# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0001752724-25-149945
**Filing Date:** 2025-6
**Character Count:** 166543
**Document Hash:** e746545def68982ed0d091f331228e06
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-149945.hdr.sgml**: 20250620

**ACCESSION NUMBER**: 0001752724-25-149945

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250620

**DATE AS OF CHANGE**: 20250620

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 251060659

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Securitized Income ETF (Series ID: S000082930)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000246278 | Janus Henderson Securitized Income ETF | JSI             |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Securitized Income ETF

- **b. EDGAR series identifier (if any):** S000082930

- **c. LEI of Series:** 213800ILCSKNDETKIU60

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1064010920.38

**Total Liabilities:** $372471208.76

**Net Assets:** $691539711.62

**Delayed Delivery Securities:** $11547666.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2402.72840828 | **1-Year:** -46387.34922983 | **5-Year:** -93657.16444801 | **10-Year:** -83924.89472049 | **30-Year:** -25533.75807943

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

- **3-Month:** -1744.47690677 | **1-Year:** -33661.09605386 | **5-Year:** -32630.34289076 | **10-Year:** -20512.69267339 | **30-Year:** -4043.92385823

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246278 | 1.17%                | 0.08%                | 0.39%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1535519.12              | $2465491.95                                |
| Month 2  | $1630475.57              | $-4707811.71                               |
| Month 3  | $-2285092.81             | $207027.84                                 |

**Designated Index Information**

- **Index Name:** ICE BofA US ABS & CMBS Index

- **Index Identifier:** MERRILL.MC.CABS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-4A, Class B                          | CUSIP: 57108UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $521552.00    | 0.08%             | 2033-12-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class E               | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1610874 | PA      | $1594740.80   | 0.23%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2021-1, Class C                              | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4312152.59   | 0.62%             | 2051-11-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2024-CES1, Class A1B                  | CUSIP: 46658CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5067638 | PA      | $5103994.03   | 0.74%             | 2054-06-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                       | Rain City Mortgage Trust, Series 2024-RTL1, Class A2                     | CUSIP: 75079KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $562586.02    | 0.08%             | 2029-11-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BIO2, Class D                  | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3985000 | PA      | $3968761.88   | 0.57%             | 2041-08-13      | Variable      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2          | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   2677000 | PA      | $2703561.19   | 0.39%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 E-mini Index                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -24 | NC      | $-1620.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M2                      | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2998319.69   | 0.43%             | 2044-03-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                  | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309191 | PA      | $296395.90    | 0.04%             | 2050-02-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class D       | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   1264544 | PA      | $1275738.15   | 0.18%             | 2031-12-26      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1      | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6343044 | PA      | $6280819.03   | 0.91%             | 2029-04-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1 | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   2883955 | PA      | $2751799.22   | 0.40%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2             | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $709475.14    | 0.10%             | 2049-03-22      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class C                   | CUSIP: 525935AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2589554.78   | 0.37%             | 2030-09-15      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                     | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5953714 | PA      | $5976054.61   | 0.86%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-1A, Class D               | CUSIP: 36267FAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $424744.38    | 0.06%             | 2030-07-15      | Fixed         | 7.93%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class A                                    | CUSIP: 31684GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497093 | PA      | $501267.16    | 0.07%             | 2054-07-25      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M4                        | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783074 | PA      | $821241.31    | 0.12%             | 2057-10-25      | Floating      | 8.79%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B1              | CUSIP: 20469AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2244733.20   | 0.32%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-WPT, Class D                   | CUSIP: 05612JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1977155.34   | 0.29%             | 2034-03-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D          | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361732 | PA      | $365277.74    | 0.05%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class D                | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $702954.31    | 0.10%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class D                                      | CUSIP: 05610AAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196616 | PA      | $194162.36    | 0.03%             | 2039-04-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                         | CUSIP: 74942BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3289764 | PA      | $3275910.27   | 0.47%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1B                         | CUSIP: 749421AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1867467 | PA      | $1874184.82   | 0.27%             | 2044-11-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G               | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403666 | PA      | $407827.41    | 0.06%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| CPC Asset Securitization III LLC               | CPC Asset Securitization III LLC, Series 2024-1A, Class D                | CUSIP: 126203AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999873.60    | 0.14%             | 2030-08-15      | Fixed         | 13.45%                | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK86                       | CUSIP: 05494BBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1892604 | PA      | $1373862.82   | 0.20%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class C                                    | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1167152 | PA      | $1199860.20   | 0.17%             | 2054-03-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class B                 | CUSIP: 62475WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2493330.04   | 0.36%             | 2039-03-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2023-2A, Class A2             | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $151066.79    | 0.02%             | 2048-11-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-CES1, Class A1B                                        | CUSIP: 26846VAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2457276 | PA      | $2463867.68   | 0.36%             | 2060-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | Light Sweet Crude Oil                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -130 | NC      | $-211900.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class C         | CUSIP: 95003PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2492950.94   | 0.36%             | 2035-07-15      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $209143.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class C7                    | CUSIP: 44422PBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $403393.27    | 0.06%             | 2034-08-05      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1      | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2818750 | PA      | $2831071.32   | 0.41%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                      | Auxilior Term Funding LLC, Series 2023-1A, Class E                       | CUSIP: 05335JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $204792.54    | 0.03%             | 2032-12-15      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class D        | CUSIP: 82653BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736135 | PA      | $719188.05    | 0.10%             | 2041-08-20      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-SOAR, Class D                  | CUSIP: 05608WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4164505 | PA      | $4126496.60   | 0.60%             | 2038-06-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| AMC Networks, Inc.                             | AMC Networks, Inc.                                                       | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    755000 | PA      | $775706.04    | 0.11%             | 2029-01-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: —       |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-VOLT, Class E                  | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5333000 | PA      | $5240532.11   | 0.76%             | 2036-09-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                    | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243157 | PA      | $241054.30    | 0.03%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class C                                   | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1758307.99   | 0.25%             | 2036-08-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| CALI Mortgage Trust                            | CALI Mortgage Trust, Series 2019-101C, Class B                           | CUSIP: 129890AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1504654.22   | 0.22%             | 2039-03-10      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2021-2, Class G                           | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1478664 | PA      | $1485380.39   | 0.21%             | 2028-12-26      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund LLC       | Janus Henderson Cash Collateral Fund LLC                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |   1248264 | PA      | $1248264.00   | 0.18%             | 2025-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                      | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1207520.19   | 0.17%             | 2041-09-25      | Floating      | 10.60%                | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1      | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3721485 | PA      | $3723225.91   | 0.54%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class E736                       | CUSIP: 05494BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405067 | PA      | $2004573.08   | 0.29%             | 2052-09-27      | Variable      | 0.98%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2024-A, Class E                      | CUSIP: 78437PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1007581.33   | 0.15%             | 2032-04-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class B        | CUSIP: 67118NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1031514.50   | 0.15%             | 2031-06-17      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 months SOFR                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $266956.25    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class B7                    | CUSIP: 44422PBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $138390.87    | 0.02%             | 2034-08-05      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class E                                       | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $2872496.26   | 0.42%             | 2039-06-13      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                    | Ally Auto Receivables Trust, Series 2024-1, Class D                      | CUSIP: 02008FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506968.33    | 0.07%             | 2032-02-16      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                         | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3130000 | PA      | $3125247.41   | 0.45%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $301331.25    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                      | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   5274435 | PA      | $5289987.26   | 0.76%             | 2041-11-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust     | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A       | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273860 | PA      | $276912.03    | 0.04%             | 2048-04-25      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                 | ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class E                | CUSIP: 449652AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493619.33    | 0.07%             | 2039-10-15      | Floating      | 10.26%                | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                        | CarMax Auto Owner Trust, Series 2024-1, Class D                          | CUSIP: 14318WAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1643233.09   | 0.24%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2          | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690775 | PA      | $690147.42    | 0.10%             | 2041-10-25      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust          | Mission Lane Credit Card Master Trust, Series 2023-B, Class A            | CUSIP: 60510MAT5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1278000 | PA      | $1280764.62   | 0.19%             | 2028-11-15      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    120948 | PA      | $5686.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-ROIC, Class E                                      | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2782000 | PA      | $2740416.98   | 0.40%             | 2030-03-15      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2          | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331138 | PA      | $330524.01    | 0.05%             | 2044-02-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       125 | NC      | $312268.75    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                  | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1908109.33   | 0.28%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A2              | CUSIP: 20469AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010645.66   | 0.15%             | 2049-02-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                        | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4799067 | PA      | $4888063.92   | 0.71%             | 2057-10-25      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Surgery Center Holdings, Inc.                  | Surgery Center Holdings, Inc.                                            | CUSIP: 86881WAF9<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |    310000 | PA      | $309296.49    | 0.04%             | 2032-04-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: —       |
| N/A                                            | U.S. Treasury 10 Year Ultra Bond                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -310 | NC      | $-588949.62   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -236 | NC      | $-29500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF1, Class A                                    | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1149037.96   | 0.17%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust, Series 2024-PMDW, Class D                                     | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2494306.53   | 0.36%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M2                      | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |   3122429 | PA      | $3108108.48   | 0.45%             | 2044-10-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 100 oz Gold                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -82 | NC      | $-7380.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class B                                   | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $229247.47    | 0.03%             | 2036-08-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D         | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    724405 | PA      | $739196.74    | 0.11%             | 2032-05-20      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D    | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506466.60    | 0.07%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class C          | CUSIP: 90945DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1516053.67   | 0.22%             | 2029-10-10      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust      | Santander Consumer Auto Receivables Trust, Series 2021-CA, Class C       | CUSIP: 80281HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203222 | PA      | $201483.47    | 0.03%             | 2028-06-15      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Herbalife Ltd.                                 | Herbalife Ltd.                                                           | CUSIP: 42703MAF0<br>LEI: 549300BA7TYPBSZZIA41 | Long             | DBT              | CORP              | KY        |   1702000 | PA      | $1394618.80   | 0.20%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class D         | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1417003 | PA      | $1425231.14   | 0.21%             | 2032-10-20      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class C          | CUSIP: 38410KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $495673.10    | 0.07%             | 2028-03-01      | Floating      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                      | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |     73973 | PA      | $74169.29     | 0.01%             | 2034-01-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                         | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807749 | PA      | $813853.70    | 0.12%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                  | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                 | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5902000 | PA      | $5834309.20   | 0.84%             | 2042-03-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-2, Class A1                                        | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3429000 | PA      | $3436994.37   | 0.50%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class B                         | CUSIP: 09531MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $203525.72    | 0.03%             | 2030-11-15      | Fixed         | 9.48%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-4CP, Class D                                 | CUSIP: 00092CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1894000 | PA      | $1915118.35   | 0.28%             | 2030-11-25      | Fixed         | 8.60%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A       | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3638406 | PA      | $3755825.03   | 0.54%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class B              | CUSIP: 68237DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4503923.10   | 0.65%             | 2032-04-19      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class B                   | CUSIP: 525920AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2724686.48   | 0.39%             | 2029-07-16      | Fixed         | 6.52%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2021-11, Class A1                                       | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007056 | PA      | $1016534.75   | 0.15%             | 2026-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class C                           | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1239400.53   | 0.18%             | 2041-06-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A2     | CUSIP: 67181DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451659 | PA      | $407300.42    | 0.06%             | 2050-11-20      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class D                                 | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1027341.58   | 0.15%             | 2031-07-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    154000 | PA      | $7402.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                 | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259458 | PA      | $260406.90    | 0.04%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust, Series 2021-PRM2, Class G           | CUSIP: 17291HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2354592.88   | 0.34%             | 2038-10-15      | Floating      | 8.94%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust                            | DROP Mortgage Trust, Series 2021-FILE, Class A                           | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1161805.91   | 0.17%             | 2043-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A           | CUSIP: 55068XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480996 | PA      | $483179.50    | 0.07%             | 2030-07-15      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| NetCredit Combined Receivables LLC             | NetCredit Combined Receivables LLC, Series 2024-A, Class A               | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691264 | PA      | $694935.88    | 0.10%             | 2030-10-21      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC              | Pawneee Equipment Receivables LLC, Series 2022-1, Class D                | CUSIP: 70410DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246808.78    | 0.04%             | 2028-07-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2022-1A, Class D                            | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107972 | PA      | $106082.93    | 0.02%             | 2036-08-20      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class E          | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4203533 | PA      | $4216984.16   | 0.61%             | 2032-06-15      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class B                         | CUSIP: 02157JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1929763 | PA      | $1943182.87   | 0.28%             | 2039-05-16      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  58163000 | PA      | $59896257.40  | 8.66%             | 2055-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class F          | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3688119 | PA      | $3766971.57   | 0.54%             | 2032-06-15      | Fixed         | 10.17%                | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class B                   | CUSIP: 525935AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510773.33    | 0.07%             | 2029-09-15      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class F               | CUSIP: 02007GZ97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    669384 | PA      | $679703.20    | 0.10%             | 2032-05-17      | Fixed         | 9.89%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class E       | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    894303 | PA      | $909437.51    | 0.13%             | 2031-12-26      | Floating      | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES2, Class A1B                   | CUSIP: 89182JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910953 | PA      | $917865.84    | 0.13%             | 2064-02-25      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2022-RTL3, Class A1                         | CUSIP: 50204UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665144 | PA      | $665893.37    | 0.10%             | 2027-11-25      | Variable      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class C              | CUSIP: 89616LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504800.41    | 0.07%             | 2028-01-18      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2024-1A, Class D                      | CUSIP: 501689AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509106.50    | 0.07%             | 2031-06-16      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1           | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5650000 | PA      | $5645803.18   | 0.82%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                            | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084178 | PA      | $2155044.10   | 0.31%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class C                                      | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1267924 | PA      | $1255284.10   | 0.18%             | 2041-04-15      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class E                                           | CUSIP: 362414AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1960006.48   | 0.28%             | 2041-05-15      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                      | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   5789591 | PA      | $5769999.62   | 0.83%             | 2045-02-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC                                                                 | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2272531.68   | 0.33%             | 2055-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                         | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3355839 | PA      | $3364945.10   | 0.49%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M3                        | CUSIP: 46591HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400542 | PA      | $412239.94    | 0.06%             | 2057-10-25      | Floating      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class F                                      | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3088000 | PA      | $3036770.99   | 0.44%             | 2036-10-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                           | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5018103 | PA      | $5050800.07   | 0.73%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -236 | NC      | $-7375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2024-1A, Class D                        | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1374252 | PA      | $1450493.95   | 0.21%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE2, Class A                                    | CUSIP: 31684KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942025 | PA      | $945435.91    | 0.14%             | 2055-03-25      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2021-ESH, Class F                    | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2965209 | PA      | $2928143.57   | 0.42%             | 2038-07-15      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-X1, Class C               | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251252.08    | 0.04%             | 2028-11-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B1          | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2275757.07   | 0.33%             | 2041-12-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                          | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400119 | PA      | $377989.06    | 0.05%             | 2048-11-27      | Variable      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class D                          | CUSIP: 91823ABE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1530700.05   | 0.22%             | 2054-05-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -141 | NC      | $-238030.42   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding, Series 2023-1A, Class D              | CUSIP: 383931AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2000000 | PA      | $1993378.20   | 0.29%             | 2026-09-01      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                         | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321901 | PA      | $325297.96    | 0.05%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA Connecticut Avenue Securities, Series 2021-R02, Class 2M2           | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    941210 | PA      | $940612.28    | 0.14%             | 2041-11-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1            | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070000 | PA      | $3082344.16   | 0.45%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-X1, Class B               | CUSIP: 00834KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149955 | PA      | $150274.90    | 0.02%             | 2028-11-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class F                          | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1200590.57   | 0.17%             | 2054-05-15      | Fixed         | 8.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                     | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5052311 | PA      | $5029308.34   | 0.73%             | 2055-03-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-R02, Class 2B1                                         | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1141001 | PA      | $1160968.52   | 0.17%             | 2041-11-25      | Floating      | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Celanese Corp.                                 | Celanese Corp., Class A                                                  | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |      7169 | NS      | $319092.19    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1C               | CUSIP: 00834BAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3392000 | PA      | $3408654.08   | 0.49%             | 2029-02-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class D                    | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4737182 | PA      | $4712006.24   | 0.68%             | 2039-02-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class C              | CUSIP: 68237DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1501868.40   | 0.22%             | 2032-04-19      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class D          | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $599402.16    | 0.09%             | 2028-03-01      | Floating      | 11.57%                | Yes           |                  2 | On Loan: No      |
| STWD Trust                                     | STWD Trust, Series 2021-FLWR, Class D                                    | CUSIP: 78485GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1192500.00   | 0.17%             | 2036-07-15      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1          | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3372000 | PA      | $3425741.25   | 0.50%             | 2041-10-25      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class D                 | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1168370.92   | 0.17%             | 2039-03-15      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Pear LLC                                       | Pear LLC, Series 2024-1, Class A                                         | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328235 | PA      | $331671.53    | 0.05%             | 2036-02-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| DC Trust                                       | DC Trust, Series 2024-HLTN, Class C                                      | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1510422.63   | 0.22%             | 2040-04-13      | Variable      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class D       | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813121 | PA      | $833080.39    | 0.12%             | 2047-06-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class D                                      | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6762264 | PA      | $6695707.44   | 0.97%             | 2041-04-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10                  | CUSIP: 44422PBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859000 | PA      | $789679.32    | 0.11%             | 2034-08-05      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                  | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $841508.98    | 0.12%             | 2041-10-15      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1      | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1652849.89   | 0.24%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class C         | CUSIP: 446438SZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3229150 | PA      | $3229129.23   | 0.47%             | 2033-03-21      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-CGS, Class B                  | CUSIP: 20267XAC7<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |     98238 | PA      | $95443.79     | 0.01%             | 2046-02-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1           | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1727763 | PA      | $1700858.48   | 0.25%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class D                                | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1863308.48   | 0.27%             | 2031-09-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Zais CLO 11 Ltd.                               | Zais CLO 11 Ltd., Series 2018-11A, Class BR                              | CUSIP: 98887YAQ0<br>LEI: 549300FPW2E2MXLOFH93 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2504989.75   | 0.36%             | 2032-01-20      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust          | Mission Lane Credit Card Master Trust, Series 2023-B, Class C            | CUSIP: 60510MAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2008207.51   | 0.29%             | 2028-11-15      | Fixed         | 9.67%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2017-AGS, Class B                  | CUSIP: 20267VAC1<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |    172925 | PA      | $155004.50    | 0.02%             | 2041-05-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES4, Class A1A                         | CUSIP: 74937YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5559543 | PA      | $5611704.01   | 0.81%             | 2055-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL5, Class D                   | CUSIP: 05612GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815877 | PA      | $1791344.89   | 0.26%             | 2041-03-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2024-1A, Class A                             | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2006042.80   | 0.29%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CENT Trust                                     | CENT Trust, Series 2023-CITY, Class B                                    | CUSIP: 12516WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $748118.89    | 0.11%             | 2038-09-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A         | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2519928.75   | 0.36%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                       | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3137624 | PA      | $3175171.08   | 0.46%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 100 oz Gold                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |       -82 | NC      | $-25420.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-1PL, Class D                                 | CUSIP: 00091XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1337246 | PA      | $1355397.30   | 0.20%             | 2030-03-18      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Industries Ltd.            | Teva Pharmaceutical Industries Ltd.                                      | CUSIP: 881624209<br>LEI: 549300BAFGM4RC74ZJ94 | Long             | EC               | CORP              | IL        |     43173 | NS      | $669613.23    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-1A, Class C                                | CUSIP: 30340RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2854000 | PA      | $2866474.94   | 0.41%             | 2031-08-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class C                                    | CUSIP: 31684UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    871312 | PA      | $862954.94    | 0.12%             | 2054-09-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B1          | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $391629.98    | 0.06%             | 2043-07-25      | Floating      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                      | Jersey Mike's Funding LLC, Series 2019-1A, Class A2                      | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1980000 | PA      | $1955811.37   | 0.28%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP2, Class F                                   | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334000 | PA      | $2313147.04   | 0.33%             | 2036-11-15      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A2            | CUSIP: 43789FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3391000 | PA      | $3399252.00   | 0.49%             | 2029-07-25      | Variable      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                 | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D                | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2663782 | PA      | $2647415.41   | 0.38%             | 2037-12-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class C         | CUSIP: 44644NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1931747 | PA      | $1940738.63   | 0.28%             | 2032-05-20      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2023-1A, Class B              | CUSIP: 74390NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390243 | PA      | $391046.35    | 0.06%             | 2029-07-16      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M1          | CUSIP: 20754VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2757597.13   | 0.40%             | 2045-03-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class B                                          | CUSIP: 751313AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440089 | PA      | $441823.76    | 0.06%             | 2039-02-15      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class E                            | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1027409.49   | 0.15%             | 2038-03-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class B10                  | CUSIP: 44422PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2408722.61   | 0.35%             | 2034-08-05      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class D                  | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959180 | PA      | $947560.92    | 0.14%             | 2041-10-15      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class D              | CUSIP: 89616LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1539377.13   | 0.22%             | 2028-04-17      | Fixed         | 8.61%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class C                  | CUSIP: 05613QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918360 | PA      | $1904712.64   | 0.28%             | 2041-10-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class D                    | CUSIP: 92943PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $508770.40    | 0.07%             | 2040-03-15      | Variable      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2024-1A, Class C                             | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1580047.80   | 0.23%             | 2054-06-20      | Fixed         | 9.19%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2023-HE3, Class A                                    | CUSIP: 31684CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1786224 | PA      | $1824242.46   | 0.26%             | 2053-11-25      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2022-FOX2, Class E                                      | CUSIP: 05610AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558389 | PA      | $551421.00    | 0.08%             | 2039-04-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                      | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040266 | PA      | $1970145.61   | 0.28%             | 2026-10-15      | Floating      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class A                      | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244160 | PA      | $248697.36    | 0.04%             | 2035-04-17      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class C                            | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786995 | PA      | $799013.56    | 0.12%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class C        | CUSIP: 67118NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1023617.00   | 0.15%             | 2031-06-17      | Fixed         | 8.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                    | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13285002 | PA      | $13202403.18  | 1.91%             | 2055-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-MGP, Class C11        | CUSIP: 95003TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3092980.00   | 0.45%             | 2041-08-15      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class C         | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2227844 | PA      | $2235073.00   | 0.32%             | 2032-10-20      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class C       | CUSIP: 07336PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    837036 | PA      | $833640.82    | 0.12%             | 2047-06-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1D               | CUSIP: 00834BAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502110.22    | 0.07%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    181335 | PA      | $8525.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-1A, Class D                          | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $708682.42    | 0.10%             | 2033-04-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2021-ESH, Class E                    | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429740 | PA      | $426992.25    | 0.06%             | 2038-07-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust           | Mello Warehouse Securitization Trust, Series 2024-1, Class F             | CUSIP: 58553FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542000 | PA      | $533060.96    | 0.08%             | 2057-10-25      | Floating      | 9.58%                 | Yes           |                  2 | On Loan: No      |
| OPEN Trust                                     | OPEN Trust, Series 2023-AIR, Class B                                     | CUSIP: 68373BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080000 | PA      | $2075846.42   | 0.30%             | 2040-11-15      | Floating      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                      | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1605956.92   | 0.23%             | 2041-12-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| FREMF 2023-K511 Mortgage Trust                 | FREMF Mortgage Trust, Series 2023-K511, Class C                          | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3707116.40   | 0.54%             | 2028-11-25      | Variable      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                        | MVW LLC, Series 2025-1A, Class C                                         | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1544000 | PA      | $1559486.96   | 0.23%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6517100 | PA      | $6255696.50   | 0.90%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class C                                    | CUSIP: 31684GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150220 | PA      | $3176435.06   | 0.46%             | 2054-07-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| TSC SPV Funding LLC                            | TSC SPV Funding LLC, Series 2024-1A, Class A2                            | CUSIP: 898912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1496250 | PA      | $1480106.33   | 0.21%             | 2054-08-20      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2                      | CUSIP: 35564KQZ5<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $2490259.50   | 0.36%             | 2042-01-25      | Floating      | 11.45%                | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class D          | CUSIP: 90945DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1017634.13   | 0.15%             | 2029-11-12      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class E                                      | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3130000 | PA      | $3010425.75   | 0.44%             | 2029-07-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class F                  | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2636227.14   | 0.38%             | 2038-04-15      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                        | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6643395 | PA      | $6767562.90   | 0.98%             | 2057-10-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039000 | PA      | $997585.88    | 0.14%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -44565000 | PA      | $-37037837.81 | -5.36%            | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                 | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3319557.14   | 0.48%             | 2035-03-15      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2023-3, Class B                     | CUSIP: 91684MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $518324.61    | 0.07%             | 2033-10-20      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  32293452 | NS      | $32299910.71  | 4.67%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class E          | CUSIP: 80290CBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84121 | PA      | $84850.64     | 0.01%             | 2033-06-15      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2024-1A, Class C                              | CUSIP: 30227XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1554222.24   | 0.22%             | 2054-07-25      | Fixed         | 9.05%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A2      | CUSIP: 79585UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1454746.87   | 0.21%             | 2030-07-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                          | Theorem Funding Trust, Series 2022-3A, Class B                           | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $916298.91    | 0.13%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A2                         | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1185454.92   | 0.17%             | 2029-03-25      | Variable      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class C                    | CUSIP: 05612EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309909 | PA      | $307993.45    | 0.04%             | 2039-02-15      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A       | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4580208 | PA      | $4709248.53   | 0.68%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Trust                          | Worldwide Plaza Trust, Series 2017-WWP, Class A                          | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528000 | PA      | $360531.06    | 0.05%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class G                  | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1005177.18   | 0.15%             | 2038-04-15      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1          | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1463425 | PA      | $1461822.43   | 0.21%             | 2044-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS Trust                                 | ACHV ABS Trust, Series 2024-1PL, Class C                                 | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42517 | PA      | $42791.39     | 0.01%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 E-mini Index                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -24 | NC      | $-19200.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1 | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    922343 | PA      | $891387.23    | 0.13%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M2          | CUSIP: 20754VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    767000 | PA      | $770049.32    | 0.11%             | 2045-03-25      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2          | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2986977.89   | 0.43%             | 2044-07-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC, Series 2020-1, Class B1                         | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371664 | PA      | $1349709.01   | 0.20%             | 2060-07-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1 | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   2903214 | PA      | $2780729.43   | 0.40%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-2A, Class D                          | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $906061.91    | 0.13%             | 2033-06-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding Trust                          | US Auto Funding Trust, Series 2022-1A, Class A                           | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28518 | PA      | $28303.55     | 0.00%             | 2025-05-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class D        | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628198 | PA      | $631571.11    | 0.09%             | 2041-06-20      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| BX                                             | BX, Series 2021-MFM1, Class E                                            | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1283520 | PA      | $1271747.60   | 0.18%             | 2034-01-15      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-BGS, Class C                  | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |     84418 | PA      | $78198.35     | 0.01%             | 2045-09-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class D                                      | CUSIP: 05612TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $982418.09    | 0.14%             | 2029-07-15      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                         | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   3766000 | PA      | $3747702.14   | 0.54%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                         | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311000 | PA      | $2327433.29   | 0.34%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Atlas Warehouse Lending Co. LP                 | Atlas Warehouse Lending Co. LP                                           | CUSIP: 049463AE2<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   4854000 | PA      | $4865143.09   | 0.70%             | 2030-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                   | JW Commercial Mortgage Trust, Series 2024-MRCO, Class C                  | CUSIP: 46657XAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1477500.00   | 0.21%             | 2039-06-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  95815000 | PA      | $95592613.39  | 13.82%            | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC         | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1          | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $574078.81    | 0.08%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2022-BMR2, Class C                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2025000.00   | 0.29%             | 2039-05-15      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2025-1A, Class E                 | CUSIP: 73747LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2030089.00   | 0.29%             | 2032-05-17      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class B               | CUSIP: 224092AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254175.68    | 0.04%             | 2032-03-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class E                 | CUSIP: 737473AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $467193.20    | 0.07%             | 2031-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1738000 | PA      | $1618976.55   | 0.23%             | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class C                                | CUSIP: 31568AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1031043.92   | 0.15%             | 2031-05-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Dext ABS LLC                                   | Dext ABS LLC, Series 2023-2, Class D                                     | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $321598.32    | 0.05%             | 2034-05-15      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                      | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1025937.50   | 0.15%             | 2041-11-25      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES5, Class A1B                         | CUSIP: 74938KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2649340 | PA      | $2674775.26   | 0.39%             | 2044-08-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  55305000 | PA      | $56099179.80  | 8.11%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class F          | CUSIP: 80280BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $902349.36    | 0.13%             | 2033-01-18      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Coinstar Funding LLC                           | Coinstar Funding LLC, Series 2017-1A, Class A2                           | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2760000 | PA      | $2463980.86   | 0.36%             | 2047-04-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES1, Class A1A            | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4116000 | PA      | $4138508.17   | 0.60%             | 2060-05-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2          | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788000 | PA      | $787901.23    | 0.11%             | 2044-03-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                     | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5430000 | PA      | $5429998.91   | 0.79%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596717 | PA      | $1578274.52   | 0.23%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1 | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   2277961 | PA      | $2195827.05   | 0.32%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-3A, Class E             | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2728588.30   | 0.39%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                  | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $847898.14    | 0.12%             | 2041-10-15      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2023-VLT3, Class C                  | CUSIP: 05611GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499286.28    | 0.07%             | 2028-11-15      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E          | CUSIP: 80290CCE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808658 | PA      | $1822445.23   | 0.26%             | 2033-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class D                 | CUSIP: 737473AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $410790.24    | 0.06%             | 2030-10-15      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A2           | CUSIP: 10637YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $2362984.19   | 0.34%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                | FREED ABS Trust, Series 2022-1FP, Class D                                | CUSIP: 35633KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85426 | PA      | $84786.78     | 0.01%             | 2029-03-19      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class A               | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200366 | PA      | $202312.86    | 0.03%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-A, Class B                    | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103500 | PA      | $99881.82     | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust      | Bayview Opportunity Master Fund VII Trust, Series 2024-SN1, Class D      | CUSIP: 072926AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509501.42    | 0.07%             | 2029-07-16      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-B, Class 1C               | CUSIP: 00792FAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251878.25    | 0.04%             | 2028-09-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class D              | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3240000 | PA      | $3233763.00   | 0.47%             | 2031-04-15      | Fixed         | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class C                | CUSIP: 00834BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502454.91    | 0.07%             | 2029-02-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2021-AGS, Class B                  | CUSIP: 20268WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209119 | PA      | $163897.72    | 0.02%             | 2052-03-25      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class C                              | CUSIP: 39152MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $695157.94    | 0.10%             | 2039-03-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class D                           | CUSIP: 20047DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1242661.85   | 0.18%             | 2041-06-15      | Floating      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-B, Class B                    | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106143 | PA      | $99321.13     | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2016-667M, Class A                           | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120000 | PA      | $1875874.61   | 0.27%             | 2036-10-10      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                      | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |  16814815 | PA      | $16678028.42  | 2.41%             | 2045-02-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | Light Sweet Crude Oil                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              |  | US        |      -130 | NC      | $-13000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class B           | CUSIP: 55068XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $301758.87    | 0.04%             | 2030-07-15      | Fixed         | 10.49%                | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC    | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class E     | CUSIP: 03237CAF9<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $384173.63    | 0.06%             | 2032-04-20      | Fixed         | 9.66%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                         | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3141601 | PA      | $3131569.79   | 0.45%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                         | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040000 | PA      | $3073914.54   | 0.44%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P1, Class N                  | CUSIP: 14689MAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5422872 | PA      | $5422800.92   | 0.78%             | 2033-03-10      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class C               | CUSIP: 224092AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $245857.80    | 0.04%             | 2032-03-15      | Fixed         | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2021-1, Class C                     | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68737 | PA      | $68535.52     | 0.01%             | 2031-03-20      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2          | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $520212.13    | 0.08%             | 2044-01-25      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-X1, Class C               | CUSIP: 00834XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2514391.10   | 0.36%             | 2029-05-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class C                   | CUSIP: 525920AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4693853.55   | 0.68%             | 2031-05-15      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                          | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5160000 | PA      | $5160819.92   | 0.75%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                          | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $380712.20    | 0.06%             | 2048-11-27      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Garda World Security Corp.                     | Garda World Security Corp.                                               | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |   1333000 | PA      | $1246838.75   | 0.18%             | 2029-06-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: —       |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B       | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2004303 | PA      | $2056263.62   | 0.30%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Vertical Bridge Holdings LLC                   | Vertical Bridge Holdings LLC, Series 2020-2A, Class B                    | CUSIP: 92535VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1730694.70   | 0.25%             | 2050-09-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3680000 | PA      | $3518370.72   | 0.51%             | 2055-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK73                       | CUSIP: 05494BAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784783 | PA      | $1276027.21   | 0.18%             | 2051-02-27      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                         | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375987 | PA      | $378044.27    | 0.05%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class F                            | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484000 | PA      | $1439913.47   | 0.21%             | 2038-03-15      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2022-BMR2, Class D                           | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $1952119.58   | 0.28%             | 2039-05-15      | Floating      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                         | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421366 | PA      | $1423734.71   | 0.21%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B          | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16969 | PA      | $16963.61     | 0.00%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                     | CONE Trust, Series 2024-DFW1, Class A                                    | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1991172.41   | 0.29%             | 2041-08-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B    | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1536022.37   | 0.22%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                            | TYSN Mortgage Trust, Series 2023-CRNR, Class A                           | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $523214.83    | 0.08%             | 2033-12-10      | Variable      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7                    | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95771 | PA      | $95053.55     | 0.01%             | 2034-08-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Reach Abs Trust                                | Reach Abs Trust, Series 2024-1A, Class C                                 | CUSIP: 75526PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295000 | PA      | $2350903.84   | 0.34%             | 2031-02-18      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class D                                           | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3692916.85   | 0.53%             | 2041-06-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class F               | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1530330 | PA      | $1545887.20   | 0.22%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class G          | CUSIP: 80280BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $902826.90    | 0.13%             | 2033-01-18      | Fixed         | 12.23%                | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class D                                       | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2310000 | PA      | $2195613.06   | 0.32%             | 2039-06-13      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIV LLC     | Amur Equipment Finance Receivables XIV LLC, Series 2024-2A, Class E      | CUSIP: 03238BAF0<br>LEI: 254900VBZK8DVZNJFJ70 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502005.65    | 0.07%             | 2032-10-20      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A2        | CUSIP: 05601DAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1518635.42   | 0.22%             | 2027-07-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class C                                | CUSIP: 30336NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1202000 | PA      | $1236289.17   | 0.18%             | 2030-07-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class C                    | CUSIP: 92943PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2516918.24   | 0.36%             | 2040-03-15      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29730000 | PA      | $26818303.26  | 3.88%             | 2055-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Churchill Downs, Inc.                          | Churchill Downs, Inc.                                                    | CUSIP: 171484108<br>LEI: 529900FODTBQC8MIS994 | Long             | EC               | CORP              | US        |      2695 | NS      | $243654.95    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class D         | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395609 | PA      | $1395596.19   | 0.20%             | 2033-03-21      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES1, Class A1A                         | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7645596 | PA      | $7692596.08   | 1.11%             | 2045-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class B              | CUSIP: 23284BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221105 | PA      | $218637.13    | 0.03%             | 2048-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                           | ROYAL BANK OF CANADA                                                     | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | STIV             | CORP              | CA        |    312066 | PA      | $312066.00    | 0.05%             | 2025-05-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES1, Class A1B                   | CUSIP: 89183CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734979 | PA      | $737517.64    | 0.11%             | 2064-01-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class B         | CUSIP: 22689LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    859071 | PA      | $860766.57    | 0.12%             | 2031-01-20      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2          | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6219572 | PA      | $6233700.43   | 0.90%             | 2041-12-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class F                                          | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2025000 | PA      | $1903690.87   | 0.28%             | 2039-01-15      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class D                              | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4425000 | PA      | $4393835.44   | 0.64%             | 2039-03-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                         | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3817549 | PA      | $3820369.72   | 0.55%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                             | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3192040 | PA      | $3209104.89   | 0.46%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class B                                | CUSIP: 31568AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1224118.80   | 0.18%             | 2030-03-15      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-VINO, Class D                  | CUSIP: 05608KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $173246.01    | 0.03%             | 2038-05-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class C                         | CUSIP: 09531MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546000 | PA      | $524160.05    | 0.08%             | 2030-11-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-1, Class D                 | CUSIP: 83406YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2993691.21   | 0.43%             | 2034-02-27      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class E               | CUSIP: 02007GZ89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525467 | PA      | $528790.46    | 0.08%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A2                         | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1411857.72   | 0.20%             | 2029-05-25      | Variable      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class M2                      | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |    382632 | PA      | $384242.86    | 0.06%             | 2044-02-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class C              | CUSIP: 89617CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11502000 | PA      | $11500401.38  | 1.66%             | 2029-10-15      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class E          | CUSIP: 80280BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $247901.64    | 0.04%             | 2033-01-18      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class C         | CUSIP: 22689LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    859071 | PA      | $894046.65    | 0.13%             | 2031-01-20      | Fixed         | 10.16%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities                  | Connecticut Avenue Securities, Series 2025-R01, Class 1M2                | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054000 | PA      | $1046311.94   | 0.15%             | 2045-01-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                      | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2034375.00   | 0.29%             | 2041-09-25      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B          | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1724000 | PA      | $1707734.06   | 0.25%             | 2028-03-01      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2024-1, Class A1                                        | CUSIP: 693972AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437776 | PA      | $442131.49    | 0.06%             | 2029-02-25      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class D             | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506557.96    | 0.07%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class D          | CUSIP: 94990GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2776000 | PA      | $2763223.81   | 0.40%             | 2038-03-15      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                      | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   1794071 | PA      | $1859268.58   | 0.27%             | 2042-02-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class D                        | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1120000 | PA      | $1194452.33   | 0.17%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-VINO, Class E                  | CUSIP: 05608KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067100 | PA      | $2045579.44   | 0.30%             | 2038-05-15      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       600 | NC      | $946369.20    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2023-1A, Class D                            | CUSIP: 96033EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151609 | PA      | $154770.29    | 0.02%             | 2037-12-20      | Fixed         | 10.14%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                      | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2295053.88   | 0.33%             | 2041-12-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2024-1A, Class C              | CUSIP: 74363CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $757810.03    | 0.11%             | 2029-08-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class D                            | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786995 | PA      | $798391.61    | 0.12%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                       | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283000 | PA      | $2301037.30   | 0.33%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class C                                    | CUSIP: 12659VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1963029.22   | 0.28%             | 2038-11-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E          | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1735000 | PA      | $1742727.00   | 0.25%             | 2038-03-15      | Variable      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2          | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577442 | PA      | $576625.36    | 0.08%             | 2044-09-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class F                            | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1541000 | PA      | $880833.14    | 0.13%             | 2040-02-12      | Variable      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-ARIA, Class E                                      | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1480286.75   | 0.21%             | 2036-10-15      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                           | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113221 | PA      | $110742.95    | 0.02%             | 2035-08-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25640000 | PA      | $22228905.68  | 3.21%             | 2055-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-GPA3, Class C                  | CUSIP: 123910AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2529952 | PA      | $2503657.26   | 0.36%             | 2039-12-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class B                     | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1701855 | PA      | $1723052.61   | 0.25%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class C                    | CUSIP: 83589CAD0<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4256428.13   | 0.62%             | 2031-12-22      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class E             | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $765004.37    | 0.11%             | 2031-08-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class C                                       | CUSIP: 90357PAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103211 | PA      | $105415.12    | 0.02%             | 2032-08-25      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                             | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  59079000 | PA      | $57833732.84  | 8.36%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2021-N3, Class E                  | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5427666 | PA      | $5256926.62   | 0.76%             | 2028-06-12      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2023-B, Class 1D               | CUSIP: 00792FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251979.68    | 0.04%             | 2028-09-15      | Fixed         | 8.78%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class B                      | CUSIP: 08862HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506733.39    | 0.07%             | 2035-04-17      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FS Commercial Mortgage Trust                   | FS Commercial Mortgage Trust, Series 2023-4SZN, Class D                  | CUSIP: 30334RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5857510.41   | 0.85%             | 2039-11-10      | Variable      | 9.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                      | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   4100848 | PA      | $4095721.94   | 0.59%             | 2041-09-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-1A, Class C                                 | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1997776.34   | 0.29%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2024-1A, Class D                 | CUSIP: 97415AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2477491.78   | 0.36%             | 2032-09-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                      | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |   1417000 | PA      | $1414689.16   | 0.20%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                        | Sandstone Peak III Ltd., Series 2024-1A, Class C                         | CUSIP: 799928AJ5<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2506437.25   | 0.36%             | 2037-04-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1          | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $1786790.15   | 0.26%             | 2043-10-25      | Floating      | 7.90%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-BIO, Class C                                       | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2603625.00   | 0.38%             | 2041-02-15      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       504 | NC      | $302394.96    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                          | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320472 | PA      | $1326999.77   | 0.19%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |
| STWD Trust                                     | STWD Trust, Series 2021-FLWR, Class F                                    | CUSIP: 78485GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2937600 | PA      | $2912634.95   | 0.42%             | 2036-07-15      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer