    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-94, Class K                                             | CUSIP: 3136A8XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719411 | PA      | $620996.35    | 0.01%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                 | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3528186.55   | 0.03%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3260140 | PA      | $3158045.23   | 0.03%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4103, Class HA                                              | CUSIP: 3137AUA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46975 | PA      | $46250.59     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-64, Class PK                                            | CUSIP: 3136A6PB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684357 | PA      | $681466.11    | 0.01%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A3                         | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10198000 | PA      | $10255689.07  | 0.10%             | 2029-04-10      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-55, Class PN                                            | CUSIP: 31394EJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131963 | PA      | $1184231.84   | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10610000 | PA      | $10836455.28  | 0.10%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QHTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75722 | PA      | $77453.94     | 0.00%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-58, Class FP                                            | CUSIP: 3136AEJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423630 | PA      | $418842.68    | 0.00%             | 2043-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  21930000 | PA      | $22075219.58  | 0.21%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-2, Class D                   | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3884772.68   | 0.04%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  20170000 | PA      | $20333273.53  | 0.19%             | 2027-04-23      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5418, Class DA                                              | CUSIP: 3137HD4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6953307 | PA      | $7105534.26   | 0.07%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2492, Class GH                                              | CUSIP: 31392RWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115160 | PA      | $120011.49    | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-91, Class WH                                                   | CUSIP: 38379XZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826136 | PA      | $763480.68    | 0.01%             | 2046-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class C                                  | CUSIP: 33768NAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6947063.90   | 0.07%             | 2039-05-19      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKLE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13684296 | PA      | $13371928.50  | 0.13%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 8 Ltd.             | GoldenTree Loan Management US CLO Ltd., Series 2020-8A, Class ARR                | CUSIP: 38136NAY2<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1900372.40   | 0.02%             | 2034-10-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-5, Class NA                                                    | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2542743 | PA      | $2385514.66   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14969 | PA      | $15316.11     | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2022-1, Class D                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16223741 | PA      | $16015112.26  | 0.15%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948981 | PA      | $890006.42    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96370 | PA      | $99050.07     | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-129, Class ZT                                           | CUSIP: 31393UJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4276410 | PA      | $4446508.17   | 0.04%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2670561 | PA      | $2681568.43   | 0.03%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class A2                                  | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4797657 | PA      | $4858361.29   | 0.05%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2025-1A, Class A3                          | CUSIP: 92887TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8108000 | PA      | $8173125.08   | 0.08%             | 2029-05-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31371NDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22911 | PA      | $23049.07     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-18, Class KY                                            | CUSIP: 31397QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449216 | PA      | $441791.52    | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-13, Class KD                                            | CUSIP: 3136ACJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65330 | PA      | $63506.14     | 0.00%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-33, Class DT                                            | CUSIP: 3136APCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333991 | PA      | $315220.84    | 0.00%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350073 | PA      | $369982.17    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QJD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13449 | PA      | $13819.21     | 0.00%             | 2036-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-48, Class CN                                            | CUSIP: 31397UFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4826 | PA      | $4804.24      | 0.00%             | 2026-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| M&T Equipment 2023-LEAF1 Notes                       | M&T Equipment Notes, Series 2023-1A, Class A3                                    | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9073309 | PA      | $9135929.50   | 0.09%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class A                                   | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15006618.00  | 0.14%             | 2033-02-08      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8895000 | PA      | $9383461.19   | 0.09%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-13, Class PA                                            | CUSIP: 3136B02X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6560517 | PA      | $5801794.75   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15580000 | PA      | $15865744.52  | 0.15%             | 2028-03-21      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $979973.30    | 0.01%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8440000 | PA      | $8408691.06   | 0.08%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6285058.75   | 0.06%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5574, Class CA                                              | CUSIP: 3137HMYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6275457 | PA      | $6353900.21   | 0.06%             | 2050-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                  | Take-Two Interactive Software, Inc.                                              | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1743704.79   | 0.02%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-2, Class GB                                             | CUSIP: 3136BUZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1841822 | PA      | $1814834.42   | 0.02%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 124000000 | PA      | $116036875.00 | 1.09%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                     | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  20942000 | PA      | $20106955.76  | 0.19%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| BRSP Ltd.                                            | BRSP Ltd., Series 2021-FL1, Class A                                              | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2195384 | PA      | $2174040.11   | 0.02%             | 2038-08-19      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FB                                                  | CUSIP: 38376RBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2938986 | PA      | $2939257.92   | 0.03%             | 2065-05-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3887, Class GM                                              | CUSIP: 3137ADN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6067 | PA      | $6042.99      | 0.00%             | 2026-07-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4457, Class KZ                                              | CUSIP: 3137BHWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6803129 | PA      | $6070505.47   | 0.06%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class D                               | CUSIP: 12664DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040000 | PA      | $5113761.41   | 0.05%             | 2030-04-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44864 | PA      | $43901.86     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KUS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13394815 | PA      | $12762614.36  | 0.12%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                            | Aqua Finance Issuer Trust, Series 2025-A, Class A                                | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20577351 | PA      | $20906109.16  | 0.20%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class B                                | CUSIP: 67578YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2031910.40   | 0.02%             | 2032-07-20      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4830, Class AP                                              | CUSIP: 3137FHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    708518 | PA      | $688772.69    | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A3                         | CUSIP: 69392HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5098520.00   | 0.05%             | 2032-07-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR6, Class B                            | CUSIP: 74333HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $17138345.00  | 0.16%             | 2038-07-17      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21546471 | PA      | $21769328.75  | 0.20%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3523, Class MX                                              | CUSIP: 31398CGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30371 | PA      | $30292.32     | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX                                                   | BX, Series 2021-MFM1, Class A                                                    | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321122 | PA      | $321021.99    | 0.00%             | 2034-01-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EQVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262789 | PA      | $1223470.92   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class AY                                           | CUSIP: 3136A84A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13424992 | PA      | $12868119.30  | 0.12%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3822, Class ZG                                              | CUSIP: 3137A8KF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4853412 | PA      | $4756201.91   | 0.04%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  10480000 | PA      | $10531963.93  | 0.10%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                      | GreenSky Home Improvement Trust, Series 2024-1, Class A2                         | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3118464 | PA      | $3134711.73   | 0.03%             | 2059-06-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class C                                     | CUSIP: 097093AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1018275 | PA      | $1013239.28   | 0.01%             | 2032-07-26      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2014-UBS3, Class B                             | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2610060.00   | 0.02%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                          | Visio Trust, Series 2019-2, Class A1                                             | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327683 | PA      | $324425.03    | 0.00%             | 2054-11-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2021-NQM2, Class A1                                            | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746628 | PA      | $660962.97    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3533831.00   | 0.03%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12303 | PA      | $12583.76     | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                 | DBJPM Mortgage Trust, Series 2017-C6, Class A3                                   | CUSIP: 23312JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190086 | PA      | $187078.86    | 0.00%             | 2050-06-10      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                              | Nissan Auto Lease Trust, Series 2024-A, Class A2A                                | CUSIP: 65481CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1274156 | PA      | $1275329.20   | 0.01%             | 2026-10-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K90, Class B                                   | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13582000 | PA      | $13488961.94  | 0.13%             | 2052-02-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO II Ltd.                                   | CarVal CLO Ltd., Series 2019-1A, Class AR2                                       | CUSIP: 14686AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  26426777 | PA      | $26396624.49  | 0.25%             | 2032-04-20      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class SA                                                   | CUSIP: 38374XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1512740 | PA      | $46561.99     | 0.00%             | 2039-03-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41835 | PA      | $43495.93     | 0.00%             | 2036-03-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class C                                  | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3881674.00   | 0.04%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888417 | PA      | $838660.94    | 0.01%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class A                                | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    755815 | PA      | $757132.89    | 0.01%             | 2029-05-21      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LCH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4636530 | PA      | $4608465.62   | 0.04%             | 2025-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                 | Macquarie Group Ltd.                                                             | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  15754000 | PA      | $15579588.88  | 0.15%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class CA                                           | CUSIP: 3136AHRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167757 | PA      | $167130.70    | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    983000 | PA      | $982489.30    | 0.01%             | 2026-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-26, Class CA                                            | CUSIP: 3136A37J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80602 | PA      | $79511.62     | 0.00%             | 2027-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4480, Class LA                                              | CUSIP: 3137BKD72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30155 | PA      | $30020.88     | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H29, Class FA                                                  | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12817 | PA      | $12822.36     | 0.00%             | 2062-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-43, Class PZ                                            | CUSIP: 3136AKKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280763 | PA      | $1068460.39   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-20, Class HD                                            | CUSIP: 3136BRZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6977835 | PA      | $7074079.29   | 0.07%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15050 | PA      | $15455.06     | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 386, Class 20                                               | CUSIP: 3136FFSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102094 | PA      | $17072.17     | 0.00%             | 2038-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class B                             | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4818654 | PA      | $4848895.09   | 0.05%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class AF                                            | CUSIP: 3136AFCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7143 | PA      | $7136.72      | 0.00%             | 2042-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FJ                                                  | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1529019 | PA      | $1530477.41   | 0.01%             | 2065-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal, Series f2f                                                     | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  23025000 | PA      | $23081081.76  | 0.22%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 152780000 | PA      | $153979561.34 | 1.45%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-36, Class AM                                                   | CUSIP: 38380VT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287203 | PA      | $279077.18    | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class B                          | CUSIP: 14688NAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5854998.96   | 0.05%             | 2030-05-10      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-35, Class KF                                            | CUSIP: 31398PKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63322 | PA      | $63280.86     | 0.00%             | 2040-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A4            | CUSIP: 39154GAK2<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   5138000 | PA      | $5191629.42   | 0.05%             | 2032-01-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-73, Class PG                                            | CUSIP: 3136AFTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509823 | PA      | $485694.15    | 0.00%             | 2042-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                       | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6082207.20   | 0.06%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4545, Class PG                                              | CUSIP: 3137BMP75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216449 | PA      | $211981.59    | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  31760000 | PA      | $31956513.73  | 0.30%             | 2027-01-12      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290114 | PA      | $286758.47    | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NUAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5204250.75   | 0.05%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1394374 | PA      | $1352801.74   | 0.01%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A1                        | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20790241 | PA      | $20678514.14  | 0.19%             | 2033-02-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class NI                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187996 | PA      | $12413.39     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                  | Trans-Allegheny Interstate Line Co.                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5813816.80   | 0.05%             | 2031-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622A2XF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1752503 | PA      | $1810810.59   | 0.02%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8200000 | PA      | $8775492.24   | 0.08%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5235000 | PA      | $5447920.69   | 0.05%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-91, Class BR                                            | CUSIP: 31394BYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36167 | PA      | $37778.19     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust           | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3            | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895243 | PA      | $3814368.00   | 0.04%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138E5CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10928 | PA      | $10813.12     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2019-A, Class A                                       | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    874556 | PA      | $852958.79    | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A3                                   | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1571713.42   | 0.01%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5275, Class KA                                              | CUSIP: 3137H9GK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6913036 | PA      | $7002664.56   | 0.07%             | 2047-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XFQA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4680137 | PA      | $4524871.35   | 0.04%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                     | Skandinaviska Enskilda Banken AB                                                 | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  15980000 | PA      | $16542550.81  | 0.16%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  35240000 | PA      | $35323190.36  | 0.33%             | 2027-01-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3884, Class BL                                              | CUSIP: 3137ABUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3968228 | PA      | $3958703.67   | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H23, Class WA                                                  | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45821 | PA      | $45883.90     | 0.00%             | 2062-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FA                                                  | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88761 | PA      | $88780.60     | 0.00%             | 2061-03-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2025-1, Class A                             | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14052237 | PA      | $14145143.47  | 0.13%             | 2035-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-94, Class BZ                                            | CUSIP: 31392GTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514370 | PA      | $532751.52    | 0.01%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 9                                                | CUSIP: 3136FAA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170845 | PA      | $19081.41     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3909, Class HG                                              | CUSIP: 3137AEHD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16050 | PA      | $16005.96     | 0.00%             | 2026-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9435000 | PA      | $8895435.94   | 0.08%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-64, Class PL                                            | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24123 | PA      | $24880.72     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3133KY5E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12760276 | PA      | $13072950.21  | 0.12%             | 2045-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2022-2A, Class B                  | CUSIP: 03236XAC1<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1613289.92   | 0.02%             | 2028-10-20      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4574, Class YH                                              | CUSIP: 3137BNQP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248740 | PA      | $225225.74    | 0.00%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2022-2A, Class A1R                                     | CUSIP: 12567MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23000000 | PA      | $22907425.00  | 0.22%             | 2035-04-19      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-17, Class KA                                            | CUSIP: 3136B4CV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167064 | PA      | $163337.72    | 0.00%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4864028.40   | 0.05%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-56, Class DC                                            | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135005 | PA      | $132839.30    | 0.00%             | 2036-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2602, Class FH                                              | CUSIP: 31393PHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88793 | PA      | $88447.04     | 0.00%             | 2033-04-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ENYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8973 | PA      | $8931.68      | 0.00%             | 2029-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-134, Class JY                                           | CUSIP: 3136AAWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14228572 | PA      | $13669571.25  | 0.13%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132FNAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344754 | PA      | $339864.11    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-96, Class MA                                            | CUSIP: 3136B0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380892 | PA      | $338954.27    | 0.00%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-41, Class AL                                                   | CUSIP: 38379AX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3722834 | PA      | $3498313.44   | 0.03%             | 2044-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39758 | PA      | $40403.05     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138WHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2450406 | PA      | $2329201.83   | 0.02%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  27965000 | PA      | $28696970.73  | 0.27%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3493197 | PA      | $3413014.27   | 0.03%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-106, Class XL                                                  | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1184260 | PA      | $58444.32     | 0.00%             | 2037-06-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3871, Class KB                                              | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9041272 | PA      | $9479659.18   | 0.09%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-112, Class SW                                           | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1487905 | PA      | $139824.13    | 0.00%             | 2040-01-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286REQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206851 | PA      | $202960.10    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2693, Class Z                                               | CUSIP: 31394KH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84541 | PA      | $87994.93     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 159665000 | PA      | $158916570.31 | 1.49%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund           | JPMorgan U.S. Government Money Market Fund, Class Institutional                  | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 549740814 | NS      | $549740813.62 | 5.16%             |  |  |  | No            |                  1 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A4                                   | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9134055.00   | 0.09%             | 2028-12-20      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H19, Class FC                                                  | CUSIP: 38375B5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177182 | PA      | $177450.20    | 0.00%             | 2063-08-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-56, Class Z                                             | CUSIP: 3136AKYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4901436 | PA      | $4627018.62   | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H14, Class FK                                                  | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38483 | PA      | $38505.82     | 0.00%             | 2062-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 13                                               | CUSIP: 3136FAA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65168 | PA      | $7312.51      | 0.00%             | 2033-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3662, Class ZB                                              | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95591 | PA      | $99451.85     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                           | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4555565.83   | 0.04%             | 2026-03-15      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-12, Class GB                                            | CUSIP: 3136BPL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19987591 | PA      | $20395765.59  | 0.19%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4740, Class JA                                              | CUSIP: 3137FCCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1523175 | PA      | $1365899.83   | 0.01%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5425000 | PA      | $5502882.06   | 0.05%             | 2028-09-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699940 | PA      | $572916.92    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5063980 | PA      | $5139888.46   | 0.05%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                        | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   8870000 | PA      | $9212431.23   | 0.09%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    798707 | PA      | $797238.20    | 0.01%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                           | Street Capital Group, Inc.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   6745532 | PA      | $6745532.44   | 0.06%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H26, Class LF                                                  | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13191 | PA      | $13184.08     | 0.00%             | 2058-08-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1799554 | PA      | $1810552.25   | 0.02%             | 2032-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-34, Class UP                                            | CUSIP: 3136AN4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462134 | PA      | $449991.32    | 0.00%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-8, Class V                                              | CUSIP: 3136BQU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26627858 | PA      | $27334820.07  | 0.26%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5115, Class FD                                              | CUSIP: 3137H0W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5304746 | PA      | $5154616.48   | 0.05%             | 2043-08-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class B                                             | CUSIP: 31397UXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18427 | PA      | $18316.63     | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2898, Class PG                                              | CUSIP: 31395K5H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435830 | PA      | $446455.78    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-65, Class DB                                            | CUSIP: 3136BSK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10944801 | PA      | $11066386.11  | 0.10%             | 2051-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-3A, Class A2                      | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4137278 | PA      | $4179316.44   | 0.04%             | 2029-10-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-B, Class A3                                  | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7666000 | PA      | $7697365.44   | 0.07%             | 2027-10-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class C                  | CUSIP: 94989KBB8<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1211387.50   | 0.01%             | 2048-06-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3939, Class BZ                                              | CUSIP: 3137AGEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1630412 | PA      | $1615383.21   | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    902979 | PA      | $771048.42    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315845 | PA      | $335730.05    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-58, Class B                                             | CUSIP: 31396QQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352137 | PA      | $352694.74    | 0.00%             | 2029-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4094, Class BF                                              | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176159 | PA      | $176098.03    | 0.00%             | 2032-08-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                               | Alternative Loan Trust, Series 2003-J3, Class 2A1                                | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5431 | PA      | $5850.12      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H24, Class FA                                                  | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2206870 | PA      | $2208010.21   | 0.02%             | 2065-09-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                         | Bridge Trust, Series 2025-SFR1, Class A                                          | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10106038.95  | 0.09%             | 2042-09-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  22970000 | PA      | $23405829.56  | 0.22%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class KS                                                   | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    627171 | PA      | $22215.85     | 0.00%             | 2039-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-97, Class EL                                            | CUSIP: 3136AGDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13474477 | PA      | $13038986.92  | 0.12%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHY80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104941 | PA      | $108192.39    | 0.00%             | 2037-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC              | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class A                   | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   4516939 | PA      | $4529588.64   | 0.04%             | 2031-12-26      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2022-3, Class D                               | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6666000 | PA      | $6455290.41   | 0.06%             | 2028-07-17      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4097, Class HJ                                              | CUSIP: 3137ATKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131890 | PA      | $128775.23    | 0.00%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDJ0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |  10550000 | PA      | $10527348.20  | 0.10%             | 2026-09-24      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816ED7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  23360000 | PA      | $23743785.88  | 0.22%             | 2029-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $4897599.05   | 0.05%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3572, Class JS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135590 | PA      | $9362.80      | 0.00%             | 2039-09-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2024-1A, Class A2                 | CUSIP: 03237CAB8<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |   3787623 | PA      | $3825522.09   | 0.04%             | 2031-01-21      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XX Ltd.                                 | Symphony CLO Ltd., Series 2018-20A, Class AR2                                    | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13319161 | PA      | $13322504.03  | 0.13%             | 2032-01-16      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-81, Class LA                                            | CUSIP: 3136B8GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305011 | PA      | $261502.08    | 0.00%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4478, Class PC                                              | CUSIP: 3137BJ6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819221 | PA      | $721180.29    | 0.01%             | 2045-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 356, Class 16                                               | CUSIP: 3136FCQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47383 | PA      | $6370.48      | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 488060000 | PA      | $491834841.50 | 4.62%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4745, Class EC                                              | CUSIP: 3137FDBS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770963 | PA      | $760227.14    | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H06, Class FB                                                  | CUSIP: 38375UUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4753758 | PA      | $4756452.58   | 0.04%             | 2065-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18126000 | PA      | $17948980.40  | 0.17%             | 2026-12-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3786, Class NA                                              | CUSIP: 3137A5UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36464 | PA      | $36563.27     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A3                                        | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6975000 | PA      | $7038810.09   | 0.07%             | 2028-11-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  16801000 | PA      | $16753928.30  | 0.16%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       550 | PA      | $553.18       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178695 | PA      | $181136.05    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409GSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11993 | PA      | $12399.59     | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14968 | PA      | $14799.25     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1340688 | PA      | $1372235.61   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.                       | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR2                        | CUSIP: 97314JAJ4<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   6556349 | PA      | $6552290.64   | 0.06%             | 2031-04-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4283, Class ZL                                              | CUSIP: 3137B6HE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20626512 | PA      | $20024618.45  | 0.19%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  17115000 | PA      | $17514317.25  | 0.16%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-2, Class EA                                                    | CUSIP: 38385BX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19915905 | PA      | $19943177.79  | 0.19%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3334443 | PA      | $3294279.67   | 0.03%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class C                   | CUSIP: 80288DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4668666.04   | 0.04%             | 2031-03-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class D             | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3625000 | PA      | $3676677.64   | 0.03%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Buttermilk Park CLO Ltd.                             | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1R                              | CUSIP: 124166AQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5639445 | PA      | $5637770.14   | 0.05%             | 2031-10-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVMY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1973920 | PA      | $2016812.96   | 0.02%             | 2029-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H14, Class FG                                                  | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135707 | PA      | $135676.00    | 0.00%             | 2063-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260684 | PA      | $1286978.25   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-92, Class B                                             | CUSIP: 31398TB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649536 | PA      | $1656642.71   | 0.02%             | 2030-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566990 | PA      | $602680.06    | 0.01%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.       | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1829800 | PA      | $1829827.12   | 0.02%             | 2036-11-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class A                        | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3117051 | PA      | $3063637.65   | 0.03%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EKRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218835 | PA      | $217112.19    | 0.00%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6558000 | PA      | $6504029.63   | 0.06%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K55, Class B                                   | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9100000 | PA      | $9046005.15   | 0.08%             | 2049-04-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC             | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                   | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5850000 | PA      | $5950266.66   | 0.06%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XLCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367000 | PA      | $1354481.82   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2711, Class FC                                              | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509301 | PA      | $514245.33    | 0.00%             | 2033-02-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95449 | PA      | $99045.81     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2022-HB9, Class A                                               | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3329579 | PA      | $3278489.20   | 0.03%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4088, Class BP                                              | CUSIP: 3137ASP32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3234118 | PA      | $2969623.87   | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737946 | PA      | $1575476.47   | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-60, Class PD                                            | CUSIP: 3136AEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385770 | PA      | $365005.89    | 0.00%             | 2042-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                               | CUSIP: 226373AQ1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  16335000 | PA      | $16336270.21  | 0.15%             | 2027-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                       | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5200291.50   | 0.05%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2023-1A, Class A                            | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1477626 | PA      | $1510562.00   | 0.01%             | 2038-01-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class B                              | CUSIP: 55348UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5040000.00   | 0.05%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NXW25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10257355.00  | 0.10%             | 2030-03-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A                | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471764 | PA      | $466228.61    | 0.00%             | 2037-11-20      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1197885 | PA      | $1178599.30   | 0.01%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                   | CNO Global Funding                                                               | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  25335000 | PA      | $25988979.70  | 0.24%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ERB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3351654 | PA      | $3504725.63   | 0.03%             | 2047-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XG2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1048778 | PA      | $1056661.36   | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG04, Class A1  | CUSIP: 3137F84R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3366321 | PA      | $3113389.14   | 0.03%             | 2030-06-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5417, Class V                                               | CUSIP: 3137HDGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2231268 | PA      | $2276680.90   | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2                | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10012812 | PA      | $10036309.65  | 0.09%             | 2032-05-20      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2025-1A, Class D                   | CUSIP: 96043VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2805532.40   | 0.03%             | 2030-11-15      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class TC                                              | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160269 | PA      | $151162.19    | 0.00%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5541, Class VJ                                              | CUSIP: 3137HL3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4884534 | PA      | $4966029.03   | 0.05%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                  | Amcor Flexibles North America, Inc.                                              | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15183042.30  | 0.14%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4316, Class DZ                                              | CUSIP: 3137B8ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3005285 | PA      | $2783317.31   | 0.03%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410G3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67545 | PA      | $68379.97     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-3, Class B             | CUSIP: 02528EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5021479.50   | 0.05%             | 2029-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2021-2A, Class A                                  | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4888000 | PA      | $4686304.50   | 0.04%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class C                       | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11650523.50  | 0.11%             | 2031-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class A2                 | CUSIP: 072926AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57604 | PA      | $57624.05     | 0.00%             | 2027-04-15      | Fixed         | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3769, Class ZC                                              | CUSIP: 3137A3YW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841412 | PA      | $841140.90    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3429, Class S                                               | CUSIP: 31397RMT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320444 | PA      | $29003.65     | 0.00%             | 2038-03-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3779, Class LB                                              | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172550 | PA      | $171690.08    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-B, Class A                                   | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5030588.00   | 0.05%             | 2033-05-09      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-22, Class HE                                                   | CUSIP: 38385CY44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14540014 | PA      | $14577837.15  | 0.14%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                 | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2527182.00   | 0.02%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XF6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22491685 | PA      | $21942783.94  | 0.21%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XMB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2535731 | PA      | $2496128.70   | 0.02%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A3                        | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8867000 | PA      | $8886822.18   | 0.08%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36181BRV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353514 | PA      | $329953.35    | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418EYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25461184 | PA      | $26143862.38  | 0.25%             | 2043-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XNQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473135 | PA      | $2408436.34   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2478599 | PA      | $2514912.65   | 0.02%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3632, Class PK                                              | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141847 | PA      | $144534.19    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                     | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9179893.80   | 0.09%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8508 | PA      | $8546.22      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class LY                                            | CUSIP: 3136AFCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158861 | PA      | $157245.71    | 0.00%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class C             | CUSIP: 02531BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11879000 | PA      | $12026891.17  | 0.11%             | 2030-04-12      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H01, Class FT                                                  | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151457 | PA      | $151312.75    | 0.00%             | 2068-10-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31005000 | PA      | $31391351.44  | 0.29%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270475 | PA      | $1289249.74   | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4143, Class AE                                              | CUSIP: 3137AX6R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    985403 | PA      | $939179.61    | 0.01%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-61, Class BA                                            | CUSIP: 3136AETK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238223 | PA      | $1172162.69   | 0.01%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3101, Class UZ                                              | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110094 | PA      | $116760.87    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC              | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $20132267.00  | 0.19%             | 2027-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-26, Class ZV                                            | CUSIP: 3136ADXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10439872 | PA      | $9747674.33   | 0.09%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-113, Class HA                                                  | CUSIP: 38381N2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8964622 | PA      | $9075066.13   | 0.09%             | 2052-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-1A, Class B                     | CUSIP: 30167MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3164000 | PA      | $3190774.08   | 0.03%             | 2029-08-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                            | Auxilior Term Funding LLC, Series 2023-1A, Class A2                              | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4467466 | PA      | $4501722.68   | 0.04%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DPP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371659 | PA      | $317345.47    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-155, Class A                                                   | CUSIP: 38378ARH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7315 | PA      | $7294.40      | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    963908 | PA      | $989326.33    | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3706, Class P                                               | CUSIP: 3137A17D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2214884 | PA      | $2176455.28   | 0.02%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416XHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227499 | PA      | $227141.55    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-7, Class FB                                             | CUSIP: 31392HY31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115619 | PA      | $116167.28    | 0.00%             | 2033-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3416481 | PA      | $3230989.19   | 0.03%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611598 | PA      | $585860.95    | 0.01%             | 2065-05-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-44, Class A                                             | CUSIP: 3136BWCJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4093682 | PA      | $4080964.10   | 0.04%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435198 | PA      | $416830.71    | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3318, Class HF                                              | CUSIP: 31397HDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83757 | PA      | $82329.41     | 0.00%             | 2037-05-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-196, Class A                                                   | CUSIP: 38384GUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10846483 | PA      | $10788475.79  | 0.10%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-128, Class VF                                           | CUSIP: 3136A9QJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267199 | PA      | $265082.81    | 0.00%             | 2042-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                         | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005665.80   | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                | Symphony CLO Ltd., Series 2018-19A, Class A                                      | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1488186 | PA      | $1488651.94   | 0.01%             | 2031-04-16      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AET89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6266467 | PA      | $6234411.29   | 0.06%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-123, Class BP                                           | CUSIP: 3136A2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029817 | PA      | $1907151.86   | 0.02%             | 2041-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                              | Jamestown CLO Ltd., Series 2021-17A, Class AR                                    | CUSIP: 47048UAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21500000 | PA      | $21500000.00  | 0.20%             | 2035-01-25      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129320 | PA      | $132610.82    | 0.00%             | 2037-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Ultra Note                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -827 | NC      | $-436651.98   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26236772 | PA      | $26928415.45  | 0.25%             | 2043-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67785000 | PA      | $68687917.21  | 0.64%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                | Gray Oak Pipeline LLC                                                            | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12825000 | PA      | $12784257.41  | 0.12%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286824 | PA      | $290163.48    | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4401, Class BL                                              | CUSIP: 3137BELA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6665833 | PA      | $6527098.92   | 0.06%             | 2034-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class B                          | CUSIP: 14687HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653014 | PA      | $632534.71    | 0.01%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-84, Class LA                                            | CUSIP: 3136AUKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650488 | PA      | $620449.31    | 0.01%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAB3<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |  10695000 | PA      | $10842128.23  | 0.10%             | 2027-02-26      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-58, Class ST                                            | CUSIP: 31395NM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355251 | PA      | $36508.29     | 0.00%             | 2036-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2500, Class FD                                              | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72956 | PA      | $72874.21     | 0.00%             | 2032-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-38, Class FK                                            | CUSIP: 31394DTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205245 | PA      | $203936.82    | 0.00%             | 2035-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class NZ                                            | CUSIP: 3136B1JF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6801686 | PA      | $6166259.43   | 0.06%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4156, Class PE                                              | CUSIP: 3137AXTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362433 | PA      | $1292835.42   | 0.01%             | 2033-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4703, Class KZ                                              | CUSIP: 3137F26G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5039196 | PA      | $4673171.42   | 0.04%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-74, Class LQ                                            | CUSIP: 3136A0LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14021923 | PA      | $14033044.14  | 0.13%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     75145 | PA      | $71177.85     | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4664, Class PH                                              | CUSIP: 3137BWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583870 | PA      | $576722.47    | 0.01%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3859, Class JB                                              | CUSIP: 3137AAM26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208266 | PA      | $213877.82    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XK4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2886597 | PA      | $2849115.81   | 0.03%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H05, Class FB                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57473 | PA      | $56908.34     | 0.00%             | 2062-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4015, Class GL                                              | CUSIP: 3137ANCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13966 | PA      | $13779.61     | 0.00%             | 2027-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class D                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7234000 | PA      | $7366726.54   | 0.07%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2016-1A, Class AR3                                     | CUSIP: 17180TBL5<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |  24444604 | PA      | $24409110.04  | 0.23%             | 2031-10-21      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                           | Dryden Senior Loan Fund, Series 2017-49A, Class AR                               | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    216878 | PA      | $216866.16    | 0.00%             | 2030-07-18      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A2                                   | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6290000 | PA      | $6301516.36   | 0.06%             | 2034-01-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FA                                            | CUSIP: 31398RYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197776 | PA      | $197495.70    | 0.00%             | 2040-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $3117175.59   | 0.03%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2019-72A, Class ARR                                      | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10270886 | PA      | $10282697.38  | 0.10%             | 2032-05-15      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195528 | PA      | $1133862.05   | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-20, Class PB                                            | CUSIP: 3136B4MJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214526 | PA      | $196141.60    | 0.00%             | 2048-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A                         | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59399 | PA      | $59269.22     | 0.00%             | 2029-01-16      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                  | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1816877.75   | 0.02%             | 2042-01-25      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                  | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577555 | PA      | $584869.45    | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5369, Class V                                               | CUSIP: 3137HBDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7073610 | PA      | $7224629.86   | 0.07%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150805000 | PA      | $152124543.75 | 1.43%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4265, Class FD                                              | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159176 | PA      | $158079.22    | 0.00%             | 2035-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  32870000 | PA      | $33341169.43  | 0.31%             | 2029-03-03      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89114 | PA      | $91262.91     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4304, Class DW                                              | CUSIP: 3137B7S42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434043 | PA      | $426984.39    | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N3, Class B                          | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13533469.20  | 0.13%             | 2030-12-10      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H03, Class FA                                                  | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442206 | PA      | $442651.06    | 0.00%             | 2060-03-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                            | BXMT Ltd., Series 2021-FL4, Class A                                              | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3636443 | PA      | $3625191.72   | 0.03%             | 2038-05-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-2A, Class A                             | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19306231 | PA      | $19412197.18  | 0.18%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MMWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6871026 | PA      | $6624608.01   | 0.06%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    495700 | PA      | $515025.42    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151498 | PA      | $153003.31    | 0.00%             | 2037-07-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-11, Class PH                                            | CUSIP: 3136AVTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169098 | PA      | $147761.17    | 0.00%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6371246 | PA      | $6584010.77   | 0.06%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                          | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11818000 | PA      | $11851858.57  | 0.11%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2A1                  | CUSIP: 20753CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4823247 | PA      | $4826218.58   | 0.05%             | 2045-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2025-1A, Class A                         | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13046590 | PA      | $13184256.38  | 0.12%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3447, Class DB                                              | CUSIP: 31397TQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940168 | PA      | $961977.95    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128PUJ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2715 | PA      | $2705.49      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                       | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8247362.40   | 0.08%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                      | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6620665 | PA      | $6625763.63   | 0.06%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                      | Accelerated LLC, Series 2021-1H, Class A                                         | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612996 | PA      | $571865.56    | 0.01%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                           | Clarus Capital Funding LLC, Series 2024-1A, Class A2                             | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7364909 | PA      | $7382461.01   | 0.07%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class B                             | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20728000 | PA      | $20769768.99  | 0.19%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5509, Class DV                                              | CUSIP: 3137HJEW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15370916 | PA      | $15886867.98  | 0.15%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-46, Class KI                                            | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772307 | PA      | $11384.03     | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14120000 | PA      | $15018792.64  | 0.14%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140JN4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2098786 | PA      | $2070444.99   | 0.02%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90056 | PA      | $89304.55     | 0.00%             | 2037-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3826, Class BK                                              | CUSIP: 3137A7KX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12949 | PA      | $12899.11     | 0.00%             | 2026-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class EB                                                   | CUSIP: 38384KBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6197863 | PA      | $6282140.85   | 0.06%             | 2059-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-145, Class PA                                                  | CUSIP: 38382AWJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149258 | PA      | $143511.54    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                       | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6615000 | PA      | $6781383.79   | 0.06%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XME28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4798551 | PA      | $4869814.92   | 0.05%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-15, Class PE                                            | CUSIP: 3136AVMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871714 | PA      | $844368.50    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-26, Class NV                                                   | CUSIP: 38384J7C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9865123 | PA      | $10278515.98  | 0.10%             | 2034-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2079868.00   | 0.02%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15350000 | PA      | $15930768.48  | 0.15%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR1, Class A                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5643828 | PA      | $5631089.18   | 0.05%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34284 | PA      | $35256.46     | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5280, Class T                                               | CUSIP: 3137H9LW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15938420 | PA      | $16660886.43  | 0.16%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2368398 | PA      | $2296021.43   | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  14420000 | PA      | $14539930.13  | 0.14%             | 2029-07-14      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395683 | PA      | $393968.70    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D            | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2040722.40   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-98, Class ME                                                   | CUSIP: 38377JPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8659526 | PA      | $8730796.10   | 0.08%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3721, Class DG                                              | CUSIP: 3137GACW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67486 | PA      | $65456.59     | 0.00%             | 2030-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2020-3, Class D                               | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    883598 | PA      | $881939.81    | 0.01%             | 2026-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6000000 | PA      | $6111576.90   | 0.06%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9RX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2386268 | PA      | $2330232.17   | 0.02%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H19, Class FA                                                  | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177756 | PA      | $177646.44    | 0.00%             | 2067-08-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5628 | PA      | $5614.89      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4941, Class NP                                              | CUSIP: 3137FQTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699223 | PA      | $600182.95    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315971 | PA      | $327236.81    | 0.00%             | 2035-10-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  28690000 | PA      | $29605542.37  | 0.28%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-93, Class PJ                                            | CUSIP: 3136AGLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435343 | PA      | $421673.19    | 0.00%             | 2042-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138YR7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667709 | PA      | $1650845.45   | 0.02%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                     | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  22300000 | PA      | $22617462.80  | 0.21%             | 2029-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-39, Class FT                                            | CUSIP: 31398PT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370397 | PA      | $373653.50    | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-3A, Class A                            | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8624421 | PA      | $8719558.02   | 0.08%             | 2040-08-27      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       105 | PA      | $104.96       | 0.00%             | 2028-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR3, Class C                                            | CUSIP: 66981YAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1962433.40   | 0.02%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class B                       | CUSIP: 37988XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2033036.80   | 0.02%             | 2030-03-15      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class B                | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682680 | PA      | $698718.46    | 0.01%             | 2039-07-20      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1679 | PA      | $1680.25      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class D                          | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2003749.99   | 0.02%             | 2038-04-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4142, Class PG                                              | CUSIP: 3137AX5T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22470 | PA      | $21849.92     | 0.00%             | 2032-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3936, Class AB                                              | CUSIP: 3137AH2W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53826 | PA      | $53350.55     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278719 | PA      | $286806.50    | 0.00%             | 2037-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR               | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |  17250000 | PA      | $17241081.75  | 0.16%             | 2036-07-16      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H05, Class FB                                                  | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29967 | PA      | $30017.71     | 0.00%             | 2063-12-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class TG                                            | CUSIP: 3136ACA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145606 | PA      | $141040.13    | 0.00%             | 2033-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                | Symphony CLO Ltd., Series 2015-16A, Class ARR                                    | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |  12803072 | PA      | $12804480.45  | 0.12%             | 2031-10-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5440, Class MV                                              | CUSIP: 3137HDYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019098 | PA      | $1027071.45   | 0.01%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4295000 | PA      | $4294066.05   | 0.04%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-2A, Class A                             | CUSIP: 42806MBW8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7212444.40   | 0.07%             | 2029-09-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7432660 | PA      | $7334574.06   | 0.07%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2022-1A, Class A                           | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3563424 | PA      | $3558806.82   | 0.03%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A4                         | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1796117.40   | 0.02%             | 2029-07-10      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R005, Class ZA                                    | CUSIP: 31396HAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1679386 | PA      | $1747902.66   | 0.02%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31412MDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225913 | PA      | $237440.61    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-164, Class DA                                                  | CUSIP: 38384D5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8930515 | PA      | $8966573.29   | 0.08%             | 2047-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding              | Equitable Financial Life Global Funding                                          | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  13395000 | PA      | $13234865.59  | 0.12%             | 2026-01-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class UB                                            | CUSIP: 3136ACAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869955 | PA      | $749298.94    | 0.01%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FB                                                  | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21551 | PA      | $21538.81     | 0.00%             | 2065-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4505, Class P                                               | CUSIP: 3137BKWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685366 | PA      | $666026.52    | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                              | CarMax Auto Owner Trust, Series 2024-2, Class A3                                 | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5125000 | PA      | $5196939.63   | 0.05%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760801 | PA      | $702064.16    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2023-1A, Class A2                 | CUSIP: 03236YAB1<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |   2186100 | PA      | $2207634.05   | 0.02%             | 2029-12-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-96, Class WP                                                   | CUSIP: 38378HCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1798424 | PA      | $1901448.38   | 0.02%             | 2042-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                  | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   7155000 | PA      | $7466891.74   | 0.07%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                         | Dell Equipment Finance Trust, Series 2025-1, Class A3                            | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3282032.98   | 0.03%             | 2031-02-24      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-27, Class E                                             | CUSIP: 3136AVN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2079690 | PA      | $1933109.91   | 0.02%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H02, Class FB                                                  | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109571 | PA      | $109886.60    | 0.00%             | 2063-12-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140X64J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3614809 | PA      | $3544332.33   | 0.03%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-62, Class VB                                            | CUSIP: 3136BWZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8242329 | PA      | $8476232.72   | 0.08%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FH                                                  | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424020 | PA      | $423802.73    | 0.00%             | 2065-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-88, Class ZC                                            | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246050 | PA      | $1273503.82   | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J2Z58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2354647.40   | 0.02%             | 2027-12-01      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2017-13A, Class AR2                                         | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2303910.00   | 0.02%             | 2037-11-26      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251218 | PA      | $256712.39    | 0.00%             | 2037-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335000 | PA      | $1354076.70   | 0.01%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-85, Class HA                                            | CUSIP: 3136AYTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990093 | PA      | $933452.63    | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class B                             | CUSIP: 26208WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3771721.88   | 0.04%             | 2029-01-16      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2727, Class PM                                              | CUSIP: 31394NN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478673 | PA      | $482391.40    | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5481, Class HA                                              | CUSIP: 3137HHQH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5852610 | PA      | $5907851.50   | 0.06%             | 2051-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-3, Class GA                                                    | CUSIP: 38378YZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2655647 | PA      | $2525867.68   | 0.02%             | 2044-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-31, Class NL                                            | CUSIP: 3136ADFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250359 | PA      | $249478.44    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2129970 | PA      | $2082526.13   | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                          | Hertz Vehicle Financing LLC, Series 2022-4A, Class A                             | CUSIP: 42806MBA6<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $189856.42    | 0.00%             | 2026-09-25      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  13245000 | PA      | $13385690.77  | 0.13%             | 2028-09-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class B                   | CUSIP: 802927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7291000 | PA      | $7380692.42   | 0.07%             | 2028-12-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class A2                                    | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4959538 | PA      | $5041104.19   | 0.05%             | 2032-07-26      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2929, Class PG                                              | CUSIP: 31395MBH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49505 | PA      | $50863.79     | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417CN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782741 | PA      | $756732.59    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XPGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6242442 | PA      | $6460157.84   | 0.06%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XQUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4307906 | PA      | $4480539.14   | 0.04%             | 2048-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8905112 | PA      | $9069747.91   | 0.09%             | 2029-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3262695 | PA      | $3194300.00   | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-12, Class ZA                                                   | CUSIP: 38378PE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12494259 | PA      | $11540940.95  | 0.11%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR2, Class C                            | CUSIP: 74290XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13275425.80  | 0.12%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-124, Class HG                                           | CUSIP: 3136A9Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38837 | PA      | $38043.74     | 0.00%             | 2027-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028391 | PA      | $1034603.30   | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131005 | PA      | $133222.78    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P5, Class C                          | CUSIP: 14687RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224000 | PA      | $236875.18    | 0.00%             | 2030-02-11      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2686, Class KZ                                              | CUSIP: 31394KN83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387033 | PA      | $380867.91    | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM XIV LP                                           | LCM LP, Series 14A, Class AR                                                     | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |    153301 | PA      | $153273.63    | 0.00%             | 2031-07-20      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EH4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40383 | PA      | $40517.56     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR2, Class A                                  | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5947519 | PA      | $5902936.78   | 0.06%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60283 | PA      | $59145.94     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class C                  | CUSIP: 072926AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029000 | PA      | $1042599.98   | 0.01%             | 2028-12-15      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-125, Class AB                                           | CUSIP: 3136AHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144074 | PA      | $141216.61    | 0.00%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5694953.86   | 0.05%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-3A, Class C                                     | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6746000 | PA      | $6846411.51   | 0.06%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202F2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26559 | PA      | $26395.76     | 0.00%             | 2027-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                   | Regional Management Issuance Trust, Series 2021-2, Class A                       | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103000 | PA      | $1056687.24   | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-109, Class VZ                                           | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    926376 | PA      | $946755.74    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class B                          | CUSIP: 14688PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8186000 | PA      | $8423466.04   | 0.08%             | 2030-08-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class A                          | CUSIP: 96043GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7784471.23   | 0.07%             | 2028-02-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138LX6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586059 | PA      | $567139.10    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                      | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  10560000 | PA      | $10610631.82  | 0.10%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NUBC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46813 | PA      | $47979.59     | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179SBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2956825 | PA      | $2858864.26   | 0.03%             | 2031-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-3, Class C                   | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4078628.00   | 0.04%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H08, Class FA                                                  | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262354 | PA      | $262806.75    | 0.00%             | 2061-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274314 | PA      | $258800.80    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H14, Class FH                                                  | CUSIP: 38380LZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10720419 | PA      | $10682835.12  | 0.10%             | 2069-08-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3132ADEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359659 | PA      | $1332716.35   | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-61, Class FH                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399624 | PA      | $402288.11    | 0.00%             | 2032-11-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                         | Mizuho Financial Group, Inc.                                                     | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  18070000 | PA      | $17671368.93  | 0.17%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-18, Class DE                                            | CUSIP: 3136AJVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465543 | PA      | $461136.24    | 0.00%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  16745000 | PA      | $16978685.85  | 0.16%             | 2027-08-07      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2013899 | PA      | $2001220.57   | 0.02%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2020-EXP3, Class 2A1                                           | CUSIP: 67448WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328586 | PA      | $326913.26    | 0.00%             | 2060-01-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2901, Class S                                               | CUSIP: 31395KSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258663 | PA      | $268465.81    | 0.00%             | 2034-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3351, Class ZC                                              | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807990 | PA      | $836075.18    | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622AAXK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6860381 | PA      | $6674817.64   | 0.06%             | 2040-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  17180000 | PA      | $17478511.78  | 0.16%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2001-50, Class BA                                | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33988 | PA      | $34375.26     | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class C                       | CUSIP: 22535PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8892000 | PA      | $9225198.36   | 0.09%             | 2034-04-17      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-34, Class TY                                                   | CUSIP: 38380VND9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737079 | PA      | $668042.98    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-128, Class KP                                           | CUSIP: 3136A2MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28403 | PA      | $27974.98     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5536, Class PA                                              | CUSIP: 3137HL5H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4830706 | PA      | $4823685.39   | 0.05%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-129, Class CZ                                           | CUSIP: 3136AHWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8525293 | PA      | $8122495.40   | 0.08%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 411, Class A3                                               | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871798 | PA      | $804549.42    | 0.01%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13725000 | PA      | $13540603.80  | 0.13%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4286, Class MP                                              | CUSIP: 3137B6U82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289624 | PA      | $281809.90    | 0.00%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                   | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13890000 | PA      | $13909840.48  | 0.13%             | 2040-09-25      | Variable      | 5.39%                 | Yes           |                  3 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                            | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12305000 | PA      | $12439641.93  | 0.12%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13091486 | PA      | $12315131.80  | 0.12%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3855, Class AM                                              | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    697164 | PA      | $716190.79    | 0.01%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-3, Class ZA                                             | CUSIP: 31395BGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5452055 | PA      | $5657137.03   | 0.05%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3569, Class NY                                              | CUSIP: 31398J3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433189 | PA      | $446743.23    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51651 | PA      | $52794.84     | 0.00%             | 2037-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252347 | PA      | $257720.37    | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5353, Class A                                               | CUSIP: 3137HAU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5033659 | PA      | $5171575.23   | 0.05%             | 2045-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QECX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396454 | PA      | $338518.58    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9574325 | PA      | $9143047.09   | 0.09%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4657, Class VZ                                              | CUSIP: 3137BVQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8172759 | PA      | $7283308.34   | 0.07%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-C, Class B                                   | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10533021.45  | 0.10%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class JZ                                           | CUSIP: 3136AHQY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14154273 | PA      | $13897057.77  | 0.13%             | 2033-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  21905000 | PA      | $22271179.53  | 0.21%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 26                                               | CUSIP: 3136FCP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17934 | PA      | $2991.25      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4247, Class AK                                              | CUSIP: 3137B4HD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136328 | PA      | $136039.92    | 0.00%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB13, Class A                                              | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   2868466 | PA      | $2821670.52   | 0.03%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3688, Class NB                                              | CUSIP: 3137A0MY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395252 | PA      | $398352.42    | 0.00%             | 2036-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class A                             | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  12750000 | PA      | $12958992.90  | 0.12%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7QA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51118 | PA      | $51410.05     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class TF                                            | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80444 | PA      | $81223.74     | 0.00%             | 2032-12-18      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class BZ                                            | CUSIP: 3136ACWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5302716 | PA      | $5146896.25   | 0.05%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K512, Class A2  | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $12327244.80  | 0.12%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-64, Class DT                                            | CUSIP: 31397UJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26898509 | PA      | $28099078.48  | 0.26%             | 2041-07-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                               | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $13613038.32  | 0.13%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-18, Class SE                                            | CUSIP: 31396YWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71692 | PA      | $5880.85      | 0.00%             | 2038-03-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9UT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12603185 | PA      | $12941218.08  | 0.12%             | 2044-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2806, Class FA                                              | CUSIP: 31395AWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151470 | PA      | $152182.14    | 0.00%             | 2034-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                | Octagon Investment Partners Ltd., Series 2018-18A, Class A1A                     | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1257591 | PA      | $1257426.36   | 0.01%             | 2031-04-16      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-32, Class DK                                            | CUSIP: 3136AKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282472 | PA      | $273603.46    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H18, Class NA                                                  | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39874 | PA      | $39866.41     | 0.00%             | 2062-08-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                | Quanta Services, Inc.                                                            | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  12175000 | PA      | $12306805.82  | 0.12%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478091 | PA      | $408239.90    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4655, Class DJ                                              | CUSIP: 3137BVDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1495060 | PA      | $1429359.29   | 0.01%             | 2040-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                | Theorem Funding Trust, Series 2022-3A, Class A                                   | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82076 | PA      | $82151.90     | 0.00%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                       | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4103238.00   | 0.04%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4900798.00   | 0.05%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50070000 | PA      | $50795623.95  | 0.48%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503244 | PA      | $486659.79    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CQ                                                   | CUSIP: 38379NHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136223 | PA      | $135029.88    | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                           | US Bank NA, Series 2023-1, Class B                                               | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5554653 | PA      | $5620660.47   | 0.05%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1856634 | PA      | $1856050.71   | 0.02%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FV52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5032 | PA      | $5009.32      | 0.00%             | 2026-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                      | Western Funding Auto Loan Trust, Series 2025-1, Class A                          | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8635000 | PA      | $8717869.23   | 0.08%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39526 | PA      | $41106.24     | 0.00%             | 2037-03-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LN3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483597 | PA      | $3442785.85   | 0.03%             | 2028-08-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3459, Class MB                                              | CUSIP: 31397TTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58608 | PA      | $60432.48     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXJ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19844654 | PA      | $20485944.31  | 0.19%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AAFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3537986 | PA      | $3417321.99   | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LBYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4908279 | PA      | $4595731.55   | 0.04%             | 2028-04-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -4229 | NC      | $-1897402.49  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FD                                           | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37330 | PA      | $36754.02     | 0.00%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PHT4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19135000 | PA      | $19176113.46  | 0.18%             | 2027-09-11      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  15235000 | PA      | $15434280.20  | 0.14%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3575, Class ZA                                              | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2393314 | PA      | $2466272.55   | 0.02%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-92, Class DE                                            | CUSIP: 3136AGFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $572426.94    | 0.01%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-96, Class FY                                            | CUSIP: 3136AGAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140383 | PA      | $138892.93    | 0.00%             | 2042-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140KA3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753383 | PA      | $717981.78    | 0.01%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-79, Class PT                                                   | CUSIP: 38384PFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8251454 | PA      | $8430252.66   | 0.08%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-84, Class MB                                            | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265221 | PA      | $272649.26    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4698, Class DA                                              | CUSIP: 3137F1XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177558 | PA      | $1161385.69   | 0.01%             | 2045-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224000 | PA      | $1253205.20   | 0.01%             | 2028-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H01, Class FA                                                  | CUSIP: 38376RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1437394 | PA      | $1442525.48   | 0.01%             | 2066-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                       | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6143808 | PA      | $6164573.78   | 0.06%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-125, Class AG                                                  | CUSIP: 38382HMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    868022 | PA      | $841271.43    | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39035 | PA      | $39648.80     | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-6, Class B                   | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2541012.25   | 0.02%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10902610 | PA      | $10255811.37  | 0.10%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-57, Class ZE                                            | CUSIP: 31396WKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30934 | PA      | $30845.34     | 0.00%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  21600000 | PA      | $22318446.46  | 0.21%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-85, Class SH                                            | CUSIP: 31396XQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553386 | PA      | $20074.50     | 0.00%             | 2037-09-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-72, Class KB                                            | CUSIP: 3136A0NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12941 | PA      | $12883.12     | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2021-3, Class C                               | CUSIP: 33846QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6978662 | PA      | $6936926.85   | 0.07%             | 2027-09-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | Goldman Sachs Bank USA                                                           | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   7050000 | PA      | $7101298.62   | 0.07%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-109, Class M                                            | CUSIP: 31398NRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669704 | PA      | $652088.22    | 0.01%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                   | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3261829 | PA      | $3250277.59   | 0.03%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FY                                            | CUSIP: 31398RXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98707 | PA      | $98866.19     | 0.00%             | 2040-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                   | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5120576.00   | 0.05%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23415000 | PA      | $23431710.35  | 0.22%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5558, Class BA                                              | CUSIP: 3137HM3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21454753 | PA      | $21688901.50  | 0.20%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-57, Class B                                             | CUSIP: 3136BWRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7842130 | PA      | $7951422.55   | 0.07%             | 2050-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-11, Class EA                                            | CUSIP: 3136B4BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528488 | PA      | $501175.53    | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class B                                  | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5165000 | PA      | $5021296.27   | 0.05%             | 2038-08-17      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QCV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430082 | PA      | $367235.59    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2156650 | PA      | $2169694.41   | 0.02%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class C                          | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710818 | PA      | $691138.19    | 0.01%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                     | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3425000 | PA      | $3438343.12   | 0.03%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                          | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1425344 | PA      | $1449300.51   | 0.01%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2022-P2, Class B                          | CUSIP: 14686JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4175000 | PA      | $4210964.29   | 0.04%             | 2028-04-10      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5360000 | PA      | $5358115.64   | 0.05%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                           | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438630 | PA      | $417155.56    | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class D                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3872241.04   | 0.04%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Columbia Cent CLO Ltd.                               | Columbia Cent CLO Ltd., Series 2021-31A, Class A1R                               | CUSIP: 19737LAS2<br>LEI: 5493007YZPNOMQEILE23 | Long             | ABS-CBDO         | CORP              | KY        |  29000000 | PA      | $28972624.00  | 0.27%             | 2034-04-20      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                             | LCM Ltd., Series 36A, Class A1R                                                  | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24873000 | PA      | $24814473.83  | 0.23%             | 2034-01-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A3                                   | CUSIP: 04033CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6048312.60   | 0.06%             | 2034-01-17      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171647 | PA      | $168675.58    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450658 | PA      | $401287.84    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-5, Class DA                                             | CUSIP: 3136ABF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57297 | PA      | $55724.50     | 0.00%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2023-A, Class D                               | CUSIP: 12664LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2291391.23   | 0.02%             | 2029-04-16      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C                       | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7183998.50   | 0.07%             | 2033-07-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                  | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7578817 | PA      | $7657722.32   | 0.07%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-107, Class PA                                                  | CUSIP: 38384BM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5834164 | PA      | $5912981.70   | 0.06%             | 2046-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-58, Class GL                                            | CUSIP: 31393DCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61019 | PA      | $59848.39     | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353967 | PA      | $316414.68    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                        | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7773000 | PA      | $7826712.21   | 0.07%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Marble Point CLO XV Ltd.                             | Marble Point CLO Ltd., Series 2019-1A, Class A1R2                                | CUSIP: 56606YAW5<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |  10026343 | PA      | $10014762.43  | 0.09%             | 2032-07-23      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                              | Jamestown CLO Ltd., Series 2021-17A, Class B1R                                   | CUSIP: 47048UAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3000000.00   | 0.03%             | 2035-01-25      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338922 | PA      | $354880.39    | 0.00%             | 2036-03-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FA                                                  | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1040 | PA      | $1041.79      | 0.00%             | 2065-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-84, Class JA                                            | CUSIP: 3136AYMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484891 | PA      | $434028.48    | 0.00%             | 2047-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4417, Class PZ                                              | CUSIP: 3137BFWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2940200 | PA      | $2666790.11   | 0.03%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-112, Class BA                                                  | CUSIP: 38384CV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4247091 | PA      | $4401027.25   | 0.04%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $459.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307L3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3621930 | PA      | $3556833.81   | 0.03%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355970 | PA      | $349177.96    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4461, Class LZ                                              | CUSIP: 3137BHKY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3644340 | PA      | $3262918.29   | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class B                | CUSIP: 05377RHZ0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5956016.75   | 0.06%             | 2030-06-20      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-58, Class BA                                            | CUSIP: 3136BSWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14138394 | PA      | $14359803.96  | 0.13%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                              | SCF Equipment Trust LLC, Series 2025-1A, Class A2                                | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5567558 | PA      | $5582215.59   | 0.05%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3996, Class BA                                              | CUSIP: 3137ALSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8209 | PA      | $8090.99      | 0.00%             | 2027-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-35, Class PE                                            | CUSIP: 31397SVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769444 | PA      | $745550.10    | 0.01%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class LC                                              | CUSIP: 3137BXZG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435213 | PA      | $378974.11    | 0.00%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3391415 | PA      | $3362910.98   | 0.03%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class A                           | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320403 | PA      | $304251.93    | 0.00%             | 2035-08-27      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust, Series 2021-L6, Class A2                         | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3154051 | PA      | $3013276.49   | 0.03%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  15380000 | PA      | $15586991.42  | 0.15%             | 2027-08-14      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4591, Class QE                                              | CUSIP: 3137BQQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166293 | PA      | $151290.12    | 0.00%             | 2046-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-25, Class QH                                                   | CUSIP: 38379T2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848242 | PA      | $810844.61    | 0.01%             | 2044-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class PB                                              | CUSIP: 3137AQPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122301 | PA      | $119693.36    | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQ5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1992832 | PA      | $1974118.67   | 0.02%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-79, Class LA                                                   | CUSIP: 38379XNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124055 | PA      | $122701.70    | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A4                                        | CUSIP: 09709AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4260000 | PA      | $4344106.03   | 0.04%             | 2030-06-17      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Other                                                                   | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637826 | PA      | $572029.84    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11568487 | PA      | $11596189.91  | 0.11%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-113, Class DC                                           | CUSIP: 3136A83J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75240 | PA      | $72788.66     | 0.00%             | 2042-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $5017665.75   | 0.05%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-74, Class DY                                                   | CUSIP: 38382E5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817328 | PA      | $683917.05    | 0.01%             | 2050-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418JAA9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  16400000 | PA      | $16630090.52  | 0.16%             | 2026-12-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95042 | PA      | $96815.21     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3835000 | PA      | $3831359.74   | 0.04%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225626 | PA      | $1226502.92   | 0.01%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                     | First Investors Auto Owner Trust, Series 2023-1A, Class B                        | CUSIP: 320986AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5685000 | PA      | $5820760.64   | 0.05%             | 2029-12-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4571, Class EB                                              | CUSIP: 3137BNVM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1486161 | PA      | $1454700.88   | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                         | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                           | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51 | PA      | $50.82        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 289, Class 1                                                | CUSIP: 31364HQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19036 | PA      | $18486.21     | 0.00%             | 2027-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4029, Class LY                                              | CUSIP: 3137APFZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541764 | PA      | $536376.47    | 0.01%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4714, Class PA                                              | CUSIP: 3137F2ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1354437 | PA      | $1273623.58   | 0.01%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-3, Class AB                                             | CUSIP: 3136B3G38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8441946 | PA      | $8135324.82   | 0.08%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7MJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40302 | PA      | $40390.93     | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3862, Class GA                                              | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124310 | PA      | $123365.84    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-90, Class MA                                                   | CUSIP: 38379XQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82049 | PA      | $81146.51     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class MB                                            | CUSIP: 3136B7KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $730650.40    | 0.01%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-C, Class C                                   | CUSIP: 68378RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4262136.73   | 0.04%             | 2033-07-08      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  19910000 | PA      | $19947618.95  | 0.19%             | 2026-01-26      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-A, Class A4                                   | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4024567.60   | 0.04%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                               | WEC Energy Group, Inc.                                                           | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5625160.31   | 0.05%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4631, Class PA                                              | CUSIP: 3137BSZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1530161 | PA      | $1439036.97   | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C             | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6977629.80   | 0.07%             | 2048-07-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X6G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314494 | PA      | $1272782.03   | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31413NGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230485 | PA      | $243124.07    | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-89, Class AM                                                   | CUSIP: 38384N3Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18656709 | PA      | $18797582.54  | 0.18%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-64, Class ED                                                   | CUSIP: 38384MVF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5675473 | PA      | $5757098.69   | 0.05%             | 2064-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                     | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15216000 | PA      | $15388770.07  | 0.14%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-49                                                      | CUSIP: 31393CY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122020 | PA      | $16066.77     | 0.00%             | 2033-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-84, Class DZ                                            | CUSIP: 31392FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91406 | PA      | $94483.21     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                        | Entergy Corp.                                                                    | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   2915000 | PA      | $2911148.44   | 0.03%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-53, Class FT                                            | CUSIP: 31397URA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78649 | PA      | $78365.51     | 0.00%             | 2041-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3597, Class HM                                              | CUSIP: 31398L7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11172 | PA      | $11145.06     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A86M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1035013 | PA      | $1032993.99   | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37190 | PA      | $36708.68     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2119793 | PA      | $2063269.27   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-87, Class BA                                            | CUSIP: 3136B3RG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97112 | PA      | $93498.81     | 0.00%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FY                                              | CUSIP: 3137AY3R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216672 | PA      | $215117.60    | 0.00%             | 2041-08-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7696580 | PA      | $7456219.28   | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                          | Penske Truck Leasing Co. LP                                                      | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9600000 | PA      | $9535013.57   | 0.09%             | 2025-11-15      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-73, Class HJ                                            | CUSIP: 31396QB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80089 | PA      | $84785.53     | 0.00%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  19000000 | PA      | $19466798.46  | 0.18%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class AP                                              | CUSIP: 3137BXXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570907 | PA      | $507479.84    | 0.00%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR6, Class A                            | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7234518 | PA      | $7089636.91   | 0.07%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-25, Class DZ                                            | CUSIP: 31396YL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370102 | PA      | $371705.68    | 0.00%             | 2038-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4162, Class ZJ                                              | CUSIP: 3137AYJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13765227 | PA      | $13299442.11  | 0.12%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5397572 | PA      | $5453630.99   | 0.05%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-80, Class AC                                                   | CUSIP: 38384BPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4423259 | PA      | $4521894.09   | 0.04%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   9645000 | PA      | $10076798.55  | 0.09%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426704 | PA      | $443049.94    | 0.00%             | 2035-03-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418GAL1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  20120000 | PA      | $20220438.03  | 0.19%             | 2028-09-08      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                           | Upstart Pass-Through Trust, Series 2021-ST5, Class A                             | CUSIP: 91679XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54834 | PA      | $54633.26     | 0.00%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4255, Class LZ                                              | CUSIP: 3137B5H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6747548 | PA      | $6518608.19   | 0.06%             | 2033-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-50, Class DA                                            | CUSIP: 3136BSPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4861451 | PA      | $4866610.57   | 0.05%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-42, Class ND                                                   | CUSIP: 38378JES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65341 | PA      | $61368.10     | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29830 | PA      | $30390.44     | 0.00%             | 2036-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-28, Class DE                                                   | CUSIP: 38378FWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166331 | PA      | $149299.88    | 0.00%             | 2042-12-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K507, Class A2  | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2552604.75   | 0.02%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AEAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6129272 | PA      | $5986022.20   | 0.06%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140GXNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053598 | PA      | $917215.91    | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class GE                                              | CUSIP: 3137BB4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4368 | PA      | $4320.49      | 0.00%             | 2029-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2024-2A, Class A                         | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3707527 | PA      | $3759771.88   | 0.04%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15365700 | PA      | $15392109.80  | 0.14%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class B                            | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8760758.40   | 0.08%             | 2038-10-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-15, Class AC                                            | CUSIP: 31397NDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261259 | PA      | $262882.30    | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3551 | PA      | $3557.85      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H04, Class FL                                                  | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52935 | PA      | $52928.28     | 0.00%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-133, Class AP                                           | CUSIP: 3136AAWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2634861 | PA      | $2424267.83   | 0.02%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2021-A, Class A                          | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526361 | PA      | $1520941.28   | 0.01%             | 2031-12-22      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375987 | PA      | $1406493.69   | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XNT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3364223 | PA      | $3491251.21   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ELTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254948 | PA      | $255391.64    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-16, Class FC                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10187 | PA      | $10209.33     | 0.00%             | 2037-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ELYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163085 | PA      | $162419.98    | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class A                                            | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11422000 | PA      | $11037442.96  | 0.10%             | 2038-10-17      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3904, Class HC                                              | CUSIP: 3137AE5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450513 | PA      | $435581.92    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C            | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10360000 | PA      | $10568901.11  | 0.10%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                          | Ally Auto Receivables Trust, Series 2024-1, Class A3                             | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7201008 | PA      | $7244480.13   | 0.07%             | 2028-12-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H14, Class FD                                                  | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177666 | PA      | $177622.52    | 0.00%             | 2067-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-43, Class JA                                                   | CUSIP: 38384KNH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28908068 | PA      | $29479901.74  | 0.28%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24320000 | PA      | $24578400.00  | 0.23%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class B                                            | CUSIP: 00180UAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7207000 | PA      | $6945204.28   | 0.07%             | 2038-10-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-96, Class EA                                            | CUSIP: 3136BTM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13201470 | PA      | $13310167.81  | 0.12%             | 2053-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class B                                            | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15095555 | PA      | $14651797.01  | 0.14%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  30415000 | PA      | $30876450.60  | 0.29%             | 2029-05-22      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       393 | PA      | $390.79       | 0.00%             | 2027-01-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2025-2A, Class A                                  | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2450000 | PA      | $2467882.06   | 0.02%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147493 | PA      | $152990.13    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-11, Class ZY                                            | CUSIP: 31397NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2498280 | PA      | $2513346.88   | 0.02%             | 2049-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 49 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2022-49A, Class AR               | CUSIP: 64135JAL6<br>LEI: 549300IN02DS1MN5HW62 | Long             | ABS-CBDO         | CORP              | KY        |  19596000 | PA      | $19590140.80  | 0.18%             | 2035-07-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K57, Class B                                   | CUSIP: 30295DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12794000 | PA      | $12675064.42  | 0.12%             | 2049-08-25      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-98, Class QG                                            | CUSIP: 3136A8AS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9282 | PA      | $9244.71      | 0.00%             | 2032-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2006-26, Class S                                                    | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2419104 | PA      | $39416.64     | 0.00%             | 2036-06-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-60, Class H                                             | CUSIP: 3136BSS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9090873 | PA      | $9122747.18   | 0.09%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1636341 | PA      | $1646866.53   | 0.02%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H15, Class FA                                                  | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121469 | PA      | $121565.01    | 0.00%             | 2063-06-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-89, Class EC                                                   | CUSIP: 38385GLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1691329 | PA      | $1706013.11   | 0.02%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  20355000 | PA      | $20742230.87  | 0.19%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LHS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4971343 | PA      | $4904759.63   | 0.05%             | 2027-03-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919797 | PA      | $943194.80    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14645000 | PA      | $14488850.32  | 0.14%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-27, Class HZ                                            | CUSIP: 31394CG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044024 | PA      | $1067579.14   | 0.01%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                     | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659662 | PA      | $654366.60    | 0.01%             | 2046-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class C                                   | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7008724.80   | 0.07%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B     | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140000 | PA      | $3923695.76   | 0.04%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4LU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6899 | PA      | $7072.78      | 0.00%             | 2037-04-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7945397 | PA      | $8209211.69   | 0.08%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class A                                    | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6328422 | PA      | $6417856.46   | 0.06%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5845579 | PA      | $5721723.77   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418TCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90808 | PA      | $91628.40     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56180 | PA      | $57178.74     | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-1, Class NF                                             | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110718 | PA      | $109841.17    | 0.00%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2176008 | PA      | $2127819.48   | 0.02%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-61, Class G                                             | CUSIP: 3136BQXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19138674 | PA      | $19235091.08  | 0.18%             | 2049-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-29, Class LA                                            | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676215 | PA      | $586047.39    | 0.01%             | 2039-05-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                    | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                      | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7025000 | PA      | $7022190.00   | 0.07%             | 2038-12-15      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8395000 | PA      | $8995795.14   | 0.08%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $365.83       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M65F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58735 | PA      | $60008.03     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                         | Bridge Trust, Series 2022-SFR1, Class B                                          | CUSIP: 10805VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10575000 | PA      | $10531986.19  | 0.10%             | 2037-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  13210000 | PA      | $13716835.86  | 0.13%             | 2029-03-06      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-50, Class F                                                    | CUSIP: 38373QSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23255 | PA      | $23211.48     | 0.00%             | 2033-05-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class C                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10137000 | PA      | $10183887.68  | 0.10%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366452 | PA      | $386509.69    | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  22135000 | PA      | $22833245.25  | 0.21%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class AE                                            | CUSIP: 3136AVPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1489813 | PA      | $1424484.88   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4250, Class BZ                                              | CUSIP: 3137B4MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13612248 | PA      | $13207908.48  | 0.12%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3906, Class B                                               | CUSIP: 3137AEJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2164778 | PA      | $2114413.58   | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H08, Class FA                                                  | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111739 | PA      | $111464.40    | 0.00%             | 2063-03-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  14854000 | PA      | $15333627.19  | 0.14%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3769596 | PA      | $3825299.66   | 0.04%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR3, Class C                            | CUSIP: 74331VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8068584.20   | 0.08%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1719 | PA      | $1706.94      | 0.00%             | 2037-08-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3002, Class BN                                              | CUSIP: 31395WLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137709 | PA      | $138103.14    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CP                                                   | CUSIP: 38379NHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188669 | PA      | $185114.81    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  19840000 | PA      | $20164243.73  | 0.19%             | 2028-11-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-81, Class BA                                            | CUSIP: 3136BTLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8378686 | PA      | $8383564.33   | 0.08%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LK6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5232009 | PA      | $5123697.32   | 0.05%             | 2027-10-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                   | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3598121.45   | 0.03%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-42, Class NA                                            | CUSIP: 3136BWLG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19211270 | PA      | $19397812.94  | 0.18%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class C                               | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2384361 | PA      | $2386484.96   | 0.02%             | 2030-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282675 | PA      | $241368.23    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D            | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6877445.40   | 0.06%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class A                              | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790860 | PA      | $1751638.82   | 0.02%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class C                             | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7089105.10   | 0.07%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    533712 | PA      | $529880.86    | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     13371 | NC      | $3776568.91   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-114, Class JA                                           | CUSIP: 3136AGU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $153.23       | 0.00%             | 2035-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2021-3A, Class D                                     | CUSIP: 23344QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4719206 | PA      | $4671638.69   | 0.04%             | 2027-05-17      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                 | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   3133589 | PA      | $3139213.38   | 0.03%             | 2032-10-13      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-126, Class LI                                           | CUSIP: 31398SAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96392 | PA      | $4234.44      | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       870 | PA      | $888.39       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-94                                                      | CUSIP: 3136BDWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355182 | PA      | $293480.57    | 0.00%             | 2048-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-102, Class PE                                                  | CUSIP: 38374ECZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618269 | PA      | $617291.78    | 0.01%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |  15750000 | PA      | $15808366.35  | 0.15%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4342, Class CY                                              | CUSIP: 3137BAYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3268470 | PA      | $3119630.41   | 0.03%             | 2034-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                     | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  14945000 | PA      | $14924547.17  | 0.14%             | 2026-09-16      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| DLLAA LLC                                            | DLLAA LLC, Series 2025-1A, Class A3                                              | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8159864.80   | 0.08%             | 2029-09-20      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Stonepeak ABS                                        | Stonepeak ABS, Series 2021-1A                                                    | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3172360 | PA      | $3041015.18   | 0.03%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  3 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 41 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-41A, Class AR               | CUSIP: 64134BAJ9<br>LEI: 549300RYH1PYRU661D66 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15030000.00  | 0.14%             | 2034-04-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2022-8, Class D                                              | CUSIP: 3136BLW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8090294 | PA      | $7563458.45   | 0.07%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2            | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3608412.48   | 0.03%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-101, Class B                                            | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557036 | PA      | $569608.69    | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H24, Class AF                                                  | CUSIP: 38376RE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956927 | PA      | $959941.50    | 0.01%             | 2066-11-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class B                   | CUSIP: 12630SAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7637682.32   | 0.07%             | 2029-11-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36296DHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770843 | PA      | $813780.69    | 0.01%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  16775000 | PA      | $16798820.50  | 0.16%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                      | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $10726964.08  | 0.10%             | 2029-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                              | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                 | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |  19008680 | PA      | $19275333.86  | 0.18%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4483, Class CA                                              | CUSIP: 3137BJZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28758528 | PA      | $27710394.21  | 0.26%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A8ER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7441584 | PA      | $7272629.97   | 0.07%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382170 | PA      | $326325.50    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class C                             | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7142000 | PA      | $7242992.17   | 0.07%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-14, Class DB                                            | CUSIP: 31395BEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205014 | PA      | $212953.86    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.54        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-147, Class AC                                                  | CUSIP: 38384DRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5139204.00   | 0.05%             | 2050-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  23060000 | PA      | $23224886.38  | 0.22%             | 2028-10-18      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13300000 | PA      | $14153194.73  | 0.13%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  23220000 | PA      | $23481920.90  | 0.22%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR1, Class C                                            | CUSIP: 00179WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5382627.25   | 0.05%             | 2039-03-17      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class C                          | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2775677.58   | 0.03%             | 2038-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13535000 | PA      | $13856759.57  | 0.13%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4152, Class LE                                              | CUSIP: 3137AXPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1644520 | PA      | $1552763.83   | 0.01%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class A2                      | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4961769 | PA      | $4993685.09   | 0.05%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C                       | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5952000 | PA      | $6175990.43   | 0.06%             | 2033-12-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bills                                                              | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  16906000 | PA      | $16670969.07  | 0.16%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                          | VFI ABS LLC, Series 2023-1A, Class A                                             | CUSIP: 92555QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1096585 | PA      | $1103380.92   | 0.01%             | 2029-03-26      | Fixed         | 7.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326307 | PA      | $335920.65    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2020-AA, Class A                                      | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370410 | PA      | $350381.64    | 0.00%             | 2046-07-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                       | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14025000 | PA      | $14179674.71  | 0.13%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3724, Class CM                                              | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207275 | PA      | $217980.31    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76550 | PA      | $79245.49     | 0.00%             | 2036-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JRW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92943 | PA      | $92928.19     | 0.00%             | 2037-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H15, Class FN                                                  | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71525 | PA      | $71544.48     | 0.00%             | 2067-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3881, Class AT                                              | CUSIP: 3137ABYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15166053 | PA      | $15958074.31  | 0.15%             | 2041-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CULE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67474 | PA      | $67943.36     | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       232 | PA      | $235.96       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC               | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1                  | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1508274.99   | 0.01%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Ltd.                                | Identity Digital Ltd.                                                            | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |  15000000 | PA      | $15262500.00  | 0.14%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3174, Class LF                                              | CUSIP: 31396TP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66870 | PA      | $66470.21     | 0.00%             | 2036-05-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2941, Class Z                                               | CUSIP: 31395PUN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032410 | PA      | $1012448.64   | 0.01%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADB0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  12355000 | PA      | $12535359.40  | 0.12%             | 2027-06-24      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                     | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6964000 | PA      | $7186032.52   | 0.07%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104714 | PA      | $107536.68    | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140E04C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2869889 | PA      | $2811651.73   | 0.03%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H14, Class GF                                                  | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30034 | PA      | $30029.07     | 0.00%             | 2064-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                      | Sumitomo Mitsui Trust Bank Ltd.                                                  | CUSIP: 86563VBT5<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |  23220000 | PA      | $23371189.37  | 0.22%             | 2027-09-10      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H14, Class FA                                                  | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431160 | PA      | $432213.06    | 0.00%             | 2066-06-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5504, Class DA                                              | CUSIP: 3137HJDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11656409 | PA      | $11836012.84  | 0.11%             | 2051-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 359, Class 16                                               | CUSIP: 3136FCUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46756 | PA      | $6984.45      | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10129326.90  | 0.10%             | 2030-05-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3966, Class VZ                                              | CUSIP: 3137AJXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543389 | PA      | $529857.56    | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2024-B, Class A                          | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14486000 | PA      | $14771442.28  | 0.14%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1380099 | PA      | $1228925.43   | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class B                | CUSIP: 05377RFB5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2978759.10   | 0.03%             | 2028-08-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class C                | CUSIP: 05377RHJ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6571751.25   | 0.06%             | 2029-12-20      | Fixed         | 7.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-B2, Class ZA                                            | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1180679 | PA      | $1236159.79   | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4131, Class BC                                              | CUSIP: 3137AVQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33039 | PA      | $32117.77     | 0.00%             | 2027-11-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67518 | PA      | $66491.25     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-18, Class BA                                            | CUSIP: 3136B4QD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6428160 | PA      | $6201738.64   | 0.06%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-109, Class BA                                           | CUSIP: 3136AGQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270749 | PA      | $266584.32    | 0.00%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9ST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18152509 | PA      | $18644712.33  | 0.18%             | 2044-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4170, Class QE                                              | CUSIP: 3137AYYL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2508 | PA      | $2502.26      | 0.00%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21950 | PA      | $21903.53     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-75, Class SP                                                   | CUSIP: 38375DPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506320 | PA      | $22128.15     | 0.00%             | 2038-08-20      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11688483 | PA      | $11744443.48  | 0.11%             | 2030-04-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3249, Class CL                                              | CUSIP: 31397EDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441453 | PA      | $436814.34    | 0.00%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-42, Class PF                                            | CUSIP: 31395DUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105511 | PA      | $104974.24    | 0.00%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4570527 | PA      | $4636806.45   | 0.04%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                           | Microchip Technology, Inc.                                                       | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   7850000 | PA      | $7850000.00   | 0.07%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A                | CUSIP: 05377RGU2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14188255.20  | 0.13%             | 2028-02-22      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A              | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12886000 | PA      | $12991857.20  | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H25, Class FD                                                  | CUSIP: 38376RJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2504333 | PA      | $2505424.24   | 0.02%             | 2065-10-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138L9BQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7036148 | PA      | $6915971.48   | 0.06%             | 2027-02-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FYD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123203 | PA      | $122269.87    | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2015-K51, Class B                                   | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4983264.00   | 0.05%             | 2048-10-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7345000 | PA      | $7504062.88   | 0.07%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class B                          | CUSIP: 96043GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10825000 | PA      | $10879414.03  | 0.10%             | 2028-02-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179XSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2294860 | PA      | $2411006.45   | 0.02%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2024-1A, Class A2                                | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3967110 | PA      | $4037284.35   | 0.04%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-68, Class HQ                                            | CUSIP: 3136AXM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932862 | PA      | $886824.21    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7605900 | PA      | $7415239.97   | 0.07%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class C                                            | CUSIP: 00179VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1937736.40   | 0.02%             | 2038-08-17      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  16754000 | PA      | $16872970.15  | 0.16%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70378 | PA      | $71996.77     | 0.00%             | 2037-10-01      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  23760000 | PA      | $24301196.49  | 0.23%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-101, Class ED                                                  | CUSIP: 38384PMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16804224 | PA      | $16835995.29  | 0.16%             | 2052-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2302401 | PA      | $2168247.49   | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class E1                           | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4527154.44   | 0.04%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99074 | PA      | $99850.29     | 0.00%             | 2037-10-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33783 | PA      | $34397.70     | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A3                         | CUSIP: 69392BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3518196.15   | 0.03%             | 2031-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class C            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6811186.05   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-38, Class AO                                            | CUSIP: 31393YBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281310 | PA      | $1113235.49   | 0.01%             | 2034-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class C             | CUSIP: 02530UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2466068 | PA      | $2469465.63   | 0.02%             | 2029-04-12      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  24789000 | PA      | $24320824.78  | 0.23%             | 2027-10-23      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-39, Class IN                                                   | CUSIP: 38374GUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18311 | PA      | $130.32       | 0.00%             | 2033-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                   | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                     | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5563727 | PA      | $5648789.80   | 0.05%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13460000 | PA      | $14096060.91  | 0.13%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2024-AA, Class A                          | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13441000 | PA      | $13633969.75  | 0.13%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3022058 | PA      | $3019224.93   | 0.03%             | 2040-02-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H04, Class FG                                                  | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132323 | PA      | $131972.56    | 0.00%             | 2068-02-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| UBS AG                                               | UBS AG                                                                           | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |  31565000 | PA      | $34062393.13  | 0.32%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516785 | PA      | $481884.92    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-24, Class AD                                                   | CUSIP: 38384JY73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11814320 | PA      | $11870314.33  | 0.11%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-18, Class DA                                            | CUSIP: 3136AVQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496446 | PA      | $486187.94    | 0.00%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3947, Class BH                                              | CUSIP: 3137AGCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2493163 | PA      | $2259240.12   | 0.02%             | 2041-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  51100000 | PA      | $52396210.27  | 0.49%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                       | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5051635.50   | 0.05%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1968599 | PA      | $1914982.20   | 0.02%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                        | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4235000 | PA      | $4311640.54   | 0.04%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-13, Class CG                                            | CUSIP: 3136B4GM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2210058 | PA      | $2214599.72   | 0.02%             | 2049-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FC                                           | CUSIP: 31396LHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58434 | PA      | $57583.90     | 0.00%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4879670.19   | 0.05%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class B                | CUSIP: 82650TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350743 | PA      | $350304.60    | 0.00%             | 2040-06-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                              | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2549829 | PA      | $2585242.68   | 0.02%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-52, Class GB                                            | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62448 | PA      | $63983.75     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115KAD2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  27260000 | PA      | $27576459.98  | 0.26%             | 2028-06-02      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class B            | CUSIP: 108056AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1546000 | PA      | $1558363.21   | 0.01%             | 2029-08-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class B                     | CUSIP: 30166DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1172772 | PA      | $1175137.67   | 0.01%             | 2028-04-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-34, Class FA                                            | CUSIP: 31392CM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26075 | PA      | $26070.23     | 0.00%             | 2032-05-18      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2022-3, Class D             | CUSIP: 02528GAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1617018 | PA      | $1622507.33   | 0.02%             | 2028-10-13      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3204, Class ZM                                              | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317776 | PA      | $326156.33    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class B                             | CUSIP: 42806MDC0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3031987.20   | 0.03%             | 2029-12-26      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824931 | PA      | $1800842.80   | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-34, Class PC                                            | CUSIP: 3136ADQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333983 | PA      | $319961.40    | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class A2                 | CUSIP: 95001ABA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1452040 | PA      | $1413561.55   | 0.01%             | 2050-11-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                            | Driven Brands Funding LLC, Series 2019-1A, Class A2                              | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1117511 | PA      | $1114977.63   | 0.01%             | 2049-04-20      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140W1BY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2938213 | PA      | $3023338.01   | 0.03%             | 2045-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XCJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1876146 | PA      | $1800744.27   | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-63, Class A7                                            | CUSIP: 31393DSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963710 | PA      | $986737.89    | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class AB                                              | CUSIP: 3137AQME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30739 | PA      | $30123.10     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Roc Mortgage Trust                                   | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $3089087.85   | 0.03%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H09, Class FA                                                  | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161256 | PA      | $161285.20    | 0.00%             | 2065-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class B                              | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4008686.85   | 0.04%             | 2038-07-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-5, Class C                   | CUSIP: 802920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2267148.98   | 0.02%             | 2031-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2020-SFR1, Class C                                  | CUSIP: 33767MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2307000 | PA      | $2301473.35   | 0.02%             | 2037-08-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                           | CSMC Mortgage-Backed Trust, Series 2007-5, Class 5A5                             | CUSIP: 22944BDC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172767 | PA      | $1.73         | 0.00%             | 2037-04-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-63, Class LB                                            | CUSIP: 31397UQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2062107 | PA      | $2012611.41   | 0.02%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-38, Class EA                                            | CUSIP: 313920QL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3854 | PA      | $3774.10      | 0.00%             | 2031-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-1A, Class A                                | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11733277 | PA      | $11877425.49  | 0.11%             | 2050-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1  | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 101677228 | PA      | $1247040.70   | 0.01%             | 2027-09-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2021-A, Class B                          | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2963026.20   | 0.03%             | 2031-12-22      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-71, Class NA                                                   | CUSIP: 38378TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28304 | PA      | $27458.70     | 0.00%             | 2041-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J2KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013842 | PA      | $980898.02    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5407, Class PA                                              | CUSIP: 3137HCM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8433423 | PA      | $8490436.19   | 0.08%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2024-1A, Class A                             | CUSIP: 588926AF2<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |  19511283 | PA      | $19661656.92  | 0.18%             | 2037-04-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                       | VStrong Auto Receivables Trust, Series 2023-A, Class A3                          | CUSIP: 92920CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1240405 | PA      | $1241453.20   | 0.01%             | 2027-11-15      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-127, Class AC                                           | CUSIP: 3136A9C89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104606 | PA      | $102186.46    | 0.00%             | 2027-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350470 | PA      | $335040.22    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5493, Class KV                                              | CUSIP: 3137HHXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12005382 | PA      | $12283343.08  | 0.12%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44043 | PA      | $44625.23     | 0.00%             | 2037-11-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class PL                                           | CUSIP: 3136AGVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466923 | PA      | $467696.44    | 0.00%             | 2043-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-64, Class PG                                            | CUSIP: 31392ER28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837985 | PA      | $864136.88    | 0.01%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                   | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6489308.80   | 0.06%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B                  | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3109258 | PA      | $3139887.55   | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3258, Class PM                                              | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173192 | PA      | $179106.46    | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3326, Class FG                                              | CUSIP: 31397JHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343535 | PA      | $340158.33    | 0.00%             | 2037-06-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust     | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3        | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8050000 | PA      | $8100754.45   | 0.08%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class B             | CUSIP: 02531BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5330000 | PA      | $5336966.31   | 0.05%             | 2027-12-13      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class B                                  | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16067000 | PA      | $15864255.35  | 0.15%             | 2026-05-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XDQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1977178 | PA      | $1945349.95   | 0.02%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4360, Class PZ                                              | CUSIP: 3137BCHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    975731 | PA      | $882970.09    | 0.01%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 6A1         | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66699 | PA      | $46289.02     | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ACB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2200936 | PA      | $2264060.05   | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2024-3A, Class C                   | CUSIP: 96043CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6836914.48   | 0.06%             | 2029-11-15      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-74, Class AT                                                   | CUSIP: 38381VV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388077 | PA      | $360352.23    | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A3                 | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12094710.00  | 0.11%             | 2028-04-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-7, Class DZ                                             | CUSIP: 3136B8LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636258 | PA      | $538567.15    | 0.01%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR1, Class B                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8230000 | PA      | $7727893.46   | 0.07%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5038000 | PA      | $5236535.69   | 0.05%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138EKZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43999 | PA      | $43761.76     | 0.00%             | 2027-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-1A, Class A2                         | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8940080 | PA      | $9015147.12   | 0.08%             | 2027-06-21      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K734, Class B                                  | CUSIP: 302977AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3378158.06   | 0.03%             | 2051-02-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 17                                               | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75976 | PA      | $8884.77      | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9872032.80   | 0.09%             | 2026-05-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO LLC                               | Southwick Park CLO LLC, Series 2019-4A, Class A1RR                               | CUSIP: 846031AU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4962000 | PA      | $4960536.21   | 0.05%             | 2032-07-20      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4302, Class MA                                              | CUSIP: 3137B8ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463873 | PA      | $457224.48    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3003, Class LD                                              | CUSIP: 31395W4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66106 | PA      | $67837.89     | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class A3           | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1056375 | PA      | $1057585.72   | 0.01%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class B                   | CUSIP: 80288DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3941340.39   | 0.04%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR2, Class B                                  | CUSIP: 33767PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9439319.70   | 0.09%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5427, Class DA                                              | CUSIP: 3137HDQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31853258 | PA      | $32256660.32  | 0.30%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class B                       | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3478707.28   | 0.03%             | 2029-03-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  22355000 | PA      | $22898881.05  | 0.21%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328615 | PA      | $321659.96    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H11, Class FA                                                  | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59038 | PA      | $59016.08     | 0.00%             | 2063-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H05, Class FT                                                  | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480829 | PA      | $481770.71    | 0.00%             | 2069-04-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XKQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8365938 | PA      | $8426329.57   | 0.08%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150081 | PA      | $153121.34    | 0.00%             | 2036-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PH98<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19485000 | PA      | $19769964.81  | 0.19%             | 2029-03-30      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-59, Class NZ                                            | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463878 | PA      | $479443.59    | 0.00%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A                | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  11899000 | PA      | $11507594.29  | 0.11%             | 2028-02-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-70, Class FA                                            | CUSIP: 31396QYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54969 | PA      | $55653.16     | 0.00%             | 2039-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7984 | PA      | $7910.03      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3863, Class ZA                                              | CUSIP: 3137AAYH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8332755 | PA      | $8639819.76   | 0.08%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FB                                                  | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50223 | PA      | $50226.98     | 0.00%             | 2061-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-A, Class A3                                  | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14927457 | PA      | $14969680.57  | 0.14%             | 2027-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5401, Class VD                                              | CUSIP: 3137HC7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15337192 | PA      | $15874909.27  | 0.15%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                       | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1383192.32   | 0.01%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  20930000 | PA      | $21822825.66  | 0.20%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2770000 | PA      | $2784786.73   | 0.03%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12000000 | PA      | $12317132.76  | 0.12%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-29, Class LC                                                   | CUSIP: 38380VEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35176 | PA      | $34833.14     | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EA                                            | CUSIP: 3136B8U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553081 | PA      | $472550.02    | 0.00%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-132, Class GJ                                                  | CUSIP: 38377YJC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17098 | PA      | $17089.11     | 0.00%             | 2026-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JAXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777406 | PA      | $694587.73    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                         | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6793979 | PA      | $6804433.54   | 0.06%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4301, Class UL                                              | CUSIP: 3137B8CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6140508 | PA      | $6009806.51   | 0.06%             | 2034-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4141, Class BI                                              | CUSIP: 3137AWZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766585 | PA      | $16013.96     | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5296, Class CA                                              | CUSIP: 3137H9SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8777845 | PA      | $8925007.33   | 0.08%             | 2042-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class B                                                 | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4960000 | PA      | $4798615.49   | 0.05%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5334, Class GA                                              | CUSIP: 3137HAHU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26527166 | PA      | $27049690.30  | 0.25%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699468 | PA      | $726191.34    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-103, Class BT                                           | CUSIP: 31394ULN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151217 | PA      | $151843.91    | 0.00%             | 2035-07-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 302, Class 350                                             | CUSIP: 31283AM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47900 | PA      | $47551.85     | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4774, Class LP                                              | CUSIP: 3137F4VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1966897 | PA      | $1922258.59   | 0.02%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class B                                   | CUSIP: 227927AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945000 | PA      | $4028809.95   | 0.04%             | 2030-08-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FK                                                  | CUSIP: 38376RAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4635768 | PA      | $4635590.98   | 0.04%             | 2065-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class C            | CUSIP: 10806EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6457576.69   | 0.06%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust          | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1             | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52492 | PA      | $52079.00     | 0.00%             | 2034-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-9, Class ZA                                             | CUSIP: 3136B33B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5680779 | PA      | $5161714.60   | 0.05%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-2, Class GA                                             | CUSIP: 3136ARBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1265030 | PA      | $1207717.36   | 0.01%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                           | PRM5 Trust, Series 2025-PRM5, Class A                                            | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655000 | PA      | $4646886.80   | 0.04%             | 2033-03-10      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                      | Nordea Bank Abp                                                                  | CUSIP: 65558RAC3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  19165000 | PA      | $19167181.55  | 0.18%             | 2025-09-22      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A4                 | CUSIP: 448988AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5029082.00   | 0.05%             | 2028-02-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                       | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15450000 | PA      | $15919873.13  | 0.15%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $10978183.65  | 0.10%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, 30 Year                                                                    | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23881 | PA      | $24105.73     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9670000 | PA      | $9557072.58   | 0.09%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4361, Class CA                                              | CUSIP: 3137BC3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84799 | PA      | $83601.56     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112889 | PA      | $116281.18    | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2024-SFR2, Class A                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11372962 | PA      | $11440716.90  | 0.11%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       341 | PA      | $340.25       | 0.00%             | 2025-11-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class D                     | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3438847.50   | 0.03%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 19                                               | CUSIP: 3136FCN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25196 | PA      | $4281.36      | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-58, Class BA                                                   | CUSIP: 38383XTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2907960 | PA      | $2928484.09   | 0.03%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-72, Class F                                             | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37287 | PA      | $37228.55     | 0.00%             | 2034-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class MF                                           | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186045 | PA      | $186388.71    | 0.00%             | 2038-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2020-SFR5, Class A                                            | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4748174 | PA      | $4715896.83   | 0.04%             | 2037-11-17      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                     | NMEF Funding LLC, Series 2023-A, Class A2                                        | CUSIP: 62890QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3234729 | PA      | $3256673.77   | 0.03%             | 2030-06-17      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16625000 | PA      | $16788194.33  | 0.16%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                            | CFIN 2022-RTL1 Issuer LLC, Class A                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  10783296 | PA      | $10783295.83  | 0.10%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350743 | PA      | $353562.41    | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2989, Class MU                                              | CUSIP: 31395VFH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539241 | PA      | $35513.32     | 0.00%             | 2034-07-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                     | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5100265.00   | 0.05%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A2                         | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17740000 | PA      | $17851057.72  | 0.17%             | 2028-10-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12007265 | PA      | $12411108.60  | 0.12%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C            | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6950000 | PA      | $7111260.85   | 0.07%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2059000 | PA      | $2015399.77   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class ZA                                            | CUSIP: 31397UXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598065 | PA      | $613175.96    | 0.01%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-9, Class B                                              | CUSIP: 3136AVWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1642818 | PA      | $1572913.21   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-3, Class C                   | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11606246 | PA      | $11612235.95  | 0.11%             | 2029-08-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7955000 | PA      | $7987938.63   | 0.07%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2023-2A, Class A1R                       | CUSIP: 69703FAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10705147 | PA      | $10695565.82  | 0.10%             | 2032-01-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289187 | PA      | $246927.25    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class DA                                           | CUSIP: 3136A84G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500748 | PA      | $1383137.17   | 0.01%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2023-AA, Class A                          | CUSIP: 56847FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14800000 | PA      | $14908127.32  | 0.14%             | 2035-10-22      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5433, Class B                                               | CUSIP: 3137HDP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8767162 | PA      | $8858053.40   | 0.08%             | 2051-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A7US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7685340 | PA      | $7557723.15   | 0.07%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                       | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973000 | PA      | $995834.07    | 0.01%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-31, Class UY                                            | CUSIP: 3136ANNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3426945 | PA      | $3273055.22   | 0.03%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       401 | PA      | $396.64       | 0.00%             | 2027-07-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140525 | PA      | $145715.80    | 0.00%             | 2036-03-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-C, Class A                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9267270 | PA      | $9075830.88   | 0.09%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR4, Class B                                            | CUSIP: 66982FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7297178.25   | 0.07%             | 2038-12-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-2, Class BA                                             | CUSIP: 3136BUYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17032064 | PA      | $17335110.41  | 0.16%             | 2050-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series FIX                                                | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14935000 | PA      | $15200834.04  | 0.14%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| VOLT CIII LLC                                        | VOLT CIII LLC, Series 2021-CF1, Class A1                                         | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6637041 | PA      | $6640254.33   | 0.06%             | 2051-08-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C             | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2154927.50   | 0.02%             | 2048-08-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K54, Class B                                   | CUSIP: 30288RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1490292.15   | 0.01%             | 2048-04-25      | Variable      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MQZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116723 | PA      | $115090.35    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126295 | PA      | $128419.96    | 0.00%             | 2037-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 277, Class 30                                              | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2073356 | PA      | $1877636.76   | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K506, Class A1  | CUSIP: 3137HAMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165651 | PA      | $1181942.51   | 0.01%             | 2028-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                       | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9381000 | PA      | $9422238.88   | 0.09%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431876 | PA      | $431875.60    | 0.00%             | 2038-04-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6579000 | PA      | $6626310.25   | 0.06%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4759, Class MA                                              | CUSIP: 3137FDJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32549 | PA      | $32013.33     | 0.00%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132HWAS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395866 | PA      | $382318.57    | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        95 | PA      | $95.11        | 0.00%             | 2027-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  22610000 | PA      | $23398177.59  | 0.22%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409X7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58308 | PA      | $59198.39     | 0.00%             | 2036-07-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3719, Class PJ                                              | CUSIP: 3137A1XE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8626025 | PA      | $8640077.28   | 0.08%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-101, Class AR                                           | CUSIP: 31394BE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3821 | PA      | $3849.54      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                       | Wheels Fleet Lease Funding LLC, Series 2024-1A, Class A1                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   9476454 | PA      | $9585175.10   | 0.09%             | 2039-02-18      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307M4Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144799 | PA      | $142148.30    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                          | Cherry Securitization Trust, Series 2024-1A, Class A                             | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12115000 | PA      | $12221581.71  | 0.11%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-23, Class CZ                                            | CUSIP: 3136AJ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6764523 | PA      | $6634035.58   | 0.06%             | 2034-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2021-3, Class D                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367023 | PA      | $366396.80    | 0.00%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2024-2A, Class A                                  | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8625000 | PA      | $8627339.10   | 0.08%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-43, Class AB                                                   | CUSIP: 38383XAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7763836 | PA      | $7891811.37   | 0.07%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-89, Class KE                                            | CUSIP: 3136AQZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36483 | PA      | $35106.54     | 0.00%             | 2031-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-49, Class GA                                            | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2050083 | PA      | $1683023.47   | 0.02%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  41073000 | PA      | $42761094.14  | 0.40%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5397, Class CA                                              | CUSIP: 3137HCEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10353563 | PA      | $10348706.13  | 0.10%             | 2052-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4318, Class KZ                                              | CUSIP: 3137B9CG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1915371 | PA      | $1876643.26   | 0.02%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2617, Class Z                                               | CUSIP: 31393RCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2064276 | PA      | $2138191.15   | 0.02%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                 | CUSIP: 06368LC53<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  10410000 | PA      | $10553309.47  | 0.10%             | 2026-12-11      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2020-4, Class A                          | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629786 | PA      | $626434.98    | 0.01%             | 2052-12-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23069 | PA      | $23689.30     | 0.00%             | 2037-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BD45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12214443 | PA      | $12149169.23  | 0.11%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                         | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2438588 | PA      | $2456297.38   | 0.02%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Upgrade Receivables Trust                            | Upgrade Receivables Trust, Series 2024-1A, Class A                               | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2492151 | PA      | $2493776.08   | 0.02%             | 2031-02-18      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  18395000 | PA      | $18405151.65  | 0.17%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H07, Class FA                                                  | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410298 | PA      | $410371.18    | 0.00%             | 2061-02-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-A, Class D                               | CUSIP: 12659WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3099783 | PA      | $3076168.07   | 0.03%             | 2029-04-16      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class A2                 | CUSIP: 80290CCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1922414 | PA      | $1952769.36   | 0.02%             | 2032-06-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-B, Class B                                   | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1852460 | PA      | $1814235.61   | 0.02%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M6T57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57698 | PA      | $62102.54     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490113 | PA      | $426669.61    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                                       | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910278 | PA      | $845366.12    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607LNG4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  17230000 | PA      | $17631448.83  | 0.17%             | 2028-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4120, Class KA                                              | CUSIP: 3137AVDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250189 | PA      | $238070.41    | 0.00%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2025-1, Class A                             | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3804354 | PA      | $3821651.92   | 0.04%             | 2028-09-15      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  12035000 | PA      | $12119117.43  | 0.11%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55545000 | PA      | $56000642.30  | 0.53%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417967 | PA      | $425522.36    | 0.00%             | 2037-08-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-147, Class NE                                           | CUSIP: 3136ABDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821609 | PA      | $789876.71    | 0.01%             | 2041-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4207, Class JD                                              | CUSIP: 3137B22F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35829 | PA      | $34900.20     | 0.00%             | 2028-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8928852 | PA      | $8789182.89   | 0.08%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8594000 | PA      | $8629999.41   | 0.08%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class MB                                            | CUSIP: 3136AFVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1610242 | PA      | $1476173.46   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3946, Class BU                                              | CUSIP: 3137AGHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14062 | PA      | $13975.39     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4020, Class N                                               | CUSIP: 3137AML47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10178 | PA      | $10081.44     | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-2, Class B                   | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8840000 | PA      | $8945703.42   | 0.08%             | 2031-05-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                       | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6365630.63   | 0.06%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FD                                                  | CUSIP: 38376RBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522601 | PA      | $522433.92    | 0.00%             | 2065-05-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class B                   | CUSIP: 96041CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11061998.20  | 0.10%             | 2028-09-15      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2048856 | PA      | $2027224.20   | 0.02%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXT77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10277522 | PA      | $10502740.93  | 0.10%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5501, Class EA                                              | CUSIP: 3137HJQE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20716406 | PA      | $21103350.85  | 0.20%             | 2049-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12341299 | PA      | $11737890.99  | 0.11%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class E1                                 | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1779431.40   | 0.02%             | 2026-05-17      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2021-AA, Class A                          | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15923000 | PA      | $15506134.27  | 0.15%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-41, Class GA                                            | CUSIP: 3136BSPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4694488 | PA      | $4733971.00   | 0.04%             | 2048-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2025-1A, Class A3                                | CUSIP: 92340GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11493379.16  | 0.11%             | 2033-05-12      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                       | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                       | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    732562 | PA      | $732328.35    | 0.01%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9633811 | PA      | $9422960.90   | 0.09%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H16, Class FL                                                  | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260575 | PA      | $260517.70    | 0.00%             | 2064-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-87, Class B                                             | CUSIP: 31398FH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625630 | PA      | $629058.24    | 0.01%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12000 | PA      | $12290.30     | 0.00%             | 2035-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class LD                                              | CUSIP: 3137AXUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361135 | PA      | $320899.53    | 0.00%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                        | Enel Finance International NV                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  11710000 | PA      | $12002433.01  | 0.11%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-70, Class HA                                            | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404206 | PA      | $397407.03    | 0.00%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5271, Class AC                                              | CUSIP: 3137H9FW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2551941 | PA      | $2564079.71   | 0.02%             | 2047-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-27, Class BF                                            | CUSIP: 31395BZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60855 | PA      | $60421.97     | 0.00%             | 2036-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55298 | PA      | $55003.57     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                         | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12545000 | PA      | $12551420.53  | 0.12%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class C                       | CUSIP: 36269HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4925000 | PA      | $4985236.69   | 0.05%             | 2029-12-17      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4936, Class AP                                              | CUSIP: 3137FQHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184450 | PA      | $171504.07    | 0.00%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28985000 | PA      | $29288821.35  | 0.27%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4425, Class TA                                              | CUSIP: 3137BG4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260024 | PA      | $216994.77    | 0.00%             | 2045-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4215, Class NA                                              | CUSIP: 3137B34Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67176 | PA      | $65717.07     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3960, Class PL                                              | CUSIP: 3137AJGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2678150 | PA      | $2634624.87   | 0.02%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291368 | PA      | $265886.27    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-107, Class ZD                                           | CUSIP: 31393T5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772245 | PA      | $805611.59    | 0.01%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850890 | PA      | $1850033.06   | 0.02%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1  | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63186700 | PA      | $433365.98    | 0.00%             | 2027-08-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-88, Class ER                                            | CUSIP: 3136AMCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32949 | PA      | $31976.52     | 0.00%             | 2036-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H09, Class FN                                                  | CUSIP: 38376RTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1062369 | PA      | $1065681.49   | 0.01%             | 2066-03-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A                       | CUSIP: 224927AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036744 | PA      | $1040448.45   | 0.01%             | 2033-03-15      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                    | CarVal CLO Ltd., Series 2018-1A, Class AR                                        | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14018406 | PA      | $14034975.97  | 0.13%             | 2031-07-16      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K62, Class B                                   | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5436663.65   | 0.05%             | 2050-01-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class PA                                            | CUSIP: 3136ACAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748580 | PA      | $650972.04    | 0.01%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XKNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5057430 | PA      | $5193135.38   | 0.05%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4749, Class ZL                                              | CUSIP: 3137FCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13946244 | PA      | $12729521.83  | 0.12%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3            | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   6616000 | PA      | $6655668.87   | 0.06%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2015-CR26, Class B                             | CUSIP: 12593QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1961247.00   | 0.02%             | 2048-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2023-1A, Class A                             | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   6297767 | PA      | $6340816.80   | 0.06%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J9DL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7988851 | PA      | $7945340.59   | 0.07%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-75, Class AC                                                   | CUSIP: 38378J4L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263199 | PA      | $256020.04    | 0.00%             | 2028-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-65, Class PA                                            | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128355 | PA      | $117548.57    | 0.00%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-14, Class PA                                            | CUSIP: 3136A4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95710 | PA      | $92132.78     | 0.00%             | 2041-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-139, Class PE                                                  | CUSIP: 38380HEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3217120 | PA      | $2790722.89   | 0.03%             | 2047-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                            | FHF Trust, Series 2023-1A, Class A2                                              | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2876686 | PA      | $2900893.51   | 0.03%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3872 | PA      | $3909.13      | 0.00%             | 2037-07-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                       | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16800000 | PA      | $17013351.60  | 0.16%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-86, Class PE                                            | CUSIP: 31398FSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1795430 | PA      | $1840765.89   | 0.02%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EM                                            | CUSIP: 3136B8V63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500625 | PA      | $432435.23    | 0.00%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-1, Class B             | CUSIP: 02528DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10625000 | PA      | $10666435.38  | 0.10%             | 2029-03-12      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-1A, Class A                            | CUSIP: 43283CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3137461 | PA      | $3181551.79   | 0.03%             | 2042-05-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-69, Class L                                             | CUSIP: 3136AE4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9731960 | PA      | $9389919.17   | 0.09%             | 2033-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7920000 | PA      | $8395071.70   | 0.08%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class D             | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561000 | PA      | $2592816.58   | 0.02%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class KV                                            | CUSIP: 3136AUGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2032339 | PA      | $1999270.64   | 0.02%             | 2044-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A3                 | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817000 | PA      | $4863161.79   | 0.05%             | 2028-01-18      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLEB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798000 | PA      | $3841136.09   | 0.04%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8703000 | PA      | $8653561.39   | 0.08%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class LB                                            | CUSIP: 3136AFUQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30028 | PA      | $28974.98     | 0.00%             | 2043-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 15 Year                                                                  | CUSIP: 3622A2LJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69 | PA      | $68.69        | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4952, Class PA                                              | CUSIP: 3137FR4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1041991 | PA      | $898538.41    | 0.01%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  18495000 | PA      | $18907279.81  | 0.18%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3704, Class CZ                                              | CUSIP: 3137A0XN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000489 | PA      | $964386.78    | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |  18155000 | PA      | $18479554.76  | 0.17%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017DAF5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  28810000 | PA      | $29049793.12  | 0.27%             | 2028-03-27      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                     | FHF Issuer Trust, Series 2024-3A, Class A2                                       | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27003378 | PA      | $27146066.96  | 0.25%             | 2030-11-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J9TK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362154 | PA      | $323510.00    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H21, Class FA                                                  | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36270 | PA      | $36327.76     | 0.00%             | 2061-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  20970000 | PA      | $21514319.97  | 0.20%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2021-2A, Class B                                | CUSIP: 67578AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2824524 | PA      | $2806593.53   | 0.03%             | 2028-09-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2326, Class ZQ                                              | CUSIP: 3133TTX48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40232 | PA      | $41058.54     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5444, Class BC                                              | CUSIP: 3137HFCP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8936676 | PA      | $8997337.26   | 0.08%             | 2049-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-71, Class JT                                            | CUSIP: 31398FAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122323 | PA      | $129346.69    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                      | NYMT Loan Trust, Series 2024-BPL3, Class A1                                      | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6995163.70   | 0.07%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4190850 | PA      | $4240303.86   | 0.04%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444000 | PA      | $1468297.96   | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138X5R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4181203 | PA      | $4089451.26   | 0.04%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                         | Bain Capital Credit CLO Ltd., Series 2021-7A, Class A1R                          | CUSIP: 05682NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24088000 | PA      | $24002728.48  | 0.23%             | 2035-01-22      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-61, Class PE                                            | CUSIP: 31396WWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1784795 | PA      | $1851639.74   | 0.02%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                     | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6337621.88   | 0.06%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class WB                                           | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4367815 | PA      | $4222687.99   | 0.04%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3775, Class DB                                              | CUSIP: 3137A4UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154420 | PA      | $153653.77    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132LNYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2870382 | PA      | $2732656.90   | 0.03%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-83, Class CA                                            | CUSIP: 31397MXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322379 | PA      | $342868.52    | 0.00%             | 2038-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-41, Class CA                                            | CUSIP: 3136ANZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327749 | PA      | $314006.44    | 0.00%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257891 | PA      | $254975.10    | 0.00%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-80, Class EB                                            | CUSIP: 3136A7VD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41919 | PA      | $41732.65     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513068 | PA      | $549131.88    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DTT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12081273 | PA      | $12381360.33  | 0.12%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31410LQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218517 | PA      | $219313.69    | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-154, Class MW                                           | CUSIP: 31398SY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2417298 | PA      | $2372605.53   | 0.02%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7778946 | PA      | $8053969.59   | 0.08%             | 2048-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J8X40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7641890 | PA      | $7478298.38   | 0.07%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9AZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1576928 | PA      | $1576622.80   | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-59, Class HB                                            | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791756 | PA      | $809549.44    | 0.01%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class B                           | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18230417 | PA      | $17663281.55  | 0.17%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class D                  | CUSIP: 80290CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2331944 | PA      | $2359491.16   | 0.02%             | 2032-06-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-100, Class P                                            | CUSIP: 3136AUG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45972 | PA      | $44952.40     | 0.00%             | 2044-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2922326 | PA      | $2919475.40   | 0.03%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ABMG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19664866 | PA      | $20413727.63  | 0.19%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179R3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5406261 | PA      | $5236903.11   | 0.05%             | 2031-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 394, Class C3                                               | CUSIP: 3136FGDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183057 | PA      | $29666.09     | 0.00%             | 2038-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2953, Class PG                                              | CUSIP: 31395PMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178952 | PA      | $186073.48    | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5421, Class EA                                              | CUSIP: 3137HCZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12010920 | PA      | $12224789.24  | 0.11%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138MBWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12739 | PA      | $12567.79     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-99, Class AF                                            | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62964 | PA      | $62503.89     | 0.00%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A1                        | CUSIP: 69690EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11933586 | PA      | $11953514.93  | 0.11%             | 2032-08-08      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3305, Class IW                                              | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175722 | PA      | $9275.99      | 0.00%             | 2037-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDS0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   9495000 | PA      | $9804421.45   | 0.09%             | 2029-02-28      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3636, Class MZ                                              | CUSIP: 31398WFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2327316 | PA      | $2391871.37   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                   | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAK7<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  24200000 | PA      | $24210693.74  | 0.23%             | 2026-09-14      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                         | Dext ABS LLC, Series 2025-1, Class A3                                            | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13625000 | PA      | $13752668.98  | 0.13%             | 2035-08-15      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4080, Class DA                                              | CUSIP: 3137ARRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132674 | PA      | $127787.62    | 0.00%             | 2041-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1837 | NC      | $-954054.07   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Diamond Resorts Owner Trust                          | Diamond Resorts Owner Trust, Series 2021-1A, Class B                             | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183706 | PA      | $183383.61    | 0.00%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-203, Class HA                                                  | CUSIP: 38385BVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14830269 | PA      | $15400616.99  | 0.14%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XK7C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7851893 | PA      | $7738402.98   | 0.07%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31374VCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $32.51        | 0.00%             | 2025-10-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706900 | PA      | $645078.50    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  24600000 | PA      | $25714518.50  | 0.24%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179X4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1557363 | PA      | $1618673.81   | 0.02%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4129, Class AP                                              | CUSIP: 3137AVYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181442 | PA      | $176836.32    | 0.00%             | 2027-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-2, Class A3                                 | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6958368.09   | 0.07%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class FM                                           | CUSIP: 31396YAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99248 | PA      | $99430.90     | 0.00%             | 2038-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25134 | PA      | $25774.08     | 0.00%             | 2037-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2023-3, Class C                               | CUSIP: 33846BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2550000 | PA      | $2597305.05   | 0.02%             | 2029-07-16      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                       | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4056119.60   | 0.04%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-3, Class C             | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5416000 | PA      | $5457703.20   | 0.05%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14630000 | PA      | $15012609.32  | 0.14%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-29, Class A                                             | CUSIP: 3136BVS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8551672 | PA      | $8642244.76   | 0.08%             | 2050-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8270974 | PA      | $8093301.04   | 0.08%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1052353 | PA      | $1021421.53   | 0.01%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class B                                   | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4504389.75   | 0.04%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2963, Class ZG                                              | CUSIP: 31395TPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283601 | PA      | $291251.41    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-65, Class DZ                                                   | CUSIP: 38380B7B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2820594 | PA      | $2393614.81   | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class D                                  | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12638744.30  | 0.12%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A2                 | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4725131 | PA      | $4742442.44   | 0.04%             | 2060-03-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-5, Class PA                                             | CUSIP: 31394B5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125488 | PA      | $124510.49    | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-37, Class BC                                            | CUSIP: 3136B17E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217977 | PA      | $206694.86    | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7835260 | PA      | $7700530.18   | 0.07%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XCV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6033298 | PA      | $5875462.27   | 0.06%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A4                         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5081665.00   | 0.05%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                  | Bank of New Zealand                                                              | CUSIP: 06407EAG0<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |  15120000 | PA      | $15386365.71  | 0.14%             | 2028-02-07      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                          | SBNA Auto Receivables Trust, Series 2024-A, Class D                              | CUSIP: 78437PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2066010.80   | 0.02%             | 2030-04-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4206, Class DZ                                              | CUSIP: 3137B2FF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538748 | PA      | $512129.74    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -430 | NC      | $-135101.70   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FA                                                  | CUSIP: 38376RCB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1248814 | PA      | $1247919.63   | 0.01%             | 2065-06-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                       | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7869273.56   | 0.07%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class C                   | CUSIP: 64830RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10692503.80  | 0.10%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3420, Class EI                                              | CUSIP: 31397RE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1542943 | PA      | $77173.55     | 0.00%             | 2037-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3934, Class KB                                              | CUSIP: 3137AG7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394243 | PA      | $406013.85    | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-3A, Class C                     | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6415539 | PA      | $6451246.98   | 0.06%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FN                                              | CUSIP: 3137AY3P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208692 | PA      | $207348.23    | 0.00%             | 2041-07-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-64, Class DM                                            | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304689 | PA      | $308327.49    | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A            | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88829 | PA      | $87414.42     | 0.00%             | 2043-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DNM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6255412 | PA      | $6408224.78   | 0.06%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  13755000 | PA      | $13977036.37  | 0.13%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656717 | PA      | $662589.54    | 0.01%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4840000 | PA      | $4910951.50   | 0.05%             | 2028-08-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3160000 | PA      | $3114610.08   | 0.03%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89527 | PA      | $91300.94     | 0.00%             | 2036-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class FA                                            | CUSIP: 3136AVPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143564 | PA      | $142293.15    | 0.00%             | 2047-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                  | Carlyle US CLO Ltd., Series 2021-9A, Class AR                                    | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18500000 | PA      | $18500000.00  | 0.17%             | 2034-10-20      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36206W5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       103 | PA      | $103.43       | 0.00%             | 2026-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4922, Class GE                                              | CUSIP: 3137FNXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612395 | PA      | $542020.41    | 0.01%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-43, Class HJ                                            | CUSIP: 31398RCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111795 | PA      | $116861.33    | 0.00%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-139, Class NY                                           | CUSIP: 3136AAMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970359 | PA      | $991768.99    | 0.01%             | 2042-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70388 | PA      | $70004.71     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-81, Class HE                                            | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992341 | PA      | $1036763.77   | 0.01%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class A                | CUSIP: 82650DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6189510 | PA      | $6257940.56   | 0.06%             | 2041-06-20      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                       | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1858000 | PA      | $1869670.84   | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class JA                                            | CUSIP: 3136B7NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93244 | PA      | $83672.76     | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-33, Class MA                                            | CUSIP: 3136B44U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333142 | PA      | $327851.48    | 0.00%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4199, Class YZ                                              | CUSIP: 3137B2BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3081531 | PA      | $2922972.05   | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                | Nomura Holdings, Inc.                                                            | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  20765000 | PA      | $20303260.74  | 0.19%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-33, Class MS                                            | CUSIP: 31396VGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697281 | PA      | $66983.00     | 0.00%             | 2037-04-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| CarVal CLO VC Ltd.                                   | CarVal CLO VC Ltd., Series 2021-2A, Class A                                      | CUSIP: 14687MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1105000 | PA      | $1106600.04   | 0.01%             | 2034-10-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-2A, Class A                            | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11430000 | PA      | $11467753.29  | 0.11%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                       | DTE Energy Co.                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  20225000 | PA      | $20737730.85  | 0.19%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-45, Class GA                                            | CUSIP: 3136APET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84230 | PA      | $83357.47     | 0.00%             | 2041-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-131, Class KV                                                  | CUSIP: 38384EYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3624618 | PA      | $3732902.01   | 0.04%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417EEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173013 | PA      | $169876.16    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2018-K79, Class B                                   | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7910956.00   | 0.07%             | 2051-07-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-66, Class PF                                            | CUSIP: 31394EKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48723 | PA      | $48328.55     | 0.00%             | 2035-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 218                                                        | CUSIP: 3128CVUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48198 | PA      | $42904.65     | 0.00%             | 2032-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36202KXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315 | PA      | $314.33       | 0.00%             | 2026-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P1, Class A4                         | CUSIP: 14688EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3561901.00   | 0.03%             | 2029-01-10      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5504, Class DV                                              | CUSIP: 3137HJDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11520939 | PA      | $11853603.81  | 0.11%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710551 | PA      | $746227.17    | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  73455000 | PA      | $74401880.49  | 0.70%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-8, Class CA                                             | CUSIP: 3136ARRU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6303274 | PA      | $6055041.23   | 0.06%             | 2031-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  17770000 | PA      | $17206651.91  | 0.16%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-90, Class ZU                                            | CUSIP: 31394BVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    614648 | PA      | $649018.18    | 0.01%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3609, Class SA                                              | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949336 | PA      | $62310.92     | 0.00%             | 2039-12-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class C                                                 | CUSIP: 30322DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4837053.50   | 0.05%             | 2038-09-17      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623832 | PA      | $641052.86    | 0.01%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14025000 | PA      | $14174851.37  | 0.13%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4074, Class PA                                              | CUSIP: 3137ASLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133570 | PA      | $132000.71    | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HJL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169844 | PA      | $163160.95    | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2020-3, Class A                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479120 | PA      | $474166.30    | 0.00%             | 2053-08-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2987578 | PA      | $3095147.28   | 0.03%             | 2030-06-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class B            | CUSIP: 10806EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4015017.20   | 0.04%             | 2030-08-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                     | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6460000 | PA      | $6502473.85   | 0.06%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A4                         | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3312081.18   | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |  32680000 | PA      | $32706410.67  | 0.31%             | 2027-10-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2024-2A, Class A                                                 | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6907912 | PA      | $6914535.54   | 0.06%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-115, Class E                                                   | CUSIP: 38384CB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13117222 | PA      | $13217803.35  | 0.12%             | 2057-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-42, Class CI                                            | CUSIP: 31393BUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85911 | PA      | $8765.90      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-A, Class A3                        | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15539000 | PA      | $15701952.83  | 0.15%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82672 | PA      | $84588.41     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109839 | PA      | $116086.63    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2024-1, Class A                             | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965876 | PA      | $970186.88    | 0.01%             | 2027-11-15      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4492, Class BW                                              | CUSIP: 3137BKNY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314410 | PA      | $2249746.54   | 0.02%             | 2035-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-102, Class PZ                                           | CUSIP: 3136B0EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2491062 | PA      | $2099215.36   | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                      | Reach ABS Trust, Series 2025-1A, Class A                                         | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3659208 | PA      | $3666339.70   | 0.03%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4620                                                        | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188931 | PA      | $24759.78     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4550, Class NA                                              | CUSIP: 3137BN2R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166267 | PA      | $164476.94    | 0.00%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2784 | PA      | $2791.61      | 0.00%             | 2030-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87505 | PA      | $87926.30     | 0.00%             | 2036-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346649 | PA      | $295993.22    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-141, Class MA                                           | CUSIP: 3136A26C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15326 | PA      | $15241.88     | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   5645000 | PA      | $5834235.53   | 0.05%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24862 | PA      | $25246.35     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5549, Class CV                                              | CUSIP: 3137HLSL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5404943 | PA      | $5494011.06   | 0.05%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding Trust                                | Oportun Funding Trust, Series 2024-3, Class A                                    | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7146768 | PA      | $7151304.05   | 0.07%             | 2029-08-15      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   8935000 | PA      | $9094890.48   | 0.09%             | 2028-02-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Structured Pass-Through Securities Certificates, Series T-20, Class A6     | CUSIP: 3133TMFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $249.91       | 0.00%             | 2029-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527425 | PA      | $523615.58    | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-46, Class FW                                            | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160550 | PA      | $159527.29    | 0.00%             | 2036-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329865 | PA      | $325088.43    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KKR Static CLO Ltd.                                  | KKR Static CLO Ltd., Series 2022-1A, Class AR2                                   | CUSIP: 48255QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13898844 | PA      | $13912492.40  | 0.13%             | 2031-07-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                         | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7789521.60   | 0.07%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class A3                         | CUSIP: 14687QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6027726 | PA      | $6045036.21   | 0.06%             | 2028-03-10      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10702534.86  | 0.10%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117922 | PA      | $118629.95    | 0.00%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-102, Class IB                                           | CUSIP: 3136A8SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543730 | PA      | $10584.13     | 0.00%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-137, Class DT                                                  | CUSIP: 38379GHY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6722801 | PA      | $6298071.37   | 0.06%             | 2044-09-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  21890000 | PA      | $21931885.64  | 0.21%             | 2026-02-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-26, Class CG                                            | CUSIP: 3136AR5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24181112 | PA      | $23351489.15  | 0.22%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418ASX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593921 | PA      | $528856.46    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13850000 | PA      | $13724099.07  | 0.13%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-183, Class A                                                   | CUSIP: 38384HAA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6747841 | PA      | $6731794.34   | 0.06%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4505000 | PA      | $4664608.50   | 0.04%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2018-K733, Class C                                  | CUSIP: 30297MAU4<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6973169.70   | 0.07%             | 2025-09-25      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                   | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7072000 | PA      | $7234832.09   | 0.07%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401904 | PA      | $412423.40    | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-6, Class HD                                             | CUSIP: 3136ABU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285816 | PA      | $254743.98    | 0.00%             | 2042-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class QG                                            | CUSIP: 31392F4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183535 | PA      | $189026.44    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-16, Class FC                                            | CUSIP: 31394V5L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38066 | PA      | $37769.71     | 0.00%             | 2036-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H13, Class FG                                                  | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69871 | PA      | $69785.10     | 0.00%             | 2065-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113539 | PA      | $1089250.41   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class AR2              | CUSIP: 64133RAU0<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |  14000000 | PA      | $14006076.00  | 0.13%             | 2036-10-20      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FC                                                  | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    784577 | PA      | $787666.09    | 0.01%             | 2066-02-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-81, Class NC                                            | CUSIP: 3136AFN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135044 | PA      | $133695.58    | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-144, Class DB                                                  | CUSIP: 38384WTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7532371 | PA      | $7736097.41   | 0.07%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498716 | PA      | $484078.68    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5487, Class DV                                              | CUSIP: 3137HHMC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10436242 | PA      | $10764165.67  | 0.10%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3844, Class FA                                              | CUSIP: 3137A8VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162984 | PA      | $161877.37    | 0.00%             | 2041-04-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10087988 | PA      | $9620289.00   | 0.09%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329PNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7844107 | PA      | $7726578.60   | 0.07%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2020-1A, Class A                                                 | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    604776 | PA      | $589575.61    | 0.01%             | 2037-10-20      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  20220000 | PA      | $20505955.89  | 0.19%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR6, Class 4A1 | CUSIP: 65535VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181232 | PA      | $278764.86    | 0.00%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-14, Class AC                                            | CUSIP: 31398MEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78354 | PA      | $77828.83     | 0.00%             | 2030-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W3C6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  30055000 | PA      | $30336658.03  | 0.28%             | 2029-05-09      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class C                             | CUSIP: 924933AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1544487.00   | 0.01%             | 2028-11-15      | Fixed         | 8.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3656, Class PM                                              | CUSIP: 31398VLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1609101 | PA      | $1660605.16   | 0.02%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H16, Class FM                                                  | CUSIP: 38376REA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1149587 | PA      | $1149422.49   | 0.01%             | 2065-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKEF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12677 | PA      | $12954.65     | 0.00%             | 2037-08-01      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                | TCI-Flatiron CLO Ltd., Series 2018-1A, Class AR2                                 | CUSIP: 87232CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13000000 | PA      | $13000000.00  | 0.12%             | 2035-07-29      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-59, Class HZ                                                   | CUSIP: 38377FXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    981787 | PA      | $984979.42    | 0.01%             | 2040-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2020-M10, Class X1                                             | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53708492 | PA      | $3067694.79   | 0.03%             | 2030-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-133, Class WA                                           | CUSIP: 3136AHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045189 | PA      | $1020867.81   | 0.01%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3005, Class PV                                              | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       601 | PA      | $626.17       | 0.00%             | 2033-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                | NextEra Energy Capital Holdings, Inc.                                            | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   7435000 | PA      | $7435000.00   | 0.07%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $16746328.04  | 0.16%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-4, Class B                   | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817000 | PA      | $825322.62    | 0.01%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                               | Standard Chartered plc                                                           | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  33120000 | PA      | $33796310.40  | 0.32%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8934740 | PA      | $8984096.97   | 0.08%             | 2029-11-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458298 | PA      | $474540.77    | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class B                                  | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4970360.00   | 0.05%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                             | LCM Ltd., Series 34A, Class A1R                                                  | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15000000.00  | 0.14%             | 2034-10-20      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478453 | PA      | $481395.19    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-37, Class CY                                            | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33499 | PA      | $34296.55     | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class JP                                            | CUSIP: 3136AUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530944 | PA      | $474190.74    | 0.00%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10311817 | PA      | $10257628.52  | 0.10%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class B            | CUSIP: 107933AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5520527.65   | 0.05%             | 2028-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                              | Symphony CLO Ltd., Series 2020-23A, Class AR2                                    | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |  21780360 | PA      | $21745772.29  | 0.20%             | 2034-01-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-3A, Class A                             | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10777811.82  | 0.10%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                   | Dryden CLO Ltd., Series 2019-68A, Class ARR                                      | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999406.00   | 0.02%             | 2035-07-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A2                         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2348757 | PA      | $2350304.52   | 0.02%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X5XF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1837342 | PA      | $1777118.47   | 0.02%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-84, Class BA                                                   | CUSIP: 38384NTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18573705 | PA      | $18761727.00  | 0.18%             | 2045-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132D57M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2995011 | PA      | $2620197.63   | 0.02%             | 2036-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31297KUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43885 | PA      | $45565.03     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2736, Class PE                                              | CUSIP: 31394PJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1951832 | PA      | $1998255.84   | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2020-86A, Class A1R2                                     | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10006240.00  | 0.09%             | 2034-07-17      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class B                                | CUSIP: 67571BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6348000 | PA      | $6394347.38   | 0.06%             | 2029-07-20      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                              | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7073000 | PA      | $7251489.98   | 0.07%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97693 | PA      | $97604.92     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                      | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3974301 | PA      | $4009328.72   | 0.04%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224932 | PA      | $228800.95    | 0.00%             | 2034-08-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1963663 | PA      | $1913141.55   | 0.02%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13532857.65  | 0.13%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  11975000 | PA      | $12109746.05  | 0.11%             | 2027-01-23      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3855535 | PA      | $3884914.61   | 0.04%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R003, Class ZA                                    | CUSIP: 31396C3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18445362 | PA      | $19302704.32  | 0.18%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H16, Class CF                                                  | CUSIP: 38375UF21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2961734 | PA      | $2961297.75   | 0.03%             | 2067-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2025-A, Class A2                                  | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3012668.40   | 0.03%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                | BlueMountain CLO Ltd., Series 2021-32A, Class AR                                 | CUSIP: 09631EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27118000 | PA      | $27089878.63  | 0.25%             | 2034-10-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-28, Class JE                                            | CUSIP: 3136ANVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19778582 | PA      | $19142425.58  | 0.18%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-83, Class KP                                                   | CUSIP: 38382GDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245939 | PA      | $218926.03    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                       | VStrong Auto Receivables Trust, Series 2023-A, Class B                           | CUSIP: 92920CAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5375000 | PA      | $5476295.10   | 0.05%             | 2030-02-15      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class ZG                                            | CUSIP: 3136B1HM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466961 | PA      | $1341123.06   | 0.01%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349068 | PA      | $1201290.14   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                               | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98186 | PA      | $96890.63     | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-51, Class KC                                            | CUSIP: 3136APJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161759 | PA      | $156158.72    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S47F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114082 | PA      | $117632.84    | 0.00%             | 2038-01-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-137, Class BA                                           | CUSIP: 3136AHSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119416 | PA      | $115528.94    | 0.00%             | 2029-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A                | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  22865000 | PA      | $22708960.09  | 0.21%             | 2027-02-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210982 | PA      | $207217.45    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K735, Class B                                  | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15980000 | PA      | $15840897.30  | 0.15%             | 2026-05-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2022-SFR6, Class B                            | CUSIP: 74334DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4023132.40   | 0.04%             | 2039-07-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6389217 | PA      | $6252632.06   | 0.06%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H22, Class FA                                                  | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1926047 | PA      | $1929810.38   | 0.02%             | 2066-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720974 | PA      | $1732883.01   | 0.02%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478983 | PA      | $468381.85    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M67C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450612 | PA      | $451405.78    | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H20, Class BA                                                  | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74195 | PA      | $74287.79     | 0.00%             | 2062-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-1A, Class D                                     | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1993000 | PA      | $2028082.78   | 0.02%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3585, Class KW                                              | CUSIP: 31398K5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    998387 | PA      | $1000658.43   | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                        | Voya CLO Ltd., Series 2018-1A, Class A2                                          | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4505503.50   | 0.04%             | 2031-04-19      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AD2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1721786 | PA      | $1739384.31   | 0.02%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class B                          | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1526404.20   | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4646, Class JV                                              | CUSIP: 3137BUEU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5528097 | PA      | $5472538.42   | 0.05%             | 2036-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-9, Class CB                                             | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9141101 | PA      | $9438368.21   | 0.09%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4675, Class EZ                                              | CUSIP: 3137BXN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1739515 | PA      | $1569417.51   | 0.01%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-42, Class B                                             | CUSIP: 3136BQMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15375618 | PA      | $15705712.59  | 0.15%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2021-1A, Class A                                | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   5624076 | PA      | $5329889.30   | 0.05%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                   | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4888928.00   | 0.05%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XRYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22670216 | PA      | $23251580.28  | 0.22%             | 2044-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EM6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237581 | PA      | $238985.06    | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4423, Class VN                                              | CUSIP: 3137BFGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518542 | PA      | $515142.29    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3952, Class BQ                                              | CUSIP: 3137AHWJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740973 | PA      | $1597014.00   | 0.01%             | 2041-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                       | Hertz Vehicle Financing LP, Series 2021-2A, Class B                              | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3526886.23   | 0.03%             | 2027-12-27      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3013, Class HZ                                              | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449060 | PA      | $459582.48    | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer