# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000035402-26-002591
**Filing Date:** 2026-4
**Character Count:** 176008
**Document Hash:** 22cec186ba9f901f962d01c3958abde0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002591.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002591

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260831

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 26895405

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-02-28

**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:** $149317814.45

**Total Liabilities:** $19327310.04

**Net Assets:** $129990504.41

**Delayed Delivery Securities:** $10365408.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 623.17612165 | **1-Year:** 11975.16214365 | **5-Year:** 13441.74558978 | **10-Year:** 2841.36145645 | **30-Year:** 1499.16119712

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

- **3-Month:** 11.33311082 | **1-Year:** 103.66558182 | **5-Year:** 93.58075124 | **10-Year:** 6.19403509 | **30-Year:** 1.06600171

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000250211 | 0.42%                | 0.44%                | 0.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $17814.24                | $2985.09                                   |
| Month 2  | $55021.84                | $-49338.45                                 |
| Month 3  | $38494.22                | $461976.52                                 |

**Designated Index Information**

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

- **Index Identifier:** 82982688

### Schedule of Portfolio Investments

| Name                                                          | Title                                                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fidelity Revere Street Trust                                  | Fidelity Cash Central Fund                                                              | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   5930863 | NS      | $5932049.09   | 4.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                     | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                                     | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168367 | PA      | $167885.66    | 0.13%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24               | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                       | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    138049 | PA      | $137330.39    | 0.11%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                        | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                           | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102000 | PA      | $101779.72    | 0.08%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                               | JPMCC COML MTG SECS TR 2016-JP4 3.4743% 12/15/2049                                      | CUSIP: 46645UAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53037 | PA      | $52870.86     | 0.04%             | 2049-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                        | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                             | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169000 | PA      | $167464.18    | 0.13%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                       | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                               | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448077 | PA      | $442979.31    | 0.34%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                       | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                           | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409763 | PA      | $405922.64    | 0.31%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C1                                       | UBS COML MTG TR 2017-C1 3.196% 06/15/2050                                               | CUSIP: 90276EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8852 | PA      | $8775.01      | 0.01%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                | BANK 2017-BNKS 3.131% 06/15/2060                                                        | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23532 | PA      | $23298.34     | 0.02%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 A3 3.203% 09/15/2050                        | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $395973.28    | 0.30%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                        | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $198501.10    | 0.15%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017                      | CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050                                         | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99159.64     | 0.08%             | 2050-10-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                | BANK 2017-BNK8 A3 3.229% 11/15/2050                                                     | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147580 | PA      | $145410.76    | 0.11%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C5                                       | UBS COML MTG TR 2017-C5 3.345% 11/15/2050                                               | CUSIP: 90276TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62517 | PA      | $62035.44     | 0.05%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                        | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $198656.92    | 0.15%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX11 COML MTG TR                                   | CSAIL 2018-CX11 A5 COML MTG TR VAR 04/15/2051                                           | CUSIP: 12652UAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1197490.20   | 0.92%             | 2051-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                      | BENCHMARK 2018-B4 MTG TR 4.059% 07/15/2051                                              | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11909 | PA      | $11916.28     | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                              | WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051                                   | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50012.07     | 0.04%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                      | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150037.05    | 0.12%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                      | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                          | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130001 | PA      | $129853.35    | 0.10%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX12 COML MTG TR                                   | CSAIL 2018-CX12 COML MTG TR 3.9585% 08/15/2051                                          | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498785.70    | 0.38%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                      | BENCHMARK 2018-B7 A4 4.51% 05/15/2053                                                   | CUSIP: 08162TBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $302274.30    | 0.23%             | 2053-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                      | BENCHMARK 2018-B7 MTG TR 4.241% 11/15/2051                                              | CUSIP: 08162TBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1101432.53   | 0.85%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                        | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                 | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $286925.09    | 0.22%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                                 | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                          | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1905000 | PA      | $1920646.72   | 1.48%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                          | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                             | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $596026.80    | 0.46%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-H7                               | MORGAN STANLEY CAP I TR 2019-H7 A4 3.261% 07/15/2052                                    | CUSIP: 61771MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $584108.28    | 0.45%             | 2052-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                     | BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052                                            | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $145127.00    | 0.11%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C51                              | WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052                                   | CUSIP: 95001VAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66380 | PA      | $65467.14     | 0.05%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                      | GS MTG SECS CORP TR 2019 3.16% 07/10/2052                                               | CUSIP: 36257HBP0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $144738.84    | 0.11%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                | CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028                                         | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $793635.84    | 0.61%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                               | BANK 2019-BNK20 2.6% 10/17/2052                                                         | CUSIP: 06540BBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260724 | PA      | $1206619.51   | 0.93%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2019-2                               | ONEMAIN FINL ISSUANCE TR 2019-2 3.14% 10/14/2036 144A                                   | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $593670.30    | 0.46%             | 2036-10-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                   | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                                     | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1385686.65   | 1.07%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                            | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 3.0352% 12/15/2052                               | CUSIP: 90278PBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $191621.78    | 0.15%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                               | BANK 2020-BNK26 2.313% 03/15/2063                                                       | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656820 | PA      | $638786.44    | 0.49%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020               | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                      | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $176008.04    | 0.14%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 08/01/2035#MA4099                                                        | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244642 | PA      | $234075.55    | 0.18%             | 2035-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                                 | DBJPM 2020-C9 1.926% 08/15/2053                                                         | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $272395.71    | 0.21%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 01/01/2036#SB8083                                                        | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12302 | PA      | $11252.98     | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 12/01/2035#MA4205                                                        | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12503 | PA      | $11464.76     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C58                              | WELLS FARGO COML MTG TR 2020-C58 ASB 1.849% 07/15/2053                                  | CUSIP: 95002UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    744584 | PA      | $715176.21    | 0.55%             | 2053-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 03/01/2036#                                                              | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13980 | PA      | $12788.19     | 0.01%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 12/01/2040#MA4202                                                        | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324071 | PA      | $280663.16    | 0.22%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2% 04/01/2036#SB8098                                                          | CUSIP: 3132D57K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12882 | PA      | $12030.34     | 0.01%             | 2036-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                         | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                             | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1330000 | PA      | $1325486.91   | 1.02%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2% 10/01/2035#RC1599                                                          | CUSIP: 3133L7X44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188755 | PA      | $176630.81    | 0.14%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 06/36#SB8106                                                             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14751 | PA      | $13470.34     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 04/01/2036#MA4302                                                        | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69091 | PA      | $63092.99     | 0.05%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 04/01/2036#SB8097                                                        | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83941 | PA      | $76653.17     | 0.06%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                   | MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054                                          | CUSIP: 61692CBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $109384.75    | 0.08%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1               | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A                   | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $985737.10    | 0.76%             | 2034-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 02/01/2036#FM5367                                                        | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12694 | PA      | $11611.71     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                         | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                  | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99812.50     | 0.08%             | 2036-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                             | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                      | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545247 | PA      | $545076.59    | 0.42%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 06/01/2036#MA4359                                                        | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166855 | PA      | $152369.06    | 0.12%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                             | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                                     | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $45605.33     | 0.04%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                        | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $503776.72    | 0.39%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 02/01/2042#MA4540                                                          | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392091 | PA      | $349005.46    | 0.27%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                        | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                     | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $69978.13     | 0.05%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                               | BINOM SECURITIZATION TRUST 2022 A1 VAR 02/25/2061 144A                                  | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    968011 | PA      | $921730.55    | 0.71%             | 2061-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C14                                 | BBCMS Mortgage Trust 2022-C14 ASB 2.901% 02/15/2055                                     | CUSIP: 07336AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $183012.24    | 0.14%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029                                         | CUSIP: 3137H5YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $288358.14    | 0.22%             | 2029-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 09/01/2030#AL7320                                                          | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128569 | PA      | $126941.59    | 0.10%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                        | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                        | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465903 | PA      | $465903.38    | 0.36%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 04/01/2041#RB5107                                                        | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172731 | PA      | $149051.91    | 0.11%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 02/01/2041#RB5099                                                        | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333140 | PA      | $288083.96    | 0.22%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 01/01/2041#MA4231                                                        | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80755 | PA      | $69889.34     | 0.05%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2023-1                              | TOWD POINT MORTGAGE TRUST 2023-1 A1 3.75% 01/25/2063 144A                               | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1272538 | PA      | $1244168.99   | 0.96%             | 2063-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                 | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                     | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    435270 | PA      | $436929.95    | 0.34%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                               | BANK 2023-BNK45 5.203% 02/15/2056                                                       | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $103707.68    | 0.08%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 02/01/2036#SB8088                                                        | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12617 | PA      | $11540.96     | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                   | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249845.88    | 0.19%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1                       | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 5.5% 06/14/2038 144A                            | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1035992.00   | 0.80%             | 2038-06-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1               | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A                   | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $308678.19    | 0.24%             | 2035-04-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2023-2                                      | DELL EQUIP FIN TR 2023-2 5.65% 01/22/2029 144A                                          | CUSIP: 24703GAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21325 | PA      | $21350.03     | 0.02%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A                                  | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115000 | PA      | $115492.33    | 0.09%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 2023-1 A2 SOFR30A+115 06/15/2028 144A                  | CUSIP: 361886CS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $400855.16    | 0.31%             | 2028-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 09/01/2036#FM8733                                                          | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668062 | PA      | $624524.34    | 0.48%             | 2036-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                             | CHASE ISSUANCE TR 5.16% 09/15/2028                                                      | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    374000 | PA      | $376750.66    | 0.29%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                     | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                         | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     61730 | PA      | $62378.58     | 0.05%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2023-RPL1                            | BRAVO RESIDENTIAL FDG TR 2023-RPL1 A1 5% 05/25/2063 144A                                | CUSIP: 10569GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     67417 | PA      | $68183.73     | 0.05%             | 2063-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                                  | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     69794 | PA      | $70560.28     | 0.05%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                       | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40496 | PA      | $40627.40     | 0.03%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                    | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                             | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    811905 | PA      | $821499.91    | 0.63%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                            | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                               | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    449885 | PA      | $447136.35    | 0.34%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                       | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $70000.00     | 0.05%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                     | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                        | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503000 | PA      | $518802.05    | 0.40%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-1                        | CITIZENS AUTO RECEIVABLES TRUST 2024-1 5.11% 04/17/2028 144A                            | CUSIP: 17331QAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151279 | PA      | $152039.98    | 0.12%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2043                                            | CUSIP: 3137FVHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    489283 | PA      | $474176.82    | 0.36%             | 2043-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                       | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359632 | PA      | $359632.41    | 0.28%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                       | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                  | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186210 | PA      | $186209.67    | 0.14%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                             | CHASE ISSUANCE TR VAR 01/16/2029                                                        | CUSIP: 161571HV9<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100785.58    | 0.08%             | 2029-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2024-REV1                               | FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A                                      | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $412155.80    | 0.32%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                        | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                 | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85666 | PA      | $85665.59     | 0.07%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                               | WELLS FARGO CARD ISSUANCE TRUST 4.94% 02/15/2029                                        | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $404629.44    | 0.31%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                       | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                                | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122257 | PA      | $122295.34    | 0.09%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                            | AVIS BUDGET RENTCAR FDG AE LLC 24-3A A 5.23% 12/20/2030 144A                            | CUSIP: 05377RJK1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $518320.35    | 0.40%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                               | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                                | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    484492 | PA      | $476387.43    | 0.37%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 5.13% 03/15/2029 144A                                  | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1013670.20   | 0.78%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 5.06% 03/15/2031 144A                                  | CUSIP: 361886DF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1382000 | PA      | $1431683.31   | 1.10%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                  | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                             | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327962 | PA      | $328064.86    | 0.25%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 24-1                             | DELL EQUIPMENT FINANCE TRUST 24-1 5.39% 03/22/2030 144A                                 | CUSIP: 24702GAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    561933 | PA      | $565639.29    | 0.44%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    555150 | PA      | $561345.93    | 0.43%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                | AMERICAN EXPRESS CR ACC MST TR 5.23% 04/15/2029                                         | CUSIP: 02582JKH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $636016.38    | 0.49%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                             | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                 | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28305 | PA      | $28375.58     | 0.02%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                      | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                        | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165644 | PA      | $165747.38    | 0.13%             | 2041-05-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                                    | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $406421.60    | 0.31%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                              | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                                   | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $408295.56    | 0.31%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                  | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                      | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41084 | PA      | $41350.09     | 0.03%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                  | ARI FLEET LEASE TRUST 2024-B 5.26% 04/15/2033 144A                                      | CUSIP: 04033HAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    896000 | PA      | $913370.93    | 0.70%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 10/01/2035#FM4516                                                          | CUSIP: 3140X8AS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180577 | PA      | $168977.85    | 0.13%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 11/01/2035#QN4142                                                        | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16197 | PA      | $14851.43     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 05/01/2036#BR1069                                                        | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14416 | PA      | $13164.76     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 06/01/2036#BR2059                                                        | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14488 | PA      | $13230.53     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 04/01/2036#FM6100                                                        | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727691 | PA      | $664514.46    | 0.51%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                       | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     66162 | PA      | $66533.61     | 0.05%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORDO 2024-B                                                  | FORDO 2024-B 5.1% 04/15/2029                                                            | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342000 | PA      | $345580.64    | 0.27%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                        | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                  | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $75607.82     | 0.06%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                         | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                             | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76216 | PA      | $76628.92     | 0.06%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-1174.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY562346 11/18/64 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     99863 | NC      | $-42.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                              | KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A                                  | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1623584.64   | 1.25%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8857                                                          | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82691 | PA      | $85143.95     | 0.07%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                            | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                               | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96154 | PA      | $95435.88     | 0.07%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                         | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                             | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253278.05    | 0.19%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                     | MFRA TRUST VAR 02/25/2066 144A                                                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83310 | PA      | $80637.05     | 0.06%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC                    | AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC 2024-2A A2 5.19% 07/21/2031 144A             | CUSIP: 03238BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    455405 | PA      | $461691.54    | 0.36%             | 2031-07-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                     | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                         | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    152889 | PA      | $154079.35    | 0.12%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                              | EQT TR 2024-EXTR A VAR 07/05/2041 144A                                                  | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1025253.00   | 0.79%             | 2041-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                              | DLLMT 2024-1 LLC 4.84% 08/21/2028 144A                                                  | CUSIP: 23347AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $755974.58    | 0.58%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                              | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                     | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104506.37    | 0.08%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                            | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                  | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49222 | PA      | $49101.43     | 0.04%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1174.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.455 08/29/2029                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $6667.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.455 08/29/2029                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $4901.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 02/01/2036#CA9140                                                          | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54792 | PA      | $51221.51     | 0.04%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                  | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                      | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2974 | PA      | $2980.06      | 0.00%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                          | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                               | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170929 | PA      | $170929.17    | 0.13%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-B                         | AFFIRM ASSET SECURITIZATION TR 2024-B A 4.62% 09/15/2029 144A                           | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320000 | PA      | $320841.63    | 0.25%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2349.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                             | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                 | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55310 | PA      | $54607.58     | 0.04%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                | FORD CR FLOORPLN MAST OWN TR A 4.3% 09/15/2029 144A                                     | CUSIP: 34528QJK1<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1007714.70   | 0.78%             | 2029-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                         | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                             | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50000 | PA      | $50553.66     | 0.04%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                              | CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A                                                  | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    353748 | PA      | $349389.64    | 0.27%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                              | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                          | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99869.81     | 0.08%             | 2041-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                              | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                          | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100034.78    | 0.08%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                            | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                               | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    158364 | PA      | $156918.09    | 0.12%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                        | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                            | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17070 | PA      | $17103.64     | 0.01%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                  | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                      | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       470 | PA      | $469.68       | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO CARD ISSUANCE TRUST                               | WELLS FARGO CARD ISSUANCE TRUST 4.29% 10/15/2029                                        | CUSIP: 92970QAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $111095.48    | 0.09%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                       | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                         | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $720132.35    | 0.55%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 3.805 11/05/29                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9633.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 3.805 11/05/29                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $8358.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP REC 3.87 11/07/29                                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $10067.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP PAY 3.87 11/07/29                                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $8011.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $524895.31    | 0.40%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                               | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                          | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74705 | PA      | $74681.97     | 0.06%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                          | VERIZON MASTER TRUST 4.62% 11/20/2030                                                   | CUSIP: 92348KDM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1305000 | PA      | $1325239.90   | 1.02%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                            | PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    436010 | PA      | $429716.07    | 0.33%             | 2054-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 11/01/2036#FM9724                                                          | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13908 | PA      | $12973.29     | 0.01%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                      | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736293 | PA      | $736523.52    | 0.57%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-1174.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                      | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A        | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100125.08    | 0.08%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 10/01/2036#FS9362                                                        | CUSIP: 3140XRML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168051 | PA      | $154091.06    | 0.12%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                      | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    157767 | PA      | $161009.94    | 0.12%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2% 08/01/2036#RC2193                                                          | CUSIP: 3133L8NJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90445 | PA      | $84890.16     | 0.07%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 07/01/2036#FM7881                                                          | CUSIP: 3140XBXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46718 | PA      | $43848.39     | 0.03%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/20/2054#MB0092                                                          | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82590 | PA      | $83831.92     | 0.06%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 6% 07/01/2039#SB1215                                                          | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98168 | PA      | $101683.60    | 0.08%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051                 | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    180256 | PA      | $149351.65    | 0.11%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                         | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     85201 | PA      | $80081.51     | 0.06%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 01/01/2055#CB9828                                                        | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127638 | PA      | $135493.67    | 0.10%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                          | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                              | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    700000 | PA      | $708517.88    | 0.55%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                              | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                                  | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85000 | PA      | $86850.42     | 0.07%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                           | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                                    | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18506 | PA      | $18553.38     | 0.01%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                        | REACH ABS TRUST 2025-1 4.96% 08/16/2032 144A                                            | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    253451 | PA      | $254137.12    | 0.20%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS EQUIPMENT FINANCE LLC 2025-A                          | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A                              | CUSIP: 06764MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    299702 | PA      | $301450.37    | 0.23%             | 2028-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A                | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A                    | CUSIP: 81378RAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      5701 | PA      | $5762.14      | 0.00%             | 2031-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                            | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                         | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1058567.30   | 0.81%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                        | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                             | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85642 | PA      | $86397.11     | 0.07%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                         | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                             | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44104 | PA      | $44366.34     | 0.03%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                  | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                                    | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26486 | PA      | $26510.41     | 0.02%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                   | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     62394 | PA      | $63222.34     | 0.05%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                   | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    149203 | PA      | $151022.19    | 0.12%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                   | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    123939 | PA      | $124828.61    | 0.10%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                       | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    130591 | PA      | $131654.71    | 0.10%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | USTN TII 2.375% 02/15/2055                                                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $384788.98    | 0.30%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                            | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                  | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160067 | PA      | $159866.48    | 0.12%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                            | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                      | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21472 | PA      | $21418.67     | 0.02%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                            | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                         | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585609 | PA      | $584148.36    | 0.45%             | 2030-03-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                           | AFFIRM MASTER TRUST 4.99% 02/15/2033 144A                                               | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235000 | PA      | $237224.44    | 0.18%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    500000 | NC      | $-5873.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY885799 12/15/56 S                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $-3524.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A          | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027                   | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118217 | PA      | $118428.54    | 0.09%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                   | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                       | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120753 | PA      | $120971.12    | 0.09%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                   | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                       | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170223 | PA      | $170505.64    | 0.13%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                  | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                      | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87751 | PA      | $88047.60     | 0.07%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1   | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A       | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128019 | PA      | $128414.17    | 0.10%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU 25-12 CTF SOFR30A+140 03/25/2055                                 | CUSIP: 3136BVFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    154247 | PA      | $155738.35    | 0.12%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-2349.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1   | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A       | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $151806.57    | 0.12%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                        | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                            | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84290 | PA      | $84712.44     | 0.07%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                        | CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A                                            | CUSIP: 12515XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253917.10    | 0.20%             | 2032-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1               | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A                    | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $256176.35    | 0.20%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                  | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                       | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $254401.13    | 0.20%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A          | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.68% 05/15/2030                   | CUSIP: 98164PAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $253018.33    | 0.19%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-N1                           | CARVANA AUTO RECEIVABLES TR 2025-N1 A3 4.91% 08/10/2029 144A                            | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100823.09    | 0.08%             | 2029-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                              | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                                  | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100953.02    | 0.08%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                 | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120701 | PA      | $122583.22    | 0.09%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                           | CARVANA AUTO RECEIVABLES TR 2025-P1 4.98% 05/12/2031                                    | CUSIP: 14689MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $206586.68    | 0.16%             | 2031-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                           | DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A                                               | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1460000 | PA      | $1476267.32   | 1.14%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.87% 05/15/2031                          | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $202552.10    | 0.16%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 4.79% 03/15/2029 144A                                  | CUSIP: 361886DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100701.40    | 0.08%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 1.5% 04/01/2036#MA4321                                                        | CUSIP: 31418DYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449208 | PA      | $408664.68    | 0.31%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                           | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                                  | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1477452.48   | 1.14%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                        | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                    | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90664 | PA      | $90777.54     | 0.07%             | 2040-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP REC 3.94 03/21/30                                                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $13998.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP PAY 3.94 03/21/30                                                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $11100.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 12/01/2036#FS4058                                                        | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97399 | PA      | $93191.99     | 0.07%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                         | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                             | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $688351.86    | 0.53%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                              | BANK5 2025-5YR14 5.646% 04/15/2058                                                      | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $210940.34    | 0.16%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-1174.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                      | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                          | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $303622.68    | 0.23%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP REC 4.03 04/25/30                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $7447.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP PAY 4.03 04/25/30                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    200000 | NC      | $5400.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                        | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                          | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18861 | PA      | $18885.35     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 5.5% 03/01/2040#FA1061                                                        | CUSIP: 3140W1FB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779766 | PA      | $802545.24    | 0.62%             | 2040-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                        | AFFIRM ASSET SECURITIZATION TR 2025-X1 5.19% 04/15/2030 144A                            | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $400782.80    | 0.31%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 03/01/2037#FS7773                                                          | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19670 | PA      | $18376.21     | 0.01%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.065 05/02/30                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $43185.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.065 05/02/30                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1620000 | NC      | $61829.57     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                        | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                            | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201434.28    | 0.15%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                  | VERUS 2025-4 A1 5.448% 05/25/2070 144A                                                  | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    167081 | PA      | $168820.91    | 0.13%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                                   | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    212965 | PA      | $216077.02    | 0.17%             | 2053-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.01 05/07/30                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $11310.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.01 05/07/30                                                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    410000 | NC      | $15109.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                  | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                        | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    111343 | PA      | $111499.21    | 0.09%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                               | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                   | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53205 | PA      | $53308.20     | 0.04%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                          | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                             | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85442 | PA      | $86538.47     | 0.07%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                            | BRAVO RESIDENTIAL FDG TR 2025-NQM5 A1 VAR 02/25/2065 144A                               | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112126 | PA      | $113346.56    | 0.09%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                           | ALA TRUST 2025-OANA A VAR 06/15/2040 144A                                               | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141000 | PA      | $141707.40    | 0.11%             | 2040-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                       | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $43595.00     | 0.03%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                            | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                                     | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101759.14    | 0.08%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                               | VERD 2025-1A A2 4.85% 03/13/2028 144A                                                   | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85668 | PA      | $86035.89     | 0.07%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                             | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                                  | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1184650 | PA      | $1197504.90   | 0.92%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 02/01/2037#SB1503                                                        | CUSIP: 3132CXU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2686536 | PA      | $2450359.28   | 1.89%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                             | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    426788 | PA      | $431161.25    | 0.33%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                                | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                                  | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    406923 | PA      | $411332.59    | 0.32%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    600000 | NC      | $-7048.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                                 | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                                     | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100585.88    | 0.08%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                                | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                            | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     93051 | PA      | $91766.31     | 0.07%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                   | SCLP 2025-2 4.82% 06/25/2034 144A                                                       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    202229 | PA      | $203300.14    | 0.16%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                  | WESTF 2025-A 5.582% 06/15/2050 144A                                                     | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    244082 | PA      | $249922.80    | 0.19%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY873248 04/17/65 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    150000 | NC      | $-25110.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                       | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A                           | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1019062.60   | 0.78%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                           | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    187167 | PA      | $188443.74    | 0.14%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                           | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    131893 | PA      | $133109.94    | 0.10%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885802 12/15/56 S                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $-13303.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                                   | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    169116 | PA      | $170072.79    | 0.13%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                            | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                               | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    163246 | PA      | $164070.51    | 0.13%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                   | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                                   | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46040 | PA      | $45333.53     | 0.03%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CY873248 04/17/65 S                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-16740.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                          | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                              | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102514.01    | 0.08%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2055#CC0730                                                          | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194275 | PA      | $200455.06    | 0.15%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                          | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                                | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571000 | PA      | $10270.57     | 0.01%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                                    | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67333 | PA      | $70398.55     | 0.05%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                      | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                       | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    462997 | PA      | $453406.39    | 0.35%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                           | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                               | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63685 | PA      | $63976.19     | 0.05%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 4.41% 05/18/2040 144A                                  | CUSIP: 96328GCK1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |   2300000 | PA      | $2322893.05   | 1.79%             | 2040-05-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                         | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1505000 | PA      | $1517088.46   | 1.17%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                     | DLLAD LLC 4.42% 09/20/2030 144A                                                         | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $101598.21    | 0.08%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                            | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                                 | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     47811 | PA      | $47924.89     | 0.04%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                             | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                                   | CUSIP: 08164RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $14685.40     | 0.01%             | 2058-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+53 06/25/2030                                    | CUSIP: 3137HMCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $299882.52    | 0.23%             | 2030-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                 | SCG 2025-FLWR 5.65% 08/15/2030 144A                                                     | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002494.30   | 0.77%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                 | BHG 2025-2CON 4.84% 09/17/2036 144A                                                     | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1816247 | PA      | $1845355.40   | 1.42%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $397129.69    | 0.31%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                             | OBX 2025-NQM14 STEP 08/25/2064 144A                                                     | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    419946 | PA      | $422947.53    | 0.33%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                            | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2220420.40   | 1.71%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORDR 2025-2                                                  | FORDR 2025-2 STEP 02/15/2038 144A                                                       | CUSIP: 34536BAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | PA      | $1741375.79   | 1.34%             | 2038-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 08/01/2055#RJ4642                                                          | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192783 | PA      | $201934.91    | 0.16%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                                 | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                                     | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1100000 | PA      | $1102988.92   | 0.85%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR16                                              | BANK5 2025-5YR16 VAR 08/15/2063                                                         | CUSIP: 065934BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $17703.60     | 0.01%             | 2063-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                             | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                                 | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     62926 | PA      | $63103.15     | 0.05%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-B41 MTG TR                                     | BENCHMARK 2025-B41 MTG TR 5.40721% 07/15/2068                                           | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $318560.85    | 0.25%             | 2068-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                               | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1625000 | PA      | $1626349.56   | 1.25%             | 2040-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                       | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030                                 | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145000 | PA      | $146169.64    | 0.11%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                       | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.39% 09/17/2029                                | CUSIP: 30167KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170000 | PA      | $170921.37    | 0.13%             | 2029-09-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                      | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                          | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $509278.70    | 0.39%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054                                | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    693893 | PA      | $697877.34    | 0.54%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                        | CARMAX SELECT RECEIVABLES TRUST 2025-B 4.12% 03/15/2030                                 | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1004979.10   | 0.77%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                           | WORLD OMNI SELECT AUTO TRUST 2025-A 4.08% 08/15/2031                                    | CUSIP: 98164UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40000 | PA      | $40210.77     | 0.03%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                           | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                               | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1007439.40   | 0.78%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP REC 3.853 09/16/30                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $12881.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP PAY 3.853 09/16/30                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    400000 | NC      | $12541.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.853 09/16/30                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    540000 | NC      | $16914.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.853 09/16/30                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    540000 | NC      | $17373.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                              | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                           | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $14971.88     | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US ULTRA BOND CBT FUT JUN26 WNM6                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         2 | NC      | $3496.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 10YR NOTE FUT (CBT)JUN26 TYM6                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -23 | NC      | $-17522.14    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO 2025-5C12 MTG TR                                          | BMO 2025-5C12 MTG TR VAR 10/15/2058                                                     | CUSIP: 09663VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $97622.12     | 0.08%             | 2058-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 5YR NOTE (CBT) FUT JUN26 FVM6                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -16 | NC      | $-9277.56     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 2YR NOTE (CBT) FUT JUN26 TUM6                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       142 | NC      | $42848.54     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                          | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $645806.25    | 0.50%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                          | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                       | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $25046.83     | 0.02%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 08/01/2055#RJ4643                                                          | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169838 | PA      | $177795.04    | 0.14%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 03/01/2056 #TBA                                                            | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -600000 | PA      | $-607725.54   | -0.47%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 03/01/2056 #TBA                                                            | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $658369.34    | 0.51%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 15YR 4.5% 03/01/2041 #TBA                                                          | CUSIP: 01F042434<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    950000 | PA      | $953748.04    | 0.73%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 15YR 5% 03/01/2041 #TBA                                                            | CUSIP: 01F050437<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4725000 | PA      | $4796797.79   | 3.69%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 15YR 5% 03/01/2041 #TBA                                                            | CUSIP: 01F050437<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3275000 | PA      | $-3324764.61  | -2.56%            | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6.5% 03/01/2056 #TBA                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $51923.83     | 0.04%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6.5% 03/01/2056 #TBA                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -50000 | PA      | $-51923.83    | -0.04%            | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 A3 4.4% 12/16/2030                       | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40000 | PA      | $40226.74     | 0.03%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                      | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                            | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102070.47    | 0.08%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                | CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030                                         | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100499.83    | 0.08%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                            | PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A                                               | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    919724 | PA      | $921213.99    | 0.71%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST 2025-2                                  | HPEFS EQUIPMENT TRUST 2025-2A A3 4.5% 11/22/2032 144A                                   | CUSIP: 442927AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $501979.75    | 0.39%             | 2032-11-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                                 | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                                     | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003111.80   | 0.77%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 4.67% 03/15/2032                         | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1009963.90   | 0.78%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                | CARMAX AUTO OWNER TRUST 2025-4 4.42% 07/15/2031                                         | CUSIP: 14320HAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1017623.10   | 0.78%             | 2031-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 TR                                             | OBX 2025-NQM19 TR VAR 10/25/2065 144A                                                   | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    940437 | PA      | $943400.83    | 0.73%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                  | RCKTL 2025-2 4.6% 11/25/2034 144A                                                       | CUSIP: 74939HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002692.60   | 0.77%             | 2034-11-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                  | RCKTL 2025-2 4.48% 11/25/2034 144A                                                      | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70358 | PA      | $70428.57     | 0.05%             | 2034-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+70 09/25/2052                                    | CUSIP: 3136BNY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    273095 | PA      | $271534.13    | 0.21%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                            | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    190000 | PA      | $190812.86    | 0.15%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                      | ONSLOW BAY FINANCIAL LLC VAR 10/25/2065 144A                                            | CUSIP: 67126GAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187328 | PA      | $188392.81    | 0.14%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.874 10/28/30                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9504.17      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.874 10/28/30                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    300000 | NC      | $9808.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST III                            | WILLIS ENGINE STRUCTURED TRUST III VAR 08/15/2042 144A                                  | CUSIP: 97063QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    632972 | PA      | $630847.70    | 0.49%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 04/01/2056 #TBA                                                            | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $607092.72    | 0.47%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 15YR 5% 04/01/2041 #TBA                                                            | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3275000 | PA      | $3322845.46   | 2.56%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 03/01/2038#FA2621                                                          | CUSIP: 3140W24F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652568 | PA      | $610039.56    | 0.47%             | 2038-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 10/01/2036#FA2627                                                        | CUSIP: 3140W24M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561894 | PA      | $513112.19    | 0.39%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                           | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $79862.50     | 0.06%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 3.5% 11/15/2028                                                               | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1070000 | PA      | $1073051.17   | 0.83%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                                | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                               | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $155607.65    | 0.12%             | 2057-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                   | OCWEN LOAN INVESTMENT TRUST 25-HB2 A VAR 11/25/2038 144A                                | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74482 | PA      | $72195.72     | 0.06%             | 2038-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-CA A3 4.41% 04/20/2029 144A | CUSIP: 85855EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2517841.25   | 1.94%             | 2029-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 4.66% 01/20/2039 144A                                       | CUSIP: 588926AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $110921.88    | 0.09%             | 2039-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 5.03% 01/20/2039 144A                                       | CUSIP: 588926AM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1214936.04   | 0.93%             | 2039-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/28                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -5325000 | NC      | $-12688.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 03/18/33                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1810000 | NC      | $-15999.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/30                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -1154000 | NC      | $-9266.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 03/18/29                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -4026000 | NC      | $-24531.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032                                   | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $201881.46    | 0.16%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-2 LLC                                           | DEXT ABS 2025-2 A3 LLC 4.31% 04/15/2036 144A                                            | CUSIP: 252153AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100331.33    | 0.08%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                              | BANK5 2025-5YR19 XB VAR 12/15/2030                                                      | CUSIP: 05494RBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $28605.20     | 0.02%             | 2058-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE SECURITIZATION TRUST 2025-B                     | WILLIS ENGINE SECURITIZATION TRUST 2025-B A 0% 12/15/2050 144A                          | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    248192 | PA      | $250916.22    | 0.19%             | 2050-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                            | BMO MORTGAGE TRUST 5.3161% 12/15/2058                                                   | CUSIP: 09664JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1249835.64   | 0.96%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C 4.13% 12/20/2029 144A     | CUSIP: 85855EAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1512108.45   | 1.16%             | 2029-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1                  | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1A A3 4.41% 07/16/2029 144A                  | CUSIP: 96043BAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1502696.55   | 1.16%             | 2029-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERSUS SECURITIZATION TR 2026-1                               | VERSUS SECURITIZATION TR 2026-1 STEP 01/25/2071 144A                                    | CUSIP: 92541JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    990603 | PA      | $992029.81    | 0.76%             | 2071-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2026-1A                                          | REACH ABS TR 2026-1A B 0% 02/15/2033 144A                                               | CUSIP: 75526XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $300576.39    | 0.23%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC                                 | VCAT ASSET SECURITIZATION LLC VAR 01/25/2056 144A                                       | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $797771.52    | 0.61%             | 2056-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                              | SOFI CONSUMER LOAN PROGRAM TRUST 4.81% 12/26/2035 144A                                  | CUSIP: 83408AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $251846.68    | 0.19%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                              | SOFI CONSUMER LOAN PROGRAM TRUST 4.37% 12/26/2035 144A                                  | CUSIP: 83408AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000584.80   | 0.77%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2026-1                                                  | CARMX 2026-1 A3 4.38% 03/17/2031                                                        | CUSIP: 14320XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201609.46    | 0.16%             | 2031-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2026-1                       | EXETER AUTOMOBILE RECEIVABLES TR 2026-1A A3 4.17% 03/15/2030                            | CUSIP: 30168HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25000 | PA      | $25060.91     | 0.02%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                              | DLLMT 2026-1 LLC 4.37% 07/20/2028 144A                                                  | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $75104.76     | 0.06%             | 2028-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                              | DLLMT 2026-1 LLC 4.44% 12/20/2029 144A                                                  | CUSIP: 23347JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40000 | PA      | $40278.61     | 0.03%             | 2029-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                         | PEAC SOLUTIONS RECEIVABLES 2026-1 LLC 4.65% 07/20/2033 144A                             | CUSIP: 704583AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15000 | PA      | $15156.67     | 0.01%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                         | PEAC SOLUTIONS RECEIVABLES 2026-1A A2 LLC 4.49% 10/20/2028 144A                         | CUSIP: 704583AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75000 | PA      | $75181.28     | 0.06%             | 2028-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFF 2026-1                                                    | EFF 2026-1 A3 4.42% 03/20/2030 144A                                                     | CUSIP: 29376JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100878.49    | 0.08%             | 2030-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                               | EXTENDED STAY AMER TR 2026-ESH2 A TSFR1M+130 02/15/2043 144A                            | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000 | PA      | $143044.69    | 0.11%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                               | EXTENDED STAY AMERICA TRUST 2026-ESH B TSFR1M+155 02/15/2043 144A                       | CUSIP: 30227WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $15028.13     | 0.01%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030                                    | CUSIP: 3137HPUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1699838 | PA      | $1699837.20   | 1.31%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2026-1                               | AUTONATION FINANCE TRUST 2026-1A A3 4.23% 08/12/2030 144A                               | CUSIP: 05330WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65000 | PA      | $65363.10     | 0.05%             | 2030-08-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2026-R1                               | VERUS SECURITIZATION TR 2026-R1 A1FC VAR 10/25/2067 144A                                | CUSIP: 924932AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    394993 | PA      | $396213.38    | 0.30%             | 2067-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP REC 3.964 01/26/27                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1300000 | NC      | $55562.49     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                            | JPSW SWAP PAY 3.964 01/26/27                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1300000 | NC      | $17074.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2026-V20 MTG TR                                     | BENCHMARK 2026-V20 MTG TR 5.228% 02/15/2059                                             | CUSIP: 08164KAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $208633.08    | 0.16%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3                     | CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 4.7579% 02/10/2043 144A                       | CUSIP: 228920AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101217.11    | 0.08%             | 2043-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPTN 2026-A                                                   | OPTN 2026-A A 0% 01/09/2034 144A                                                        | CUSIP: 68390VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100320.00    | 0.08%             | 2034-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY562348 11/18/64 S                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-24993.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                              | BANK5 2026-5YR20 A3 5.244% 02/15/2057                                                   | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1349360.09   | 1.04%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY562349 11/18/64 S                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $-15113.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TR 2026-A                                   | NISSAN AUTO LEASE TR 2026-A A3 4.3% 03/15/2029                                          | CUSIP: 65481HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55000 | PA      | $55096.73     | 0.04%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2026-1A                             | KUBOTA CREDIT OWNER TRUST 2026-1A A3 0% 05/15/2030 144A                                 | CUSIP: 50118HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $200679.78    | 0.15%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 A3 4.18% 07/15/2030                       | CUSIP: 80288FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85000 | PA      | $85178.80     | 0.07%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                        | CARMAX SELECT RECEIVABLES TRUST 2026-A 4.56% 05/17/2032                                 | CUSIP: 142929AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70000 | PA      | $70195.66     | 0.05%             | 2032-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                        | CARMAX SELECT RECEIVABLES TRUST 2026-A A2A 4.37% 12/17/2029                             | CUSIP: 142929AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115000 | PA      | $115016.35    | 0.09%             | 2029-12-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1              | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 4.05% 08/20/2029 144A                  | CUSIP: 81885FAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100069.92    | 0.08%             | 2029-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1              | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A A3 4.13% 07/21/2031 144A              | CUSIP: 81885FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100309.34    | 0.08%             | 2031-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 B 4.49% 04/15/2032                        | CUSIP: 80288FAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $501634.55    | 0.39%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC                                 | VCAT ASSET SECURITIZATION LLC STEP 02/25/2056 144A                                      | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $999999.10    | 0.77%             | 2056-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS ISSUER LLC 2026-SBP                                   | BARINGS ISSUER LLC 2026-SBP 4.82% 02/25/2059                                            | CUSIP: 06764UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100137.08    | 0.08%             | 2059-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer