# EDGAR Filing Document

**Accession Number:** 0001738079
**File Stem:** 0001752724-25-157702
**Filing Date:** 2025-6
**Character Count:** 451786
**Document Hash:** 83d054bbaa12199cab340456b4e940d0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-157702.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-157702

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20250430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Managed Account Series II
- **CENTRAL INDEX KEY:** 0001738079

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23340
- **FILM NUMBER:** 251076722

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock U.S. Mortgage Portfolio (Series ID: S000062368)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202318 | Investor A Shares    |  |
| C000202319 | Investor C Shares    |  |
| C000202320 | Institutional Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Managed Account Series II

- **b. Investment Company Act file number:** 811-23340

- **c. CIK number of Registrant:** 0001738079

- **d. LEI of Registrant:** 549300WCPAZ0Y468K362

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock U.S. Mortgage Portfolio

- **b. EDGAR series identifier (if any):** S000062368

- **c. LEI of Series:** 7XZIIEG4IA6DDFOL6S68

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

- **a. Date of fiscal year-end:** 2025-04-30

- **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:** $439955297.28

**Total Liabilities:** $44346608.25

**Net Assets:** $395608689.03

**Cash Not Reported:** $12798684.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 12336.96000000 | **1-Year:** 4324.91000000 | **5-Year:** 49028.47000000 | **10-Year:** 22562.78000000 | **30-Year:** 10507.46000000

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

- **3-Month:** 25277.17000000 | **1-Year:** 2272.37000000 | **5-Year:** 8412.24000000 | **10-Year:** 7794.77000000 | **30-Year:** 13739.72000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202319 | 1.62%                | 0.18%                | 0.28%                |
| Class ID C000202318 | 1.57%                | 0.35%                | 0.34%                |
| Class ID C000202320 | 1.70%                | 0.38%                | 0.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $739312.63               | $4409475.70                                |
| Month 2  | $1090925.62              | $-1773657.83                               |
| Month 3  | $-704842.86              | $-601116.77                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PRET LLC                                                                  | PRET LLC, Series 2024-NPL4, Class A1                                                                                         | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |   1391196 | PA      | $1392566.76   | 0.35%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                                       | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553023 | PA      | $1553993.76   | 0.39%             | 2040-12-09      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78, Class D                                                            | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    765489 | PA      | $130298.78    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28317 | PA      | $27338.93     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                                                      | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739904 | PA      | $737822.87    | 0.19%             | 2037-06-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $156.79       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-1, Class M4                                                              | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163169 | PA      | $881397.89    | 0.22%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-79CB, Class A1                                                                           | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698256 | PA      | $808189.51    | 0.20%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104858 | PA      | $99230.31     | 0.03%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76543 | PA      | $72812.69     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1250 | PA      | $1211.42      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2198.93      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3331019 | PA      | $55802.24     | 0.01%             | 2054-11-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class A                                                        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    470000 | PA      | $467438.36    | 0.12%             | 2034-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45595 | PA      | $44160.43     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2022-3, Class B2                                                                            | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631047 | PA      | $1329254.05   | 0.34%             | 2067-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-4, Class B1                                                                          | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $886634.40    | 0.22%             | 2067-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-4, Class M5                                                              | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1819170 | PA      | $1515412.78   | 0.38%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38712 | PA      | $34748.10     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class E                                                                         | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $224878.00    | 0.06%             | 2035-04-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424541 | PA      | $391767.77    | 0.10%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6795769 | PA      | $293346.15    | 0.07%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2019-J2, Class B6                                                                                          | CUSIP: 12558TBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824792 | PA      | $899854.02    | 0.23%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473640 | PA      | $467206.95    | 0.12%             | 2027-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class A                                                                                          | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $397000.00    | 0.10%             | 2036-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2021-A, Class A                                                       | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278203 | PA      | $256174.19    | 0.06%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-XL2, Class A                                                                       | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1398566 | PA      | $1391573.17   | 0.35%             | 2038-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LBAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1050 | PA      | $1095.17      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M3                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    459116 | PA      | $426427.63    | 0.11%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6036 | PA      | $6318.14      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-LC19, Class B                                                                         | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806000 | PA      | $793428.42    | 0.20%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class B                                                              | CUSIP: 94989YBE2<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493419.45    | 0.12%             | 2059-01-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 2A                                        | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459174 | PA      | $1178064.21   | 0.30%             | 2047-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                                                | 510 Loan Acquisition Trust, Series 2020-1, Class A                                                                           | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    772188 | PA      | $783934.02    | 0.20%             | 2060-09-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24574 | PA      | $24093.22     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28321 | PA      | $27840.80     | 0.01%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class B                                                                     | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $388569.57    | 0.10%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55237 | PA      | $53607.29     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $797490.24    | 0.20%             | 2041-06-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CWABS Trust                                                               | CWABS Asset-Backed Certificates Trust, Series 2006-26, Class M1                                                              | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887324 | PA      | $747154.14    | 0.19%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ORL Trust                                                                 | ORL Trust, Series 2024-GLKS, Class A                                                                                         | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $397500.00    | 0.10%             | 2039-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43465 | PA      | $42564.72     | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428582 | PA      | $1431520.46   | 0.36%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                            | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554000 | PA      | $548460.00    | 0.14%             | 2040-03-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    500000 | PA      | $-4862.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Trust                   | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M1                                            | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94487 | PA      | $94193.65     | 0.02%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $829000.00    | 0.21%             | 2035-05-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                         | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                                                  | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    322084 | PA      | $320015.18    | 0.08%             | 2037-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-54CB, Class 3A1                                                                          | CUSIP: 12668APL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077629 | PA      | $548693.37    | 0.14%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56848 | PA      | $52952.73     | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75787 | PA      | $72553.61     | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2024-RN2, Class A1                                                                                          | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-MBS          | CORP              | US        |   1428707 | PA      | $1437083.21   | 0.36%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72727 | PA      | $69624.91     | 0.02%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2021-VFN1                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    446684 | PA      | $287191.22    | 0.07%             | 2028-08-28      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8321 | PA      | $8500.93      | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2020-FACT, Class F                                                                                        | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $492000.00    | 0.12%             | 2037-10-15      | Floating      | 11.09%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509102 | PA      | $451610.97    | 0.11%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17287 | PA      | $16318.72     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                             | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-1, Class A3                                                       | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395102 | PA      | $152314.47    | 0.04%             | 2036-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-INV2, Class B1                                                                         | CUSIP: 12673UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369344 | PA      | $364783.78    | 0.09%             | 2070-02-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1A                                                  | CUSIP: 617932AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322838 | PA      | $324152.21    | 0.08%             | 2069-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class G                                                                                          | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128000 | PA      | $125528.65    | 0.03%             | 2036-10-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52448 | PA      | $52809.72     | 0.01%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust                                            | PKHL Commercial Mortgage Trust, Series 2021-MF, Class NR                                                                     | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $67584.15     | 0.02%             | 2038-07-15      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9949 | PA      | $9278.03      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-MFM1, Class G                                                                                          | CUSIP: 05608VAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122500 | PA      | $120896.56    | 0.03%             | 2034-01-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                                     | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488759 | PA      | $463639.88    | 0.12%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A5                                                          | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571382 | PA      | $92463.02     | 0.02%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11717 | PA      | $11222.65     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65380 | PA      | $63104.88     | 0.02%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2023-SFR1, Class E1                                                                       | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $933087.55    | 0.24%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                                                | OPEN Trust, Series 2023-AIR, Class A                                                                                         | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361475 | PA      | $361248.74    | 0.09%             | 2040-11-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class D                                                                      | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $360204.06    | 0.09%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5015365 | PA      | $324612.47    | 0.08%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15136 | PA      | $14671.15     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class B1A                                                                              | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253421 | PA      | $253738.16    | 0.06%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                                      | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431811 | PA      | $1431811.30   | 0.36%             | 2039-08-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295QGH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30360 | PA      | $30862.67     | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-48, Class FC                                          | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000030 | PA      | $996652.62    | 0.25%             | 2054-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2007-8, Class 1A4                                                                    | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320071 | PA      | $133073.75    | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                   | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    427056 | PA      | $449250.87    | 0.11%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class A                                                                                         | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $433581.79    | 0.11%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class C                                                                           | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364869 | PA      | $471466.64    | 0.12%             | 2051-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95752 | PA      | $97469.23     | 0.02%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class F                                                                                          | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $329691.11    | 0.08%             | 2036-06-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-2, Class M5                                                              | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496504 | PA      | $372203.74    | 0.09%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48635 | PA      | $47020.94     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B2                                                                  | CUSIP: 10569NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $482366.02    | 0.12%             | 2064-11-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-B, Class A1B                                                                   | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184480 | PA      | $187637.22    | 0.05%             | 2056-10-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR23, Class 6A1                                                                | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670723 | PA      | $622870.45    | 0.16%             | 2035-11-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1657 | PA      | $1736.31      | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-1A, Class A                                                                            | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220427 | PA      | $224448.64    | 0.06%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4588 | PA      | $4383.32      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32630 | PA      | $31466.59     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class B1                                                                                       | CUSIP: 00112EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1013315.00   | 0.26%             | 2064-10-25      | Variable      | 8.21%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2015-6R, Class 5A2                                                                                        | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321916 | PA      | $1018342.09   | 0.26%             | 2036-03-27      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11019 | PA      | $10518.23     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                     | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-MN1A, Class A1                                            | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1058111 | PA      | $592368.28    | 0.15%             | 2037-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-5A, Class A1RR                                                        | CUSIP: 14311AAS1<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |    270342 | PA      | $270325.94    | 0.07%             | 2031-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -27 | NC      | $-21984.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-MFM1, Class A                                                                                          | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289558 | PA      | $289014.60    | 0.07%             | 2034-01-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3747 | PA      | $3509.54      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class F                                                                                          | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $181911.87    | 0.05%             | 2029-07-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5052, Class KI                                                                      | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898808 | PA      | $183451.51    | 0.05%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                                 | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498126.10    | 0.13%             | 2041-04-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62866 | PA      | $60819.76     | 0.02%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24998 | PA      | $25491.96     | 0.01%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class B                                            | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $630826.03    | 0.16%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15417000 | PA      | $12814159.76  | 3.24%             | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                                                 | EQT Trust, Series 2024-EXTR, Class A                                                                                         | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $811977.86    | 0.21%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  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        |    348000 | PA      | $348500.77    | 0.09%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146580 | PA      | $134974.02    | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106589 | PA      | $105305.13    | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    616648 | PA      | $595588.29    | 0.15%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954153 | PA      | $162181.79    | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONNI Commerical Mortgage Trust                                            | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $399289.37    | 0.10%             | 2039-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-3F, Class 4A2                                                                           | CUSIP: 3622MWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3724668 | PA      | $403562.90    | 0.10%             | 2037-05-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       961 | PA      | $971.01       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20597 | PA      | $20199.11     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                  | BDS Ltd., Series 2021-FL9, Class A                                                                                           | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    202624 | PA      | $200638.30    | 0.05%             | 2038-11-16      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class F                                                                       | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1922489.00   | 0.49%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M4                                                              | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528620 | PA      | $376481.35    | 0.10%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A                                            | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $622122.30    | 0.16%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20686 | PA      | $19679.62     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class A5                                                                               | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1715256.08   | 0.43%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class A                                                                          | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $178525.00    | 0.05%             | 2036-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24702 | PA      | $22809.74     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                           | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    622288 | PA      | $627321.09    | 0.16%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       144 | NC      | $322043.19    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32779 | PA      | $32082.53     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14048 | PA      | $14601.30     | 0.00%             | 2039-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                     | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111474 | PA      | $96074.53     | 0.02%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105182 | PA      | $97875.05     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 34 Ltd.                                | Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class A1R                                                       | CUSIP: 64132YAQ5<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   1969658 | PA      | $1965934.06   | 0.50%             | 2035-01-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class E                                                                                         | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $1740.00      | 0.00%             | 2035-10-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                                      | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104099 | PA      | $85331.91     | 0.02%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-WRHS, Class A                                                                               | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954807 | PA      | $953911.82    | 0.24%             | 2026-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-NR1, Class A1                                                                                         | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985052 | PA      | $955029.88    | 0.24%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23849 | PA      | $23664.63     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108353 | PA      | $106515.97    | 0.03%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class D                                                                   | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $211605.67    | 0.05%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class E                                                                                 | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $115962.42    | 0.03%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-V3, Class XA                                                                           | CUSIP: 08163VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19984741 | PA      | $478686.52    | 0.12%             | 2056-07-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| DBGS                                                                      | DBGS, Series 2024-SBL, Class A                                                                                               | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $318599.42    | 0.08%             | 2034-08-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-KING, Class A                                                                      | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384932 | PA      | $384691.86    | 0.10%             | 2034-05-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9636 | PA      | $9491.51      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LUX                                                                       | LUX Trust, Series 2023-LION, Class A                                                                                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128229 | PA      | $129471.69    | 0.03%             | 2040-08-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24542 | PA      | $24067.17     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35036 | PA      | $34291.84     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6685 | PA      | $6549.72      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26377 | PA      | $25856.49     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                                      | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $442153.62    | 0.11%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32, Class PI                                                              | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4570850 | PA      | $984051.83    | 0.25%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       718 | PA      | $689.55       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62820 | PA      | $59798.02     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                        | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $299571.26    | 0.08%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class FB                                                  | CUSIP: 3137HFWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997097 | PA      | $989355.96    | 0.25%             | 2054-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2006-SA2, Class 2A1                                                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91676 | PA      | $63754.32     | 0.02%             | 2036-08-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44551 | PA      | $40399.25     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185054 | PA      | $183626.45    | 0.05%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A                                                           | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807412 | PA      | $710908.57    | 0.18%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class A                                                                       | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $667966.13    | 0.17%             | 2040-01-13      | Variable      | 5.65%                 | 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        |    242000 | PA      | $232329.08    | 0.06%             | 2030-03-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2018-2A, Class A1R                                                                               | CUSIP: 14317PAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    430328 | PA      | $429551.13    | 0.11%             | 2031-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                | GSAA Trust, Series 2007-3, Class 1A1A                                                                                        | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1925870 | PA      | $984006.23    | 0.25%             | 2047-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                      | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1241582.23   | 0.31%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                         | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492000 | PA      | $491384.51    | 0.12%             | 2042-04-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17637 | PA      | $17312.87     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class C                                                                                           | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $432105.72    | 0.11%             | 2041-03-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $462068.25    | 0.12%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23438 | PA      | $23211.01     | 0.01%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-3, Class A1                                                                          | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748485 | PA      | $670145.94    | 0.17%             | 2036-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A1                                                | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2844630 | PA      | $864243.72    | 0.22%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2023-130, Class OD                                                          | CUSIP: 38384ERP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1708962 | PA      | $1300075.40   | 0.33%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                               | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $152527.98    | 0.04%             | 2042-11-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class B                                                              | CUSIP: 94989NBK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570250 | PA      | $1559824.01   | 0.39%             | 2058-09-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                                   | Regatta 31 Funding Ltd., Series 2025-1A, Class A1                                                                            | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1393000.00   | 0.35%             | 2038-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class A                                                                             | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1557039 | PA      | $1555539.94   | 0.39%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1117 | PA      | $1108.03      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44260 | PA      | $40053.64     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-88, Class IA                                                           | CUSIP: 38383R4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26346099 | PA      | $4153665.41   | 1.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4360 | PA      | $4255.32      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446616 | PA      | $453183.62    | 0.11%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class APL                                                                   | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297104 | PA      | $294600.76    | 0.07%             | 2053-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20041 | PA      | $19882.30     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16116 | PA      | $15769.29     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class A1A                                                                   | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287742 | PA      | $290962.35    | 0.07%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                                                      | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260568.75    | 0.07%             | 2027-06-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                                    | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $577009.87    | 0.15%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14802 | PA      | $14496.22     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                                             | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $217088.47    | 0.05%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                                         | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    314000 | PA      | $310989.15    | 0.08%             | 2057-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class B1                                                                          | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501241.50    | 0.13%             | 2068-05-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                     | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    592130 | PA      | $542729.44    | 0.14%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                                    | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $208096.60    | 0.05%             | 2041-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9588 | PA      | $9513.68      | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582124 | PA      | $590015.21    | 0.15%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47077 | PA      | $44916.82     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2005-17, Class 1A6                                                                   | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17897 | PA      | $17557.84     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class E                                                                                               | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $148212.48    | 0.04%             | 2041-06-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class D                                                                       | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $437340.94    | 0.11%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2041 | PA      | $2136.54      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class A                                                                                         | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399750.00    | 0.10%             | 2041-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class A                                                                                        | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503305 | PA      | $501102.94    | 0.13%             | 2038-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15972 | PA      | $16873.45     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                                    | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $222815.15    | 0.06%             | 2034-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10646 | PA      | $11097.44     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2020-SFR4, Class G2                                                                                       | CUSIP: 66981FAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $835332.32    | 0.21%             | 2037-11-17      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263837 | PA      | $248749.97    | 0.06%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20825 | PA      | $19661.86     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18708 | PA      | $18225.98     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $627234.83    | 0.16%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-11, Class A7                                         | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1062214 | PA      | $889703.91    | 0.22%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2023-CRE8, Class A                                                                                         | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    552140 | PA      | $550838.39    | 0.14%             | 2041-08-17      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class C                                                                             | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459337 | PA      | $451302.57    | 0.11%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-INV1, Class M1                                                                       | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1208191.80   | 0.31%             | 2068-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79664 | PA      | $79049.13     | 0.02%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR3, Class F                                                                        | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999485.30    | 0.25%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                                                             | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3498680 | PA      | $80452.84     | 0.02%             | 2050-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class F                                                                                          | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $368321.32    | 0.09%             | 2040-04-13      | Variable      | 10.66%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5443, Class FA                                                  | CUSIP: 3137HDXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121541 | PA      | $1121894.12   | 0.28%             | 2054-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160983 | PA      | $159461.58    | 0.04%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XII                                                            | Apidos CLO XII, Series 2013-12A, Class BRR                                                                                   | CUSIP: 03764DAP6<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1199989.68   | 0.30%             | 2031-04-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2                                                             | CUSIP: 126671RF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933853 | PA      | $926336.11    | 0.23%             | 2032-05-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2025-B, Class B                                                                                  | CUSIP: 69335PFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484000 | PA      | $488442.01    | 0.12%             | 2030-02-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class A                                                                                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $336697.11    | 0.09%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163156 | PA      | $153144.53    | 0.04%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                            | ARES Commercial Mortgage Trust, Series 2024-IND, Class A                                                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1090000.00   | 0.28%             | 2041-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69130 | PA      | $70468.18     | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $306113.30    | 0.08%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $341437.75    | 0.09%             | 2030-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11293 | PA      | $11002.28     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2021-2A, Class A                                                                              | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $567182.70    | 0.14%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                                   | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1933982 | PA      | $1451570.32   | 0.37%             | 2037-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class A                                                                               | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772000 | PA      | $762350.00    | 0.19%             | 2036-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL Ltd.                                              | Madison Park Funding XL Ltd., Series 9A, Class AR2                                                                           | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |    500833 | PA      | $500407.79    | 0.13%             | 2030-05-28      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89840 | PA      | $85716.73     | 0.02%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2024-A, Class B                                                                                  | CUSIP: 69335PFD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $320790.21    | 0.08%             | 2028-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class E                                                                        | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251469 | PA      | $250262.29    | 0.06%             | 2039-02-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106705 | PA      | $99926.15     | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2397 | PA      | $2324.40      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                                              | Imperial Fund Mortgage Trust, Series 2022-NQM3, Class A3                                                                     | CUSIP: 45276KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $969461.47    | 0.25%             | 2067-05-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-16N, Class AF2                                                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819849 | PA      | $1106048.81   | 0.28%             | 2047-09-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class B                                                                                          | CUSIP: 05610DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $441375.00    | 0.11%             | 2038-05-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11772 | PA      | $11364.95     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class C                                                                             | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520086 | PA      | $486575.39    | 0.12%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XMJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14160 | PA      | $13949.91     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-1, Class B                                                                   | CUSIP: 75908AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111085.41    | 0.03%             | 2034-04-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418RPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14649 | PA      | $14527.22     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180D2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56446 | PA      | $54722.51     | 0.01%             | 2043-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2006-AR15, Class A1                                                                 | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511204 | PA      | $487778.92    | 0.12%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242841 | PA      | $237103.53    | 0.06%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288000 | PA      | $265179.97    | 0.07%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410TVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9435 | PA      | $9924.88      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39745 | PA      | $35011.22     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                                         | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1152542.71   | 0.29%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54002 | PA      | $55484.12     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53360 | PA      | $48321.19     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M2                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    236039 | PA      | $222356.81    | 0.06%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55306 | PA      | $54325.53     | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class A3                                                                        | CUSIP: 12593PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44994 | PA      | $44925.85     | 0.01%             | 2048-08-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class E                                                                                        | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $130675.66    | 0.03%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717774 | PA      | $665679.83    | 0.17%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Sounds Point CLO IV-R Ltd.                                                | Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A                                                                         | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |   1188100 | PA      | $1188099.80   | 0.30%             | 2031-04-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43139 | PA      | $41298.33     | 0.01%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11024 | PA      | $10620.25     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3422 | PA      | $3404.00      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21367 | PA      | $20817.05     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M6                                                              | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967337 | PA      | $820912.66    | 0.21%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                          | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15395000 | PA      | $294573.32    | 0.07%             | 2053-03-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class E                                                                                        | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $78803.40     | 0.02%             | 2041-08-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class B1                                                                   | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764000 | PA      | $2688057.44   | 0.68%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34037 | PA      | $34982.53     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12409 | PA      | $13001.11     | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PGA Trust                                                                 | PGA Trust, Series 2024-RSR2, Class A                                                                                         | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $378455.72    | 0.10%             | 2039-06-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33671 | PA      | $30068.06     | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2015-A, Class B4                                                                       | CUSIP: 17323MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742968 | PA      | $693322.96    | 0.18%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159921 | PA      | $164036.92    | 0.04%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19785 | PA      | $18828.54     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2150000 | PA      | $-65002.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RAAC Trust                                                                | RAAC Trust, Series 2006-SP3, Class M3                                                                                        | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144319 | PA      | $1084113.51   | 0.27%             | 2036-08-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3613 | PA      | $3387.43      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                                     | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100393.84    | 0.03%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                                          | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $882768.75    | 0.22%             | 2039-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-A, Class C                                                                      | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $214982.52    | 0.05%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45424 | PA      | $42887.78     | 0.01%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class E                                                                                           | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $723834.30    | 0.18%             | 2038-09-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77663 | PA      | $77064.17     | 0.02%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41390 | PA      | $41309.83     | 0.01%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6161 | PA      | $6060.76      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104824 | PA      | $95565.05     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2018-NPL2                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    359703 | PA      | $345643.93    | 0.09%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 2A                                  | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98740 | PA      | $82612.37     | 0.02%             | 2046-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class B                                                                             | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345822 | PA      | $340945.22    | 0.09%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class E                                                                                         | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97937.50     | 0.02%             | 2041-10-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13341 | PA      | $12493.54     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class ASB                                                                             | CUSIP: 054975AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $686158.40    | 0.17%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40294 | PA      | $38991.44     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5119, Class IC                                                                      | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3695111 | PA      | $781320.04    | 0.20%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                                  | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                             | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967189 | PA      | $948652.91    | 0.24%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  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        |    695320 | PA      | $686628.46    | 0.17%             | 2038-07-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2019-9, Class B6                                                                          | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385363 | PA      | $1246466.91   | 0.32%             | 2050-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class C                                                                         | CUSIP: 12593PBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $248450.53    | 0.06%             | 2048-08-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      7727 | PA      | $7727.00      | 0.00%             | 2060-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -173 | NC      | $-298202.04   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262702 | PA      | $251495.45    | 0.06%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class A                                                                      | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $182352.10    | 0.05%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39776 | PA      | $42059.45     | 0.01%             | 2041-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-2, Class B2                                                                          | CUSIP: 92539UAF7<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $496980.20    | 0.13%             | 2069-02-25      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38974 | PA      | $37663.89     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B5, Class A4                                                                           | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $541342.62    | 0.14%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10711 | PA      | $10356.67     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3601 | PA      | $3768.14      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884022 | PA      | $879794.31    | 0.22%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 4161, Class BW                                                                      | CUSIP: 3137AYL82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $174108.68    | 0.04%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $11599.25     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1949 | PA      | $1868.70      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE8, Class 1A3                                                     | CUSIP: 07388JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    717017 | PA      | $694334.90    | 0.18%             | 2036-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221302 | PA      | $223821.66    | 0.06%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A8                                                                          | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749822 | PA      | $126023.18    | 0.03%             | 2037-02-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                             | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $739537.50    | 0.19%             | 2034-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2021-A, Class C                                                                      | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $434838.60    | 0.11%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class D                                                                   | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $247695.13    | 0.06%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7002 | PA      | $6873.05      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 35 Ltd.                                       | Octagon Investment Partners 35 Ltd., Series 2018-1A, Class A1A                                                               | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |    276320 | PA      | $276345.54    | 0.07%             | 2031-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3047649 | PA      | $2872109.14   | 0.73%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                          | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $270157.17    | 0.07%             | 2036-06-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10089 | PA      | $9448.98      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class E                                             | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000 | PA      | $277081.88    | 0.07%             | 2038-04-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20505 | PA      | $20237.75     | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23987 | PA      | $25102.64     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2020-NET, Class C                                                                                         | CUSIP: 126438AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98250.81     | 0.02%             | 2037-08-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $123.01       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-64, Class IH                                                           | CUSIP: 38382QME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18124373 | PA      | $2719022.02   | 0.69%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28655 | PA      | $27916.77     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | Ellington Financial Mortgage Trust, Series 2025-INV1, Class B1                                                               | CUSIP: 26846XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264592 | PA      | $261836.51    | 0.07%             | 2070-03-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    903000 | PA      | $-131208.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2                                                              | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $363636.00    | 0.09%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61565 | PA      | $58237.95     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class E10                                                                                        | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301622.43    | 0.08%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35881 | PA      | $33843.12     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2LQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24055 | PA      | $23786.14     | 0.01%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52891 | PA      | $55169.95     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. REMICS Variable Rate Notes, Series 2411, Class FJ                                           | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1248 | PA      | $1243.95      | 0.00%             | 2029-12-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-J4, Class 2A1                                                                            | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533801 | PA      | $875031.02    | 0.22%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class XS                                                                            | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4836918 | PA      | $174217.07    | 0.04%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                      | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE1, Class 2A3                                                | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137752 | PA      | $501937.48    | 0.13%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                             | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $629660.84    | 0.16%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28495 | PA      | $27725.25     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96624 | PA      | $97619.16     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1422 | PA      | $1361.00      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                            | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A                                                                    | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $660491.44    | 0.17%             | 2027-11-15      | Floating      | 7.11%                 | No            |                  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        |    125000 | PA      | $123748.39    | 0.03%             | 2041-10-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7036 | PA      | $6999.53      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3512 | PA      | $3385.94      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class A                                                                                         | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1191801.54   | 0.30%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5632 | PA      | $5274.72      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVII Ltd.                                    | Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR                                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1000000.00   | 0.25%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class A                                                                       | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077864 | PA      | $1076180.06   | 0.27%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2005-SA3, Class 1A                                                                                       | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426476 | PA      | $580433.19    | 0.15%             | 2035-08-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class C                                                                   | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $171110.90    | 0.04%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195467 | PA      | $202903.13    | 0.05%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-NQM1, Class B1                                                                                      | CUSIP: 43761DAH3<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |    392500 | PA      | $389509.31    | 0.10%             | 2070-01-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                  | Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1                                                                           | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528559 | PA      | $437328.31    | 0.11%             | 2047-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129513 | PA      | $122994.48    | 0.03%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20976 | PA      | $19757.46     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35820 | PA      | $34647.10     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-56, Class FA                                          | CUSIP: 3136BQMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277331 | PA      | $278426.93    | 0.07%             | 2053-11-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60526 | PA      | $59454.50     | 0.02%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20265 | PA      | $18978.87     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786880 | PA      | $785896.37    | 0.20%             | 2041-03-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                               | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2633341.43   | 0.67%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34352 | PA      | $32735.00     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16192 | PA      | $16951.29     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10860 | PA      | $10182.83     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32273 | PA      | $30223.14     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B3                                                              | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1883439.75   | 0.48%             | 2059-11-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                              | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998721 | PA      | $999803.09    | 0.25%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-58, Class IY                                                           | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15976677 | PA      | $2670472.84   | 0.68%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-C, Class A2A                                                                   | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    308149 | PA      | $304142.86    | 0.08%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-C, Class A1B                                                                   | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132198 | PA      | $133501.04    | 0.03%             | 2052-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QH5, Class AII                                                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889020 | PA      | $385871.49    | 0.10%             | 2037-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12077 | PA      | $11678.27     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1170 | PA      | $1165.28      | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                               | Legacy Mortgage Asset Trust, Series 2019-SL2, Class A                                                                        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1538763 | PA      | $1478732.73   | 0.37%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2022-CRE6, Class A                                                                                       | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    346221 | PA      | $343412.22    | 0.09%             | 2037-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                             | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $286853.53    | 0.07%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QO2, Class A1                                                                                        | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162483 | PA      | $342320.59    | 0.09%             | 2047-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52682 | PA      | $51081.58     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70784 | PA      | $68426.39     | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                                 | MFT Trust, Series 2020-ABC, Class C                                                                                          | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $119886.78    | 0.03%             | 2042-02-10      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class E                                                                         | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $112931.43    | 0.03%             | 2041-06-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20283 | PA      | $19751.71     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41783 | PA      | $41143.19     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6734 | PA      | $6557.95      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |   2197000 | PA      | $-189314.42   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-51, Class TF                                       | CUSIP: 38384KUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1282831 | PA      | $1280554.76   | 0.32%             | 2054-03-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIV Ltd.                                                    | Symphony CLO XXIV Ltd., Series 2020-24A, Class AR                                                                            | CUSIP: 87167QAL2<br>LEI: 5493007X3UVVYJ005O73 | Long             | ABS-CBDO         | CORP              | KY        |    797877 | PA      | $796124.43    | 0.20%             | 2032-01-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412L5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $534.83       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35504 | PA      | $35057.44     | 0.01%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -353000 | PA      | $-318542.85   | -0.08%            | 2055-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21418 | PA      | $20175.82     | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $313.05       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34847 | PA      | $35824.10     | 0.01%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88111 | PA      | $89076.22     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3268 | PA      | $3093.52      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XSMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21696 | PA      | $21305.82     | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31802 | PA      | $30675.99     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                                                                    | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $590662.02    | 0.15%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                                    | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $208037.47    | 0.05%             | 2034-11-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Houston Galleria Mall Trust                                               | Houston Galleria Mall Trust, Series 2025-HGLR, Class A                                                                       | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1139465.04   | 0.29%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2232 | PA      | $2160.90      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38741 | PA      | $38225.21     | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10660 | PA      | $10527.60     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class B                                                                           | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268841 | PA      | $231342.84    | 0.06%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128298 | PA      | $123884.75    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A                                                                | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348000 | PA      | $346670.78    | 0.09%             | 2041-11-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8144 | PA      | $7606.34      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120915 | PA      | $114636.26    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   3100000 | PA      | $293300.04    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1322647 | PA      | $1235111.70   | 0.31%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25805 | PA      | $24197.43     | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5330, Class FA                                                  | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6068684 | PA      | $6054306.79   | 1.53%             | 2053-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3059936 | PA      | $155187.40    | 0.04%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13896 | PA      | $13649.81     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18447 | PA      | $16505.95     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class B1B                                                                                         | CUSIP: 12571DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996873.39    | 0.25%             | 2069-10-25      | Variable      | 7.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11217 | PA      | $10836.37     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 2A4                                                        | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7797 | PA      | $7502.10      | 0.00%             | 2034-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-6, Class 1A2A                                                                     | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1315096 | PA      | $966803.27    | 0.24%             | 2037-03-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2018-3A, Class AR                                                                               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    646793 | PA      | $646477.49    | 0.16%             | 2031-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2983 | PA      | $2855.57      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71832 | PA      | $65911.36     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-46, Class FA                                          | CUSIP: 3136BQLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1516042 | PA      | $1520189.23   | 0.38%             | 2053-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                          | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $766339.42    | 0.19%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1                                                              | CUSIP: 64832DAG6<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $786454.61    | 0.20%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44523 | PA      | $42004.72     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class D                                                                     | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $490625.00    | 0.12%             | 2037-05-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| LEX Mortgage Trust                                                        | LEX Mortgage Trust, Series 2024-BBG, Class A                                                                                 | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1059367.07   | 0.27%             | 2033-10-13      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2022-SSP, Class A                                                                                          | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $369768.71    | 0.09%             | 2039-05-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10250 | PA      | $9943.12      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                     | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131184 | PA      | $127040.66    | 0.03%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41751 | PA      | $40427.09     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2006-S2, Class 1A16                                                                     | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136971 | PA      | $420958.36    | 0.11%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                                                                      | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $876703.13    | 0.22%             | 2036-09-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                                                          | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845283 | PA      | $844754.67    | 0.21%             | 2041-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10576 | PA      | $10163.52     | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1462.84      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class E                                                                                          | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71000 | PA      | $64017.58     | 0.02%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21829 | PA      | $20792.22     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 1A1                                                                             | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93971 | PA      | $26974.24     | 0.01%             | 2036-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A2                                                              | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631138 | PA      | $632023.08    | 0.16%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                            | Banc of America Mortgage Trust, Series 2005-I, Class 2A5                                                                     | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61136 | PA      | $56463.07     | 0.01%             | 2035-10-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296000 | PA      | $278610.95    | 0.07%             | 2037-03-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                                      | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $366586.58    | 0.09%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                            | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B                                                   | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1857573 | PA      | $764951.00    | 0.19%             | 2037-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24088 | PA      | $21768.56     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  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        |    343792 | PA      | $342073.35    | 0.09%             | 2038-07-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28741 | PA      | $27891.86     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class D                                                                            | CUSIP: 35040WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $210541.09    | 0.05%             | 2050-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31868 | PA      | $31537.01     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class C                                                                             | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3573 | PA      | $3198.94      | 0.00%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A                                                               | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $448361.68    | 0.11%             | 2040-10-12      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| VEGAS                                                                     | VEGAS, Series 2024-GCS, Class D                                                                                              | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $327458.46    | 0.08%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14138 | PA      | $13741.50     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $698831.25    | 0.18%             | 2036-02-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151844 | PA      | $153469.86    | 0.04%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                                               | BANK5 Trust, Series 2024-5YR6, Class A3                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $495601.46    | 0.13%             | 2057-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class A                                                                           | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302971 | PA      | $1298054.46   | 0.33%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class A                                                                                          | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $589262.50    | 0.15%             | 2034-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12891 | PA      | $12213.88     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                                | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1291947 | PA      | $461374.37    | 0.12%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-IND, Class A                                                                                           | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87440 | PA      | $87413.11     | 0.02%             | 2037-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12339 | PA      | $12913.14     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | 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        |    125000 | PA      | $115612.98    | 0.03%             | 2035-03-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                               | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334250 | PA      | $333228.33    | 0.08%             | 2068-11-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                                                                    | CUSIP: 17307GLB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227838 | PA      | $212255.46    | 0.05%             | 2034-08-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5444, Class FC                                                  | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1780451 | PA      | $1776225.91   | 0.45%             | 2054-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                     | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451727 | PA      | $428510.11    | 0.11%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class 5A1                                         | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931913 | PA      | $746372.59    | 0.19%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-RTL1, Class A1                                                           | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010510.71   | 0.26%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Trust                                          | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2, Class 1A4                                                                  | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723242 | PA      | $496401.23    | 0.13%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1841000 | PA      | $1861927.00   | 0.47%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A2                                                                | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202185 | PA      | $135717.54    | 0.03%             | 2037-03-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25555 | PA      | $24739.96     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-3, Class B2                                                                     | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $976461.60    | 0.25%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                                      | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $186846.55    | 0.05%             | 2039-06-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-1, Class 1A2B                                                                        | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411027 | PA      | $330398.19    | 0.08%             | 2036-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1                                                         | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1510923 | PA      | $1491441.43   | 0.38%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJDD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       291 | PA      | $292.70       | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M2                                                                                         | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $706026.98    | 0.18%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Prime Cash Management Institutional Shares               | Dreyfus Treasury Prime Cash Management Institutional Shares                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   2532653 | NS      | $2532653.42   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21293 | PA      | $22284.32     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class E                                                                                 | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228817 | PA      | $226409.73    | 0.06%             | 2037-02-15      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                             | Centex Home Equity Loan Trust, Series 2004-D, Class MV1                                                                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420478 | PA      | $410429.19    | 0.10%             | 2034-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2024-1A, Class B                                                                    | CUSIP: 68269NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $205866.20    | 0.05%             | 2041-05-14      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class A2                                                                           | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $870951.22    | 0.22%             | 2062-04-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3456 | PA      | $3344.85      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2024-NPL5, Class A1                                                                                         | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |    964049 | PA      | $959758.39    | 0.24%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12204 | PA      | $11811.70     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-A, Class A2A                                                                   | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    395015 | PA      | $389365.55    | 0.10%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                            | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $413810.51    | 0.10%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128E45R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $256.80       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30879 | PA      | $27751.81     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class A                                                                        | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675552 | PA      | $674707.46    | 0.17%             | 2038-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $275450.00    | 0.07%             | 2035-04-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42480 | PA      | $42082.19     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58285 | PA      | $56772.44     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1743 | PA      | $1837.00      | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       557 | PA      | $552.73       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1281 | PA      | $1200.80      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8584 | PA      | $8517.34      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40340 | PA      | $39036.26     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                      | TTAN MHC, Series 2021-MHC, Class F                                                                                           | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215332 | PA      | $213717.47    | 0.05%             | 2038-03-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62825 | PA      | $62431.96     | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12188 | PA      | $12703.42     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 4941, Class SH                                                  | CUSIP: 3137FQUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378313 | PA      | $43785.71     | 0.01%             | 2049-12-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10572 | PA      | $10102.52     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                                   | Regatta VI Funding Ltd., Series 2016-1A, Class AR2                                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2050000.00   | 0.52%             | 2034-04-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class B                                                                   | CUSIP: 19033EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $248168.58    | 0.06%             | 2036-08-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                                | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $704858.77    | 0.18%             | 2038-09-10      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class F                                                                       | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1807894 | PA      | $1627575.85   | 0.41%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                                      | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326631 | PA      | $326426.56    | 0.08%             | 2041-05-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                                 | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350189 | PA      | $868179.28    | 0.22%             | 2037-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DSN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12291944 | PA      | $12718824.13  | 3.22%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12197 | PA      | $12293.62     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-6CB, Class 2A10                                                                          | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937220 | PA      | $730407.47    | 0.18%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-SOAR, Class G                                                                      | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131511 | PA      | $129127.03    | 0.03%             | 2038-06-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13092 | PA      | $12067.23     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2150000 | PA      | $-76574.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29787 | PA      | $28841.69     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14072 | PA      | $13715.61     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class D                                                                                          | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $207111.11    | 0.05%             | 2041-10-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46552 | PA      | $42686.54     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class B                                                                           | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177281 | PA      | $178837.84    | 0.05%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241K2E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       875 | PA      | $957.45       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5662 | PA      | $5346.22      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VINO, Class F                                                                      | CUSIP: 05608KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122500 | PA      | $120203.13    | 0.03%             | 2038-05-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21330 | PA      | $21546.21     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-VICT, Class A                                                                               | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $649187.50    | 0.16%             | 2041-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class A                                            | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $431492.39    | 0.11%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 3CB                                         | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960792 | PA      | $744408.00    | 0.19%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6                                                              | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1327668 | PA      | $924674.01    | 0.23%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2024-CRE9, Class A                                                                                        | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    470000 | PA      | $468879.33    | 0.12%             | 2041-05-17      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class B1B                                                                              | CUSIP: 22758PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $392754.68    | 0.10%             | 2070-03-25      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust                    | Deutsche Mortgage Securities, Inc., Series 2006-PR1, Class CWA1                                                              | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1947886 | PA      | $1030976.56   | 0.26%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5987047.32   | 1.51%             | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-DA, Class B                                                                           | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $616994.42    | 0.16%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6620 | PA      | $6381.08      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2023-HB11, Class M2                                                                                         | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1198441.50   | 0.30%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7918 | PA      | $8365.45      | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class A                                                                | CUSIP: 36270GAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99502.50     | 0.03%             | 2038-09-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3331 | PA      | $3234.49      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class B                                                                              | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $136004.76    | 0.03%             | 2037-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5312 | PA      | $5226.35      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32392 | PA      | $30558.64     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                                                        | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $656651.87    | 0.17%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KPLB2, Class X | CUSIP: 3137HAD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16981600 | PA      | $353589.18    | 0.09%             | 2033-06-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4                                                                     | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602986 | PA      | $508181.78    | 0.13%             | 2036-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1841000 | PA      | $-1840014.72  | -0.47%            | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class B                                                                   | CUSIP: 75907AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444000 | PA      | $447964.21    | 0.11%             | 2033-12-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class F                                                                       | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298574 | PA      | $1231037.17   | 0.31%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85650 | PA      | $84867.50     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                                    | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001015 | PA      | $440564.23    | 0.11%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class B                                                                     | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170870 | PA      | $165060.36    | 0.04%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXI Ltd.                                             | Madison Park Funding XXI Ltd., Series 2016-21A, Class AARR                                                                   | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    980852 | PA      | $980851.83    | 0.25%             | 2032-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-B, Class B                                                                     | CUSIP: 78449XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $224361.00    | 0.06%             | 2053-07-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KUFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       166 | PA      | $171.50       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5469 | PA      | $5723.81      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2678000 | PA      | $2495478.10   | 0.63%             | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B                                                           | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $533149.58    | 0.13%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122853 | PA      | $125882.61    | 0.03%             | 2041-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M2                                                                             | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    618266 | PA      | $641848.15    | 0.16%             | 2059-07-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80471 | PA      | $80440.21     | 0.02%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138MPZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1129 | PA      | $1114.37      | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31844 | PA      | $29860.20     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Galaxy XXI CLO Ltd.                                                       | Galaxy XXI CLO Ltd., Series 2015-21A, Class AR                                                                               | CUSIP: 36320WAL0<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | KY        |    209703 | PA      | $209596.72    | 0.05%             | 2031-04-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class B                                                                   | CUSIP: 758983AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $207318.14    | 0.05%             | 2036-07-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M3                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1111139.64   | 0.28%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3914 | PA      | $3721.25      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                           | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795845 | PA      | $801577.39    | 0.20%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6080000 | PA      | $5180818.28   | 1.31%             | 2055-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                      | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140230.47    | 0.04%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12215 | PA      | $11627.59     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23805 | PA      | $21857.69     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                                  | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    886600 | PA      | $759573.54    | 0.19%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7130000 | PA      | $5653799.45   | 1.43%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STWD Trust                                                                | STWD Trust, Series 2021-FLWR, Class A                                                                                        | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946176 | PA      | $942627.72    | 0.24%             | 2036-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                                                       | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $456436.91    | 0.12%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class A                                                                   | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $428019.20    | 0.11%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137585 | PA      | $120879.18    | 0.03%             | 2048-05-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129178 | PA      | $120205.00    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $957466.98    | 0.24%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175089 | PA      | $171790.70    | 0.04%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-2, Class B1                                                                          | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498371.20    | 0.13%             | 2068-03-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90511 | PA      | $84063.33     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                 | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                                         | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981844 | PA      | $840860.50    | 0.21%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 2CB                                         | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    679333 | PA      | $459214.17    | 0.12%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5423 | PA      | $5656.09      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-21, Class A11                                                                   | CUSIP: 12543PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155690 | PA      | $483141.47    | 0.12%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5, Class A3                                          | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197957 | PA      | $158405.39    | 0.04%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M4                                                              | CUSIP: 92257HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911680 | PA      | $804216.68    | 0.20%             | 2049-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                                                               | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $340000.00    | 0.09%             | 2041-07-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2048 | PA      | $2143.48      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  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        |    280000 | PA      | $278598.18    | 0.07%             | 2041-10-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA1, Class A1A                                       | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601504 | PA      | $521308.17    | 0.13%             | 2047-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1                                                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1582893 | PA      | $1566487.62   | 0.40%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                   | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                       | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    418000 | PA      | $417974.56    | 0.11%             | 2039-03-19      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C20, Class XA                                                                              | CUSIP: 07336DAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11857722 | PA      | $583351.32    | 0.15%             | 2056-07-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                                 | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $294631.25    | 0.07%             | 2041-12-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31663 | PA      | $30728.77     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-5, Class LI                                                            | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63157 | PA      | $11191.94     | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class A                                                                            | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202977 | PA      | $203542.81    | 0.05%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                                       | CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A6                                                               | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439065 | PA      | $409980.58    | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class F                                                                                        | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629131 | PA      | $613009.64    | 0.15%             | 2038-11-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10560 | PA      | $10972.49     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                    | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $259918.75    | 0.07%             | 2041-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18669 | PA      | $17976.09     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A1                                                                | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202185 | PA      | $981717.83    | 0.25%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class E                                                                                          | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439000 | PA      | $437239.96    | 0.11%             | 2034-03-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67008 | PA      | $65226.08     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                             | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576387 | PA      | $575306.35    | 0.15%             | 2038-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294282 | PA      | $288990.69    | 0.07%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028094 | PA      | $15654.47     | 0.00%             | 2051-11-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43292 | PA      | $40594.62     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-BIO, Class A                                                                                           | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $729487.50    | 0.18%             | 2041-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                                          | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $297628.23    | 0.08%             | 2039-12-15      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust                                                                                                      | CUSIP: 06744JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521 | PA      | $505.37       | 0.00%             | 2051-11-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                                                        | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $205065.27    | 0.05%             | 2039-08-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class B                                                                 | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $520812.50    | 0.13%             | 2028-03-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-3BP, Class A                                                                      | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467000 | PA      | $462089.17    | 0.12%             | 2042-02-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167613 | PA      | $163012.49    | 0.04%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85174 | PA      | $77568.04     | 0.02%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MHP                                                                       | MHP, Series 2022-MHIL, Class A                                                                                               | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497227 | PA      | $494119.79    | 0.12%             | 2039-01-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5991000 | PA      | $4886352.46   | 1.24%             | 2055-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2016-3A, Class A1R2                                                                                    | CUSIP: 92915HAW3<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    837114 | PA      | $837114.02    | 0.21%             | 2031-10-18      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5061096 | PA      | $4571796.45   | 1.16%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576070 | PA      | $575169.79    | 0.15%             | 2037-02-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72904 | PA      | $66155.46     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LYY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28397 | PA      | $26452.83     | 0.01%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class M1                                                              | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1552936 | PA      | $1530251.59   | 0.39%             | 2037-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A                                                              | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $606297.07    | 0.15%             | 2036-08-17      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2018-BA, Class A2B                                                              | CUSIP: 63940QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481156 | PA      | $481239.06    | 0.12%             | 2059-12-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2049 | PA      | $2032.78      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17433 | PA      | $16612.89     | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                     | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                               | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $445607.93    | 0.11%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-97, Class LI                                                           | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19128593 | PA      | $3188063.10   | 0.81%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A4                                                               | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |    640273 | PA      | $631108.51    | 0.16%             | 2033-09-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                                                         | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $344601.87    | 0.09%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                                                         | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $418293.75    | 0.11%             | 2041-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-96, Class FL                                       | CUSIP: 38384PC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1892139 | PA      | $1887682.85   | 0.48%             | 2054-06-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10591 | PA      | $10430.86     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2017-4A, Class A1                                                                                | CUSIP: 14315BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    147992 | PA      | $147992.22    | 0.04%             | 2030-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2017-B, Class B                                                                     | CUSIP: 83189DAD2<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $431315.32    | 0.11%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class A                                                                                        | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $905501.91    | 0.23%             | 2033-03-10      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198S7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25191 | PA      | $24363.18     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25984 | PA      | $26666.19     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                                             | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263754 | PA      | $1254078.97   | 0.32%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55238 | PA      | $50193.70     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139452 | PA      | $128520.77    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class B                                                                              | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203000 | PA      | $201313.92    | 0.05%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108090 | PA      | $113120.84    | 0.03%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17625 | PA      | $16767.63     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862955 | PA      | $1145552.89   | 0.29%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316152 | PA      | $293297.94    | 0.07%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd.                                                           | Octagon 66 Ltd., Series 2022-1A, Class A1R                                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $650487.50    | 0.16%             | 2036-11-16      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78936 | PA      | $74467.87     | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-INV4, Class B1                                                                         | CUSIP: 19688QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495843.40    | 0.13%             | 2069-05-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101726 | PA      | $99884.27     | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $832125.00    | 0.21%             | 2039-12-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2023-AA, Class A                                                                      | CUSIP: 56847FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $126142.46    | 0.03%             | 2035-10-22      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20588 | PA      | $19757.19     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B1                                                                  | CUSIP: 10569NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499709.11    | 0.13%             | 2064-11-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15303 | PA      | $15793.88     | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                                  | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649700 | PA      | $633913.23    | 0.16%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-IA, Class A1B                                                         | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565693 | PA      | $562551.15    | 0.14%             | 2069-04-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M1                                                                             | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    432201 | PA      | $447870.56    | 0.11%             | 2059-07-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-2, Class B2                                                                     | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $982015.10    | 0.25%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7614 | PA      | $7139.62      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31415 | PA      | $31096.88     | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A6                                                          | CUSIP: 76113NAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459228 | PA      | $415412.64    | 0.11%             | 2036-07-25      | Floating      | 18.47%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9634 | PA      | $9806.42      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19976 | PA      | $18608.12     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX                                      | CUSIP: 38379C6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109410 | PA      | $113548.60    | 0.03%             | 2039-07-20      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                             | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                                                                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129686 | PA      | $129523.97    | 0.03%             | 2038-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E                                                                  | CUSIP: 36262MAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $291026.58    | 0.07%             | 2036-10-15      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| NYMT Trust                                                                | NYMT Trust, Series 2024-RR1, Class A                                                                                         | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933089 | PA      | $924313.05    | 0.23%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXII                                                          | Apidos CLO XXXII, Series 2019-32A, Class A1R                                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    278643 | PA      | $277485.88    | 0.07%             | 2033-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68043 | PA      | $67540.39     | 0.02%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10664 | PA      | $10062.32     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class D                                                                                         | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $418492.19    | 0.11%             | 2041-10-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                              | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495907 | PA      | $491836.10    | 0.12%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41544 | PA      | $40385.77     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XVIII Ltd.                                           | Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR                                                                  | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1103460 | PA      | $1103460.11   | 0.28%             | 2030-10-21      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2024-PARK, Class D                                                                     | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $231942.02    | 0.06%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                          | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1549350.00   | 0.39%             | 2042-03-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                                        | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867745 | PA      | $867474.28    | 0.22%             | 2039-02-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1244 | PA      | $1203.58      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84183 | PA      | $82519.75     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO V-R Ltd.                                                  | Sound Point CLO V-R Ltd., Series 2014-1RA, Class A                                                                           | CUSIP: 83607EAA0<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |    127738 | PA      | $127729.84    | 0.03%             | 2031-07-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                                     | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596286 | PA      | $596910.70    | 0.15%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class F                                                                                         | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $112975.61    | 0.03%             | 2039-06-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class D                                                               | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207000 | PA      | $209467.13    | 0.05%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class AFL                                                                         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320805 | PA      | $319059.50    | 0.08%             | 2062-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3064 | PA      | $2890.39      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class B                                                                             | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258093 | PA      | $260689.90    | 0.07%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-9T1, Class A4                                                                            | CUSIP: 12668BVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679628 | PA      | $626958.41    | 0.16%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B2                                                              | CUSIP: 64832DAH4<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    394300 | PA      | $374941.29    | 0.09%             | 2065-01-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2007-9, Class A2A                                                                             | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    828113 | PA      | $458317.34    | 0.12%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class B                                                                       | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1078896.88   | 0.27%             | 2039-02-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8596 | PA      | $8529.46      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 22A                                                     | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436947 | PA      | $404538.62    | 0.10%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV5, Class B6                                                                       | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465787 | PA      | $703150.26    | 0.18%             | 2051-12-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14635 | PA      | $13524.05     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-2A, Class B                                                                            | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860000 | PA      | $854747.03    | 0.22%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13170 | PA      | $12755.92     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3413 | PA      | $3335.45      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                | RASC Trust, Series 2006-EMX9, Class 1A4                                                                                      | CUSIP: 74924VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125879 | PA      | $895578.76    | 0.23%             | 2036-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519349 | PA      | $94481.22     | 0.02%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43322 | PA      | $41967.64     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44497 | PA      | $40322.76     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AJAXM                                                                     | Ajax Mortgage Loan Trust                                                                                                     | CUSIP: 00971FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1501 | PA      | $1455.97      | 0.00%             | 2061-06-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797NN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  20749000 | PA      | $20680900.33  | 5.23%             | 2025-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135316 | PA      | $136689.97    | 0.03%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                          | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809000 | PA      | $802930.40    | 0.20%             | 2029-07-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class B                                                                                 | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100370.30    | 0.03%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AW3Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179181 | PA      | $175484.81    | 0.04%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56979 | PA      | $54947.29     | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  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        |    116900 | PA      | $114003.71    | 0.03%             | 2038-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class A                                                                                               | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1054340.63   | 0.27%             | 2041-06-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-19, Class 1A34                                                                           | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743264 | PA      | $345428.31    | 0.09%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2329 | PA      | $2281.06      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48922 | PA      | $46594.30     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                                         | CarVal CLO I Ltd., Series 2018-1A, Class AR                                                                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1784804 | PA      | $1782126.64   | 0.45%             | 2031-07-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15412 | PA      | $15025.19     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                                                         | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $295008.73    | 0.07%             | 2029-08-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                       | DBWF Mortgage Trust, Series 2024-LCRS, Class A                                                                               | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $357861.89    | 0.09%             | 2037-04-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XB                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $44262.60     | 0.01%             | 2053-04-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-STAR, Class B                                                                | CUSIP: 36264LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $863187.12    | 0.22%             | 2036-12-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994362.20    | 0.25%             | 2038-09-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                                                        | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $835796.22    | 0.21%             | 2041-08-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                                               | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2902248 | PA      | $146092.51    | 0.04%             | 2053-04-15      | Variable      | 1.71%                 | No            |                  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        |    380000 | PA      | $400658.97    | 0.10%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2493 | PA      | $2609.01      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M4                                                              | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345763 | PA      | $345942.93    | 0.09%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QS1, Class 1A5                                                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848700 | PA      | $619905.87    | 0.16%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14940 | PA      | $15119.85     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A2                                                          | CUSIP: 76113NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2609196 | PA      | $455456.47    | 0.12%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WLF2, Class A                                                                                  | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $564823.44    | 0.14%             | 2041-05-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class A                                                                                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $563170.00    | 0.14%             | 2039-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                                                                      | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356331 | PA      | $354995.08    | 0.09%             | 2039-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3                                                                     | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525020 | PA      | $592806.13    | 0.15%             | 2036-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-53, Class V                                                            | CUSIP: 38380M4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138986 | PA      | $129752.23    | 0.03%             | 2031-08-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                            | Mariner Finance issuance Trust, Series 2024-BA, Class D                                                                      | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $211773.05    | 0.05%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans LLC                                             | College Ave Student Loans LLC, Series 2021-C, Class C                                                                        | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123720 | PA      | $113915.12    | 0.03%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2024-RVR, Class E                                                                 | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199397.71    | 0.05%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                                  | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501384.05    | 0.13%             | 2063-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31368HNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158674 | PA      | $157502.30    | 0.04%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19469 | PA      | $18534.15     | 0.00%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VINO, Class A                                                                      | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170472 | PA      | $169832.30    | 0.04%             | 2038-05-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class D                                                                                           | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $143331.67    | 0.04%             | 2041-03-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2025-ASHF, Class A                                                                                       | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $440025.26    | 0.11%             | 2042-02-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                                   | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241512 | PA      | $331468.68    | 0.08%             | 2046-04-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162524 | PA      | $152394.28    | 0.04%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4418.85      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95620 | PA      | $90525.25     | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A7                                                                          | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499650 | PA      | $584592.06    | 0.15%             | 2037-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23479 | PA      | $22793.53     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class B                                                                     | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $820670.88    | 0.21%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28911 | PA      | $28001.15     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-BHAR, Class E                                                                                        | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294499.68    | 0.07%             | 2038-11-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                            | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190330.27    | 0.05%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class X                                                                                        | CUSIP: 55318EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28000000 | PA      | $80096.80     | 0.02%             | 2038-06-10      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28207 | PA      | $25917.41     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A1                                                         | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |    250035 | PA      | $249940.14    | 0.06%             | 2031-05-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-101, Class SL                                      | CUSIP: 38380FH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334068 | PA      | $43774.47     | 0.01%             | 2047-07-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                                       | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $522255.41    | 0.13%             | 2064-07-25      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2010-6R, Class 2A6B                                                                                       | CUSIP: 12643PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501535 | PA      | $519120.23    | 0.13%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2082 | PA      | $2007.24      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2023-SFR2, Class F1                                                                                       | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $553397.82    | 0.14%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7368 | PA      | $6980.89      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class D                                                                       | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248834 | PA      | $248601.13    | 0.06%             | 2039-02-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12852 | PA      | $12461.76     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR31, Class 2A1                                                                | CUSIP: 45660LW39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998242 | PA      | $959681.07    | 0.24%             | 2036-01-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                                                                      | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409995 | PA      | $1409994.81   | 0.36%             | 2041-10-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20076 | PA      | $18477.70     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405713 | PA      | $49526.86     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15592 | PA      | $14365.77     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                             | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485734 | PA      | $1218212.72   | 0.31%             | 2039-05-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16238 | PA      | $14755.34     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2007-BC3, Class 1A                                                             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563232 | PA      | $525960.32    | 0.13%             | 2047-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12306 | PA      | $11600.88     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22797 | PA      | $22288.87     | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class B                                                                      | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $185346.88    | 0.05%             | 2027-06-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                                                        | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $426805.65    | 0.11%             | 2066-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5154 | PA      | $4641.74      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP2, Class A                                                                                       | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255000 | PA      | $1247940.63   | 0.32%             | 2036-11-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S2, Class 1A9                                                                      | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1707644 | PA      | $919805.12    | 0.23%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28691 | PA      | $26121.33     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M4                                                              | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094186 | PA      | $1076929.43   | 0.27%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2012-RR3, Class 3A8                                                                                   | CUSIP: 05539BAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184930 | PA      | $1043776.73   | 0.26%             | 2037-07-26      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30972 | PA      | $28533.95     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155215 | PA      | $152359.13    | 0.04%             | 2027-09-01      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| 2023-MIC Trust                                                            | 2023-MIC Trust, Series 2023-MIC, Class A                                                                                     | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $260925.46    | 0.07%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $187830.95    | 0.05%             | 2039-07-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97984 | PA      | $98461.35     | 0.02%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135755 | PA      | $129232.71    | 0.03%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10394 | PA      | $10313.56     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class B3                                                                            | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379480 | PA      | $115918.03    | 0.03%             | 2060-12-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $410468.09    | 0.10%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 1A4                                                     | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700639 | PA      | $632249.17    | 0.16%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67000 | PA      | $64141.89     | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620337 | PA      | $112853.28    | 0.03%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21142 | PA      | $18828.19     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2018-3A, Class A1R2                                                                                    | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    675069 | PA      | $673749.59    | 0.17%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12766 | PA      | $12058.97     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class E                                                                      | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $375326.91    | 0.09%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40929 | PA      | $40622.62     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class M1B                                                                                      | CUSIP: 00112EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006476.60   | 0.25%             | 2064-10-25      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                              | Ford Credit Auto Owner Trust, Series 2025-1, Class B                                                                         | CUSIP: 34532MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232000 | PA      | $234513.09    | 0.06%             | 2037-08-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-2, Class B1                                                                          | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492406.25    | 0.12%             | 2070-03-25      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-22, Class M1                                                              | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2171097 | PA      | $1811188.58   | 0.46%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46335 | PA      | $44156.62     | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class F                                                                        | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2330589.75   | 0.59%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45577 | PA      | $42684.70     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31034 | PA      | $30131.87     | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                                                                  | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1104020 | PA      | $1082995.23   | 0.27%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                           | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248818 | PA      | $249829.81    | 0.06%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5864 | PA      | $5555.55      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60827 | PA      | $57429.72     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-6, Class ES                                        | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6330838 | PA      | $568484.59    | 0.14%             | 2053-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| BHMS                                                                      | BHMS, Series 2018-ATLS, Class C                                                                                              | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269000 | PA      | $268302.11    | 0.07%             | 2035-07-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                           | ChaseFlex Trust, Series 2007-1, Class 2A7                                                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1874321 | PA      | $630208.23    | 0.16%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class B1                                                                 | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2985000 | PA      | $3030578.86   | 0.77%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24247 | PA      | $23787.44     | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20737 | PA      | $20053.17     | 0.01%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                                                                       | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889389 | PA      | $888276.87    | 0.22%             | 2039-02-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       392 | NC      | $653035.00    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-55CW, Class 2A3                                                                          | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558667 | PA      | $406667.51    | 0.10%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | Ellington Financial Mortgage Trust, Series 2023-1, Class B1                                                                  | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990848.70    | 0.25%             | 2068-02-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO Ltd.                                                      | Cayuga Park CLO Ltd., Series 2020-1A, Class AR                                                                               | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499250.00   | 0.38%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2006-9F, Class 3A1                                                                           | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495395 | PA      | $454121.27    | 0.11%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2A1                                                                  | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490015 | PA      | $485886.05    | 0.12%             | 2053-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36568 | PA      | $33644.66     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16372 | PA      | $16155.63     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                                                                 | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $598500.00    | 0.15%             | 2041-11-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204058 | PA      | $209139.57    | 0.05%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alen Mortgage Trust                                                       | Alen Mortgage Trust, Series 2021-ACEN, Class D                                                                               | CUSIP: 01449NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $56259.99     | 0.01%             | 2034-04-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| TTAN MHC                                                                  | TTAN MHC, Series 2021-MHC, Class A                                                                                           | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653688 | PA      | $652462.14    | 0.16%             | 2038-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B1                                                                           | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $219037.35    | 0.06%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18544 | PA      | $19593.24     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6958 | PA      | $6862.70      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44915 | PA      | $43984.31     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                                        | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    396474 | PA      | $396197.15    | 0.10%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-27, Class IJ                                                              | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5724468 | PA      | $1123206.44   | 0.28%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                               | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190403 | PA      | $753099.21    | 0.19%             | 2046-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26097 | PA      | $25425.19     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TCO Commercial Mortgage Trust                                             | TCO Commercial Mortgage Trust, Series 2024-DPM, Class A                                                                      | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945000 | PA      | $937912.50    | 0.24%             | 2039-12-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9246 | PA      | $8669.48      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class F                                                                                          | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $441880.88    | 0.11%             | 2039-01-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-7, Class IA                                                               | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21616566 | PA      | $2780020.09   | 0.70%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18629 | PA      | $18508.85     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14352 | PA      | $14104.99     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    768138 | PA      | $766178.02    | 0.19%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46000 | PA      | $39914.30     | 0.01%             | 2055-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17065 | PA      | $16622.21     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class D                                                                            | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $364546.87    | 0.09%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2020-43                                                 | CUSIP: 38380PAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1964595 | PA      | $154483.34    | 0.04%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class A                                                                                         | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $550000.00    | 0.14%             | 2039-06-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8889 | PA      | $8309.77      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A4                                                             | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100386.18    | 0.03%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20910 | PA      | $19607.54     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50221 | PA      | $46643.11     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12284 | PA      | $11864.02     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53707 | PA      | $50361.49     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2015-4A, Class A1RR                                                        | CUSIP: 14311NAU8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    643843 | PA      | $643199.05    | 0.16%             | 2032-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4003 | PA      | $3749.15      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class AJ                                                                         | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95500.00     | 0.02%             | 2036-01-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class A                                                                                          | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $875600.00    | 0.22%             | 2039-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XV                                                             | Apidos CLO XV, Series 2013-15A, Class A1RR                                                                                   | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |    339761 | PA      | $339528.56    | 0.09%             | 2031-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-6, Class 3CB1                                        | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2605519 | PA      | $1040027.96   | 0.26%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class C                                                                                         | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $538038.53    | 0.14%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class E                                                                                          | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249358 | PA      | $245783.44    | 0.06%             | 2041-04-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7673 | PA      | $7507.64      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41840 | PA      | $37940.51     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34567 | PA      | $32411.93     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39462 | PA      | $37003.79     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-54, Class FD                                          | CUSIP: 3136BSSL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823389 | PA      | $824516.58    | 0.21%             | 2054-08-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8438361 | PA      | $8741550.43   | 2.21%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A                                                          | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72796 | PA      | $70803.93     | 0.02%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1                                                                 | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2560941.60   | 0.65%             | 2065-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3, Class M1                                                       | CUSIP: 004421HQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229622 | PA      | $228599.55    | 0.06%             | 2034-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                                                                  | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $538818.75    | 0.14%             | 2039-03-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50386 | PA      | $48714.55     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |      5248 | PA      | $5248.00      | 0.00%             | 2060-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                        | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $574062.15    | 0.15%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class A                                                                                          | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $360900.00    | 0.09%             | 2038-05-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                                                          | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $109725.00    | 0.03%             | 2041-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128947 | PA      | $126458.26    | 0.03%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38080 | PA      | $35953.60     | 0.01%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2024-BOCA, Class A                                                                    | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $798500.00    | 0.20%             | 2041-08-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102940 | PA      | $104107.70    | 0.03%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40210 | PA      | $37891.59     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        89 | NC      | $60353.49     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38491 | PA      | $35939.94     | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-04-30

**Name of Applicant:** Managed Account Series II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer