# EDGAR Filing Document

**Accession Number:** 0001886172
**File Stem:** 0002071691-26-012530
**Filing Date:** 2026-5
**Character Count:** 131623
**Document Hash:** f535727bd0f1bb10ed724f19de2a2369
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-012530.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0002071691-26-012530

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine ETF Trust
- **CENTRAL INDEX KEY:** 0001886172

**ORGANIZATION NAME:**
- **EIN:** 876641637
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23746
- **FILM NUMBER:** 261031142

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 NORTH TAMPA STREET
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (213) 633-8200

**MAIL ADDRESS:**
- **STREET 1:** 2002 NORTH TAMPA STREET
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### DoubleLine Securitized Credit ETF (Series ID: S000096946)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000265971 | DoubleLine Securitized Credit ETF |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DoubleLine ETF Trust

- **b. Investment Company Act file number:** 811-23746

- **c. CIK number of Registrant:** 0001886172

- **d. LEI of Registrant:** 549300TPCA72X7FKG626

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

  - **Street Address 1:** 2002 North Tampa Street Suite 200

  - **City:** Tampa

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33602

  - **Telephone number:** 813-791-7333

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

- **a. Name of Series:** DoubleLine Securitized Credit ETF

- **b. EDGAR series identifier (if any):** S000096946

- **c. LEI of Series:** 254900EFVAYHUSO5DI66

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $178246325.54

**Total Liabilities:** $1753216.42

**Net Assets:** $176493109.12

**Delayed Delivery Securities:** $1153667.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 197.00000000 | **1-Year:** 8868.00000000 | **5-Year:** 28122.00000000 | **10-Year:** 15807.00000000 | **30-Year:** 1748.00000000

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

- **3-Month:** 41.00000000 | **1-Year:** 1353.00000000 | **5-Year:** 2007.00000000 | **10-Year:** 1413.00000000 | **30-Year:** 494.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000265971 | 0.50%                | 0.81%                | -0.77%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $37010.69                | $79287.29                                  |
| Month 2  | $33245.32                | $549403.03                                 |
| Month 3  | $0.00                    | $-2145990.07                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| RR 2 Ltd.                                                            | RR 2 Ltd., Series 2017-2A, Class DR                                               | CUSIP: 78109RAJ5<br>LEI: 54930098CLSTWMH4JW47 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $902194.70    | 0.51%             | 2036-04-15      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2026-1250B, Class A                 | CUSIP: 949939AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $148684.40    | 0.08%             | 2041-03-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Aspire Mortgage Trust                                                | Aspire Mortgage Trust, Series 2026-1, Class M1                                    | CUSIP: 04539FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1755181.75   | 0.99%             | 2066-01-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M2                   | CUSIP: 207932AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1300513.25   | 0.74%             | 2042-12-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2025-5YR15, Class D                                                 | CUSIP: 065924BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $167387.42    | 0.09%             | 2058-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund                           | JPMorgan U.S. Government Money Market Fund - Class IM                             | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  10711944 | NS      | $10711943.75  | 6.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-167, Class DI                                                   | CUSIP: 38382LAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3661281 | PA      | $532763.29    | 0.30%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                             | MF1 Ltd., Series 2021-FL7, Class C                                                | CUSIP: 55284AAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    310000 | PA      | $310173.60    | 0.18%             | 2036-10-16      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                     | TRTX Issuer Ltd., Series 2022-FL5, Class B                                        | CUSIP: 87277JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450832.05    | 0.26%             | 2039-02-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL2, Class B                                               | CUSIP: 30319YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $270666.90    | 0.15%             | 2038-05-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-142, Class SD                                                   | CUSIP: 38382JPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1396541 | PA      | $186861.95    | 0.11%             | 2050-09-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2025-NQM2, Class A3                                                  | CUSIP: 281917AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026791 | PA      | $1031122.96   | 0.58%             | 2070-06-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                         | BX Commercial Mortgage Trust, Series 2026-XL6, Class C                            | CUSIP: 12433NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $367472.46    | 0.21%             | 2043-03-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                        | UBS Commercial Mortgage Trust, Series 2018-C13, Class B                           | CUSIP: 90353KBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422000 | PA      | $400394.11    | 0.23%             | 2051-10-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2021-3, Class B2                               | CUSIP: 92539LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1165766.10   | 0.66%             | 2066-06-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-173, Class AI                                                   | CUSIP: 38382LNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3442550 | PA      | $499217.96    | 0.28%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                         | Bain Capital Credit CLO Ltd., Series 2021-1A, Class AR                            | CUSIP: 05684LAN5<br>LEI: 254900DHB4WS9ZL4ED63 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499340.90    | 0.28%             | 2034-04-18      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 28 Ltd.                                                  | Elmwood CLO 28 Ltd., Series 2024-4A, Class E                                      | CUSIP: 29003PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $479772.45    | 0.27%             | 2037-04-17      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                              | Rockford Tower CLO Ltd., Series 2024-1A, Class A1                                 | CUSIP: 77342BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000824.90   | 0.57%             | 2037-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2020-54, Class AS                                             | CUSIP: 3136BBGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884666 | PA      | $105372.27    | 0.06%             | 2050-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                               | Velocity Commercial Capital Loan Trust, Series 2019-1, Class M6                   | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113743 | PA      | $98455.37     | 0.06%             | 2049-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-105                                                             | CUSIP: 38383TKA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4009296 | PA      | $582079.26    | 0.33%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber Abs Issuer LLC                                           | Uniti Fiber Abs Issuer LLC, Series 2025-1A, Class B                               | CUSIP: 91326EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508848.90    | 0.29%             | 2055-04-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-R2, Class M1                              | CUSIP: 92541EAF9<br>LEI: 2138003KWTZZS4PBW772 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1203836.40   | 0.68%             | 2067-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                           | PRPM Trust, Series 2025-NQM3, Class B1                                            | CUSIP: 69382NAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1301973.53   | 0.74%             | 2070-05-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-21                                                              | CUSIP: 38381ERF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21764746 | PA      | $1307388.69   | 0.74%             | 2063-10-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| AASET                                                                | AASET, Series 2025-1A, Class B                                                    | CUSIP: 00258PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459564 | PA      | $460245.27    | 0.26%             | 2050-02-16      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5112, Class SC                                               | CUSIP: 3137H0RN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3428450 | PA      | $1769.77      | 0.00%             | 2051-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                                 | Castlelake Aircraft Structured Trust, Series 2026-1A, Class B                     | CUSIP: 148924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $690145.40    | 0.39%             | 2051-03-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXXI Ltd.                                            | Sound Point CLO XXXI Ltd., Series 2021-3A, Class D                                | CUSIP: 83615PAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $471771.60    | 0.27%             | 2034-10-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-10, Class A3                              | CUSIP: 92541FAE9<br>LEI: 213800OGLOX4BB4D6N90 | Long             | ABS-MBS          | CORP              | US        |   1290682 | PA      | $1289166.16   | 0.73%             | 2070-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd.                                               | Rockland Park CLO Ltd., Series 2021-1A, Class A1R                                 | CUSIP: 773663AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500516.80    | 0.28%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                                            | GPMT Ltd., Series 2021-FL3, Class AS                                              | CUSIP: 36264BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    165337 | PA      | $165624.88    | 0.09%             | 2035-07-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                           | BAMLL Commercial Mortgage Securities Trust, Series 2015-HAUL, Class B             | CUSIP: 05526WAJ2<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $488514.35    | 0.28%             | 2043-07-07      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                          | SREIT Trust, Series 2021-MFP2, Class B                                            | CUSIP: 85236WCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299876.04    | 0.17%             | 2036-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2020-80, Class IB                                             | CUSIP: 3136BCYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3440546 | PA      | $546496.27    | 0.31%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-125, Class AS                                                   | CUSIP: 38382WHF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2994186 | PA      | $26654.55     | 0.02%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                                    | Compass Datacenters Issuer II LLC, Series 2024-1A, Class B                        | CUSIP: 20469AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506088.10    | 0.29%             | 2049-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-6, Class BI                                                     | CUSIP: 38384GZ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3225872 | PA      | $471499.92    | 0.27%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust               | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class AS | CUSIP: 46590KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $416445.20    | 0.24%             | 2049-01-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                              | BDS LLC, Series 2025-FL16, Class C                                                | CUSIP: 05556XAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    530000 | PA      | $529209.77    | 0.30%             | 2043-06-19      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-196, Class DI                                                   | CUSIP: 38382L4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1843282 | PA      | $257100.26    | 0.15%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2021-20, Class PI                                             | CUSIP: 3136BFYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3321027 | PA      | $517048.39    | 0.29%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                            | Santander Mortgage Asset Receivable Trust, Series 2026-NQM2, Class M1             | CUSIP: 802933AH4<br>LEI: 254900X3WQ94L5BYAR60 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1725911.78   | 0.98%             | 2066-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                            | Santander Mortgage Asset Receivable Trust, Series 2026-NQM1, Class M1             | CUSIP: 802931AH8<br>LEI: 254900O64LWPVM9P8N80 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1732571.75   | 0.98%             | 2065-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ALTDE Trust                                                          | ALTDE Trust, Series 2025-1A, Class B                                              | CUSIP: 00166NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925681 | PA      | $924323.38    | 0.52%             | 2050-08-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2025-7, Class A2                                                 | CUSIP: 69382YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1197240.48   | 0.68%             | 2030-08-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC                                                 | Hardee's Funding LLC, Series 2024-1A, Class A2                                    | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $500953.51    | 0.28%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                             | COLT Mortgage Loan Trust, Series 2026-2, Class M1                                 | CUSIP: 19689FAL8<br>LEI: 213800O4MIR3K4EURE50 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1760610.25   | 1.00%             | 2071-03-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes LLC                        | Arbor Realty Commercial Real Estate Notes LLC, Series 2026-FL1, Class A           | CUSIP: 03881XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    387000 | PA      | $387482.59    | 0.22%             | 2043-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2024-5YR9, Class C                                                  | CUSIP: 06644VBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $356821.36    | 0.20%             | 2057-08-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2026-5C8, Class C                   | CUSIP: 95005BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $352849.90    | 0.20%             | 2059-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-13, Class IA                                                    | CUSIP: 38384GR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1653695 | PA      | $268632.64    | 0.15%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5038, Class IQ                                               | CUSIP: 3137FXN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7045514 | PA      | $1074653.02   | 0.61%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B1                   | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1013841.10   | 0.57%             | 2044-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| SFO Commercial Mortgage Trust                                        | SFO Commercial Mortgage Trust, Series 2021-555, Class A                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249743.33    | 0.14%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                             | PFP Ltd., Series 2024-11, Class B                                                 | CUSIP: 69291WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    298659 | PA      | $299316.91    | 0.17%             | 2039-09-17      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2020-77, Class S                                              | CUSIP: 3136BCVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116358 | PA      | $48097.62     | 0.03%             | 2050-11-25      | Floating      | 0.49%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                 | LoanCore Issuer Ltd., Series 2021-CRE6, Class A                                   | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14106 | PA      | $14141.77     | 0.01%             | 2038-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 41 Ltd.                                  | Benefit Street Partners CLO 41 Ltd., Series 2025-41A, Class A                     | CUSIP: 08186GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000512.90   | 0.57%             | 2038-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2026-5C8, Class XA                  | CUSIP: 95005BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6070000 | PA      | $355292.28    | 0.20%             | 2059-03-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2023-FL10, Class B                                      | CUSIP: 05610VAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250793.75    | 0.14%             | 2035-09-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-83                                                              | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3874160 | PA      | $551162.03    | 0.31%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                             | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class B                 | CUSIP: 76134KAC8<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $493998.40    | 0.28%             | 2048-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-151, Class TI                                                   | CUSIP: 38382J4E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2577405 | PA      | $363478.80    | 0.21%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | UMBS, 30 Year                                                                     | CUSIP: 3132DUGS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1528609 | PA      | $1563814.72   | 0.89%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-79, Class JI                                                    | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149687 | PA      | $294478.37    | 0.17%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                           | AREIT Ltd., Series 2023-CRE8, Class A                                             | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     74148 | PA      | $74241.06     | 0.04%             | 2041-08-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| KIND Commercial Mortgage Trust                                       | KIND Commercial Mortgage Trust, Series 2024-1, Class A                            | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200166.28    | 0.11%             | 2041-08-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                      | CSAIL Commercial Mortgage Trust, Series 2017-CX9, Class A4                        | CUSIP: 12595FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367924 | PA      | $363869.31    | 0.21%             | 2050-09-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2019-BN19, Class A2                                                  | CUSIP: 06540WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339155 | PA      | $324698.70    | 0.18%             | 2061-08-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2026-NQM3, Class M1                                                  | CUSIP: 26846JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1497879.00   | 0.85%             | 2071-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 437, Class C2                                                 | CUSIP: 31424UNY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5172314 | PA      | $489186.92    | 0.28%             | 2052-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-80                                                              | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3231995 | PA      | $216750.21    | 0.12%             | 2062-12-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2021-BN34, Class ASB                                                 | CUSIP: 06541JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $331254.60    | 0.19%             | 2063-06-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                 | FS Rialto Issuer LLC, Series 2026-FL11, Class C                                   | CUSIP: 30343TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $361117.44    | 0.20%             | 2044-01-19      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2024-5C27, Class XA                                  | CUSIP: 05555FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11248519 | PA      | $254412.25    | 0.14%             | 2057-07-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                            | STWD Ltd., Series 2022-FL3, Class AS                                              | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $370460.28    | 0.21%             | 2038-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVI Ltd.                                            | Sound Point CLO XXVI Ltd., Series 2020-1A, Class ER                               | CUSIP: 83615BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $838941.40    | 0.48%             | 2034-07-20      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                       | Morgan Stanley Capital I Trust, Series 2016-UB11, Class AS                        | CUSIP: 61767FBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $297320.76    | 0.17%             | 2049-08-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Anthelion CLO Ltd.                                                   | Anthelion CLO Ltd., Series 2025-1A, Class A1                                      | CUSIP: 03676GAA9<br>LEI: 254900S9YB3JCLS0SX64 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500477.40    | 0.28%             | 2036-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LMNT CRE LLC                                                         | LMNT CRE LLC, Series 2025-FL3, Class C                                            | CUSIP: 50208TAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    490000 | PA      | $496034.84    | 0.28%             | 2043-07-21      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL3, Class A                                               | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    194725 | PA      | $195140.04    | 0.11%             | 2036-11-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2025-5YR16, Class AS                                                | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392000 | PA      | $401943.16    | 0.23%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2024-6, Class M1                               | CUSIP: 92540JAD4<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1253978.50   | 0.71%             | 2069-07-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-11, Class B1                              | CUSIP: 924935AL3<br>LEI: 213800H1O4C5SRNN4B66 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493389.70    | 0.28%             | 2070-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-98, Class SB                                                    | CUSIP: 38382TB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1321177 | PA      | $152701.25    | 0.09%             | 2051-06-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                                            | GPMT Ltd., Series 2021-FL4, Class B                                               | CUSIP: 36262TAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $299074.20    | 0.17%             | 2036-12-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2021-NQM4, Class B2                                            | CUSIP: 12659PAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372000 | PA      | $1062230.39   | 0.60%             | 2066-05-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-10, Class A2                              | CUSIP: 92541FAD1<br>LEI: 213800OGLOX4BB4D6N90 | Long             | ABS-MBS          | CORP              | US        |   1290682 | PA      | $1288161.50   | 0.73%             | 2070-06-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2024-V6, Class AS                                | CUSIP: 081927AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $103497.08    | 0.06%             | 2057-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer LLC                                                     | BSPRT Issuer LLC, Series 2026-FL13, Class A                                       | CUSIP: 05620GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    480000 | PA      | $481200.00    | 0.27%             | 2043-10-18      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Clover CLO LLC                                                       | Clover CLO LLC, Series 2018-1A, Class A1RR                                        | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500382.20    | 0.28%             | 2037-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                            | STWD Ltd., Series 2021-FL2, Class A                                               | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25917 | PA      | $25922.97     | 0.01%             | 2038-04-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                   | BMO Mortgage Trust, Series 2025-5C10, Class AS                                    | CUSIP: 05615BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $403660.22    | 0.23%             | 2058-05-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                                  | Hotwire Funding LLC, Series 2021-1, Class B                                       | CUSIP: 44148JAB5<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $984853.70    | 0.56%             | 2051-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                 | Deephaven Residential Mortgage Trust, Series 2026-INV1, Class M1                  | CUSIP: 24381GAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1733275.95   | 0.98%             | 2070-12-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES, Class G  | CUSIP: 46651CAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $932022.00    | 0.53%             | 2032-05-05      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                    | Affirm Asset Securitization Trust, Series 2025-X2, Class A                        | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565324 | PA      | $565803.76    | 0.32%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                 | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                  | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76819 | PA      | $77209.50     | 0.04%             | 2036-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                                     | Empower CLO Ltd., Series 2024-1A, Class D1                                        | CUSIP: 29244RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500040.40    | 0.28%             | 2037-04-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2026-5YR21, Class XA                                                | CUSIP: 06644BBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10931000 | PA      | $384042.10    | 0.22%             | 2059-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                            | KREF Ltd., Series 2021-FL2, Class A                                               | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    150616 | PA      | $150972.48    | 0.09%             | 2039-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Aaset Ltd.                                                           | Aaset Ltd., Series 2024-2A, Class B                                               | CUSIP: 00038QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268240 | PA      | $268356.94    | 0.15%             | 2049-09-16      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Canyon CLO Ltd.                                                      | Canyon CLO Ltd., Series 2021-3A, Class ER                                         | CUSIP: 13875NAE4<br>LEI: 254900YKW562N0UZ4846 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $448410.00    | 0.25%             | 2034-07-15      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2025-NQM5, Class M1                                             | CUSIP: 59319DAH6<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1205751.60   | 0.68%             | 2070-11-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2025-5C38, Class B                                   | CUSIP: 05556RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $457590.56    | 0.26%             | 2058-11-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2025-NQM2, Class M1A                                                 | CUSIP: 281917AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1259488.25   | 0.71%             | 2070-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-13                                                              | CUSIP: 38381EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21730148 | PA      | $1313346.22   | 0.74%             | 2063-01-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| CarVal CLO IX-C Ltd.                                                 | CarVal CLO IX-C Ltd., Series 2024-1A, Class D                                     | CUSIP: 14688HAJ1<br>LEI: 2549009HBUYMF23IOB57 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1002561.00   | 0.57%             | 2037-04-20      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Octagon 53 Ltd.                                                      | Octagon 53 Ltd., Series 2021-1A, Class E                                          | CUSIP: 67592UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $393435.40    | 0.22%             | 2034-04-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Apidos Loan Fund Ltd.                                                | Apidos Loan Fund Ltd., Series 2024-1A, Class D1R                                  | CUSIP: 037986AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496536.65    | 0.28%             | 2038-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-67                                                              | CUSIP: 38381E5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17900742 | PA      | $1292822.01   | 0.73%             | 2063-08-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2020-75, Class WI                                             | CUSIP: 3136BCJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2867720 | PA      | $448529.25    | 0.25%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-3, Class B1                               | CUSIP: 924928AE4<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1113029.28   | 0.63%             | 2070-05-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | UMBS, 30 Year                                                                     | CUSIP: 31427PJG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1961931 | PA      | $2013484.73   | 1.14%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | UMBS, 30 Year                                                                     | CUSIP: 31427QL83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2779539 | PA      | $2833871.67   | 1.61%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2025-3, Class C                              | CUSIP: 91684FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1145415.99   | 0.65%             | 2035-09-20      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2026-NQM2, Class M1                   | CUSIP: 64832MAH4<br>LEI: 213800ZF5DPBUAR45104 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1711031.18   | 0.97%             | 2065-12-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2020-B22, Class XA                               | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5598906 | PA      | $316653.96    | 0.18%             | 2054-01-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5127, Class AI                                               | CUSIP: 3137H1F76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3075660 | PA      | $532988.16    | 0.30%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                        | MHP Commercial Mortgage Trust, Series 2021-STOR, Class A                          | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $229919.94    | 0.13%             | 2038-07-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class D                             | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1134885.60   | 0.64%             | 2041-04-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2026-CART, Class C                                               | CUSIP: 12433MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $268196.91    | 0.15%             | 2036-02-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                              | MF1 LLC, Series 2024-FL15, Class B                                                | CUSIP: 58003MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250823.25    | 0.14%             | 2041-08-18      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-170, Class AI                                                   | CUSIP: 38381LVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1208509 | PA      | $73049.66     | 0.04%             | 2065-10-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                            | STWD Ltd., Series 2022-FL3, Class A                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     39134 | PA      | $39181.30     | 0.02%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                | QTS Issuer ABS II LLC, Series 2025-1A, Class B                                    | CUSIP: 74690FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $969803.40    | 0.55%             | 2055-10-05      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2026-R1, Class M1                                               | CUSIP: 67124AAF4<br>LEI: 254900URJ5A8AOLJDR76 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1754373.25   | 0.99%             | 2063-01-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2025-5C37, Class AS                                  | CUSIP: 05494NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506869.65    | 0.29%             | 2058-09-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd.                                                  | Harvest US CLO Ltd., Series 2024-1A, Class D                                      | CUSIP: 41755WAJ9<br>LEI: 213800RQBB83K4W6BX61 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499542.10    | 0.28%             | 2037-04-18      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                       | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class M1        | CUSIP: 61780XAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1481265.60   | 0.84%             | 2070-12-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                   | BMO Mortgage Trust, Series 2025-5C11, Class D                                     | CUSIP: 096941AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $220467.53    | 0.12%             | 2058-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NBC Funding LLC                                                      | NBC Funding LLC, Series 2025-1A, Class A2                                         | CUSIP: 62878YAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498587.95    | 0.28%             | 2055-07-30      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-189                                                             | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2075937 | PA      | $127811.89    | 0.07%             | 2061-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                                       | Avant Credit Card Master Trust, Series 2025-1A, Class D                           | CUSIP: 05351KAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $640570.19    | 0.36%             | 2031-04-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-R2, Class A3                              | CUSIP: 92541EAE2<br>LEI: 2138003KWTZZS4PBW772 | Long             | ABS-MBS          | CORP              | US        |   1156660 | PA      | $1152300.18   | 0.65%             | 2067-07-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                       | BSTN Commercial Mortgage Trust, Series 2025-HUB, Class A                          | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199974.12    | 0.11%             | 2041-04-13      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSMS Trust                                                           | GSMS Trust, Series 2026-DAWN, Class A                                             | CUSIP: 36274LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199982.80    | 0.11%             | 2043-04-10      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2025-NQM5, Class M1                                                  | CUSIP: 28225KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1491977.85   | 0.85%             | 2070-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2016-DC2, Class B                               | CUSIP: 12594CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401603 | PA      | $401972.96    | 0.23%             | 2049-02-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                  | Carlyle US CLO Ltd., Series 2026-1A, Class D1                                     | CUSIP: 14320NAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496752.00    | 0.28%             | 2039-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                             | AmeriCredit Automobile Receivables Trust, Series 2026-1, Class A2                 | CUSIP: 03066CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $949714.05    | 0.54%             | 2029-04-18      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2024-22, Class IE                                             | CUSIP: 3136BRH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3528333 | PA      | $561742.76    | 0.32%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LBTY Commercial Mortgage Trust                                       | LBTY Commercial Mortgage Trust, Series 2026-225L, Class C                         | CUSIP: 50178LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98468.59     | 0.06%             | 2043-02-10      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2025-INV5, Class M1                                                  | CUSIP: 28224UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1191538.56   | 0.68%             | 2070-12-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-112, Class AI                                                   | CUSIP: 38383TNP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827760 | PA      | $124125.57    | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class B                    | CUSIP: 17291NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $273931.79    | 0.16%             | 2040-10-12      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-156, Class IA                                                   | CUSIP: 38381LTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8098353 | PA      | $553875.49    | 0.31%             | 2066-07-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2026-1, Class M1                               | CUSIP: 92541JAN1<br>LEI: 2138009KJR7Q44BI8668 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1730447.08   | 0.98%             | 2071-01-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-124, Class AF                                                   | CUSIP: 38379QQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1058372 | PA      | $1033004.18   | 0.59%             | 2045-09-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                                            | GPMT Ltd., Series 2021-FL4, Class A                                               | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    470372 | PA      | $471844.31    | 0.27%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd.                                              | Navigator Aviation Ltd., Series 2025-1, Class B                                   | CUSIP: 63943GAB8<br>LEI: 984500AWDV89795F0342 | Long             | ABS-O            | CORP              | KY        |    976046 | PA      | $955374.32    | 0.54%             | 2050-10-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                        | SG Residential Mortgage Trust, Series 2021-1, Class B2                            | CUSIP: 784212AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $964987.00    | 0.55%             | 2061-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                         | BX Commercial Mortgage Trust, Series 2024-MF, Class C                             | CUSIP: 05612EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265636 | PA      | $266000.87    | 0.15%             | 2039-02-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-138, Class IL                                                   | CUSIP: 38382JZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1786451 | PA      | $341378.28    | 0.19%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                               | Velocity Commercial Capital Loan Trust, Series 2019-1, Class M5                   | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72938 | PA      | $64846.86     | 0.04%             | 2049-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2021-B33, Class A2                                             | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139000 | PA      | $123583.38    | 0.07%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-19, Class GI                                                    | CUSIP: 38383V3N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2971444 | PA      | $421680.66    | 0.24%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2022-68, Class FB                                             | CUSIP: 3136BPCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2911513 | PA      | $2883892.05   | 1.63%             | 2052-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                        | BPR Commercial Mortgage Trust, Series 2025-STAR, Class A                          | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $198566.16    | 0.11%             | 2042-11-05      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                      | BRAVO Residential Funding Trust, Series 2026-NQM1, Class M1                       | CUSIP: 10570CAH5<br>LEI: 254900XRZJZN8JGL1235 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1292437.90   | 0.73%             | 2065-12-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-189, Class SP                                                   | CUSIP: 38382MGH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    830495 | PA      | $114184.16    | 0.06%             | 2050-12-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2                   | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435557 | PA      | $1438774.20   | 0.82%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-59, Class S                                                     | CUSIP: 38382RPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3595818 | PA      | $15129.04     | 0.01%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Phantom Aviation                                                     | Phantom Aviation, Series 2026-1A, Class B                                         | CUSIP: 71711GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498171 | PA      | $502767.49    | 0.28%             | 2051-01-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2024-1, Class M1                               | CUSIP: 92540EAD5<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003740.00   | 0.57%             | 2069-01-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2025-5C38, Class XA                                  | CUSIP: 05556RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $211769.17    | 0.12%             | 2058-11-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2025-V18, Class AS                               | CUSIP: 08164EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287000 | PA      | $291820.28    | 0.17%             | 2058-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                            | STWD Ltd., Series 2022-FL3, Class B                                               | CUSIP: 78485KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400997.60    | 0.23%             | 2038-11-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5547, Class QI                                               | CUSIP: 3137HLVU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2529821 | PA      | $449248.98    | 0.25%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                                      | SEB Funding LLC, Series 2026-1A, Class A2                                         | CUSIP: 78433DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $248622.00    | 0.14%             | 2056-01-30      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                              | MF1 LLC, Series 2022-FL9, Class A                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    181509 | PA      | $181792.43    | 0.10%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                  | Carlyle US CLO Ltd., Series 2024-2A, Class D                                      | CUSIP: 14318VAG4<br>LEI: 254900ZRCTSW8R4GLC69 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500282.75    | 0.28%             | 2037-04-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Lunar Structured Aircraft Portfolio Notes                            | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class C                 | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365675 | PA      | $361813.57    | 0.21%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios II Issuer LLC                                         | Sunnova Helios II Issuer LLC, Series 2019-AA, Class B                             | CUSIP: 86745LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511244 | PA      | $455754.39    | 0.26%             | 2046-06-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CarVal CLO IX-C Ltd.                                                 | CarVal CLO IX-C Ltd., Series 2024-1A, Class B                                     | CUSIP: 14688HAE2<br>LEI: 2549009HBUYMF23IOB57 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $499379.20    | 0.28%             | 2037-04-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2021-85, Class IN                                             | CUSIP: 3136BKJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3629319 | PA      | $576470.95    | 0.33%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2025-5C2, Class C      | CUSIP: 61779RCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294725.91    | 0.17%             | 2058-11-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multiclass Certificates Series 2020-P010                       | FHLMC, Series 2021-P010, Class X                                                  | CUSIP: 3137H1M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19207000 | PA      | $473277.77    | 0.27%             | 2029-10-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-158                                                             | CUSIP: 38381LVJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3583301 | PA      | $273544.53    | 0.15%             | 2065-12-16      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2026-5YR20, Class A3                                                | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $162461.30    | 0.09%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2025-5C6, Class AS                  | CUSIP: 95004TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $509096.60    | 0.29%             | 2058-10-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust                                       | PLYM Commercial Mortgage Trust, Series 2026-IND, Class C                          | CUSIP: 69292BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $268170.75    | 0.15%             | 2043-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2025-NQM5, Class A3                                             | CUSIP: 59319DAG8<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   1141615 | PA      | $1145224.83   | 0.65%             | 2070-11-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MAST Ltd.                                                            | MAST Ltd., Series 2026-1A, Class A                                                | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695833 | PA      | $681169.33    | 0.39%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                              | MF1 LLC, Series 2025-FL17, Class E                                                | CUSIP: 55287HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    420000 | PA      | $421790.04    | 0.24%             | 2040-02-18      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                  | Carlyle US CLO Ltd., Series 2018-4A, Class D1R                                    | CUSIP: 14315RAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500289.00    | 0.28%             | 2037-10-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2022-4, Class B                              | CUSIP: 91678YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478634 | PA      | $482031.88    | 0.27%             | 2032-08-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| Octagon 73 Ltd.                                                      | Octagon 73 Ltd., Series 2025-4A, Class D                                          | CUSIP: 67579HAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $497421.55    | 0.28%             | 2038-10-20      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                       | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    116022 | PA      | $116168.96    | 0.07%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2025-5C7, Class B                   | CUSIP: 95004XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $405488.08    | 0.23%             | 2058-12-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2                   | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1203488.40   | 0.68%             | 2044-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                         | Bain Capital Credit CLO Ltd., Series 2025-3A, Class D1                            | CUSIP: 056914AJ3<br>LEI: 254900F12G9NRZWVR294 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $991325.50    | 0.56%             | 2038-07-23      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2026-5C40, Class B                                   | CUSIP: 05557AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326000 | PA      | $330929.77    | 0.19%             | 2059-02-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                              | MF1 LLC, Series 2024-FL14, Class A                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $300633.00    | 0.17%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ARDN Mortgage Trust                                                  | ARDN Mortgage Trust, Series 2025-ARCP, Class A                                    | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $269369.06    | 0.15%             | 2035-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd.                                              | Canyon Capital CLO Ltd., Series 2021-1A, Class E                                  | CUSIP: 13877FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $432935.30    | 0.25%             | 2034-04-15      | Floating      | 10.34%                | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2025-V16, Class AS                               | CUSIP: 08164RAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $144904.10    | 0.08%             | 2058-08-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                            | BXP Trust, Series 2017-GM, Class C                                                | CUSIP: 056083AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $195294.46    | 0.11%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| GS REFT Issuer Ltd.                                                  | GS REFT Issuer Ltd., Series 2026-FL1, Class A                                     | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    387000 | PA      | $387967.50    | 0.22%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                               | DataBank Issuer II LLC, Series 2025-1A, Class B                                   | CUSIP: 23802YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $963700.80    | 0.55%             | 2055-09-27      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                 | EFMT, Series 2025-INV5, Class A3                                                  | CUSIP: 28224UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1168524 | PA      | $1165204.66   | 0.66%             | 2070-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| SSI ABS Issuer LLC                                                   | SSI ABS Issuer LLC, Series 2025-1, Class A                                        | CUSIP: 78475CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242642 | PA      | $241060.53    | 0.14%             | 2065-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-15, Class PI                                                    | CUSIP: 38382M3B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2204345 | PA      | $347665.35    | 0.20%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A4             | CUSIP: 46644ABF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3903 | PA      | $3845.63      | 0.00%             | 2048-02-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2025-5C3, Class XA                  | CUSIP: 95004JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10304895 | PA      | $288944.10    | 0.16%             | 2058-01-15      | Variable      | 0.81%                 | 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        |    115000 | PA      | $115307.42    | 0.07%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-77                                                              | CUSIP: 38381E6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30246441 | PA      | $1329923.91   | 0.75%             | 2063-09-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-2                                                               | CUSIP: 38380RNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2283758 | PA      | $143352.64    | 0.08%             | 2063-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Juniper Valley Park CLO Ltd.                                         | Juniper Valley Park CLO Ltd., Series 2023-1A, Class ARR                           | CUSIP: 48206KAY2<br>LEI: 213800ACSV8GAJ4CCO70 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $999037.10    | 0.57%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class UH5            | CUSIP: 46643AAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287609 | PA      | $287131.33    | 0.16%             | 2047-09-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 14 Ltd.                            | GoldenTree Loan Management US CLO 14 Ltd., Series 2022-14A, Class DR              | CUSIP: 38136RAY3<br>LEI: 549300QXPI5JCSVZ9W25 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1001230.40   | 0.57%             | 2037-07-20      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Aaset Trust                                                          | Aaset Trust, Series 2024-1A, Class B                                              | CUSIP: 00255JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402126 | PA      | $404895.15    | 0.23%             | 2049-05-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2024-31A, Class D1AR                                         | CUSIP: 67570AAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $494125.90    | 0.28%             | 2039-04-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                          | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL7, Class B             | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250319.25    | 0.14%             | 2036-10-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                                   | MetroNet Infrastructure Issuer LLC, Series 2026-1A, Class A2                      | CUSIP: 59170JBK3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $754306.50    | 0.43%             | 2056-04-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, Series 2021-43                                                         | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790255 | PA      | $276404.83    | 0.16%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Acore Issuer LLC                                                     | Acore Issuer LLC, Series 2026-FL1, Class A                                        | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $460573.16    | 0.26%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2                   | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1311721.58   | 0.74%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL2, Class A                                               | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78902 | PA      | $78996.53     | 0.04%             | 2038-05-16      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL3, Class AS                                              | CUSIP: 30323CAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    388000 | PA      | $388571.52    | 0.22%             | 2036-11-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2025-V17, Class XA                               | CUSIP: 081934AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3940000 | PA      | $231449.78    | 0.13%             | 2058-09-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2025-5C6, Class XA                  | CUSIP: 95004TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4446990 | PA      | $235604.66    | 0.13%             | 2058-10-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Katayma CLO II Ltd.                                                  | Katayma CLO II Ltd., Series 2024-2A, Class D                                      | CUSIP: 485862AG1<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $499056.95    | 0.28%             | 2037-04-20      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2025-5C1, Class C      | CUSIP: 61778GAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359000 | PA      | $370658.20    | 0.21%             | 2058-03-15      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-24, Class DI                                                    | CUSIP: 38384JX58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2726742 | PA      | $483003.27    | 0.27%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                         | BX Commercial Mortgage Trust, Series 2026-CSMO, Class C                           | CUSIP: 12433LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $270818.26    | 0.15%             | 2043-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class AS             | CUSIP: 46644UBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406157 | PA      | $399739.60    | 0.23%             | 2048-07-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-109                                                             | CUSIP: 38381HJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25730665 | PA      | $1302285.57   | 0.74%             | 2064-08-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2024-C63, Class XD                  | CUSIP: 94990FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $310638.35    | 0.18%             | 2057-08-15      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class C                   | CUSIP: 94990GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280650.78    | 0.16%             | 2038-03-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2025-C32, Class XD                                   | CUSIP: 07337AAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3179000 | PA      | $509609.60    | 0.29%             | 2062-02-15      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class A4                  | CUSIP: 95001XBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489610 | PA      | $477352.98    | 0.27%             | 2052-05-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                                                | Switch ABS Issuer LLC, Series 2024-1A, Class B                                    | CUSIP: 871044AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500590.00    | 0.28%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-218, Class IB                                                   | CUSIP: 38383L7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366960 | PA      | $64357.95     | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust V                                     | Willis Engine Structured Trust V, Series 2020-A, Class C                          | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186488 | PA      | $184704.37    | 0.10%             | 2045-03-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2026-V21, Class XA                               | CUSIP: 08164HBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4526000 | PA      | $286586.32    | 0.16%             | 2030-11-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2024-5YR11, Class A3                                                | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $519426.20    | 0.29%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                   | BMO Mortgage Trust, Series 2025-5C12, Class AS                                    | CUSIP: 09663VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $511057.05    | 0.29%             | 2058-10-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2023-FL10, Class A                                      | CUSIP: 05610VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    429096 | PA      | $430189.24    | 0.24%             | 2035-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                            | Santander Mortgage Asset Receivable Trust, Series 2025-NQM6, Class B1             | CUSIP: 80265DAG8<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1195622.64   | 0.68%             | 2065-11-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-ARIA, Class C                                               | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188093 | PA      | $187731.02    | 0.11%             | 2042-12-13      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 22 Ltd.                            | GoldenTree Loan Management US CLO 22 Ltd., Series 2024-22A, Class D               | CUSIP: 38139EAL7<br>LEI: 254900AWFHWNFOUM2K51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496120.45    | 0.28%             | 2037-10-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2026-5YR20, Class XA                                                | CUSIP: 06650JAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4727916 | PA      | $262923.16    | 0.15%             | 2059-02-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2025-11, Class A3                              | CUSIP: 924935AJ8<br>LEI: 213800H1O4C5SRNN4B66 | Long             | ABS-MBS          | CORP              | US        |   1925200 | PA      | $1915031.47   | 1.09%             | 2070-11-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2024-NQM10, Class A1                                            | CUSIP: 67119MAA6<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    550951 | PA      | $556660.07    | 0.32%             | 2064-05-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2021-3, Class MI                                              | CUSIP: 3136BDXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2756271 | PA      | $529710.30    | 0.30%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2024-5C25, Class AS                                  | CUSIP: 05554VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387000 | PA      | $401606.23    | 0.23%             | 2057-03-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                            | KREF Ltd., Series 2021-FL2, Class AS                                              | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500873.50    | 0.28%             | 2039-02-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                         | BX Commercial Mortgage Trust, Series 2021-ACNT, Class B                           | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216645 | PA      | $216558.49    | 0.12%             | 2038-11-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2024-V9, Class A3                                | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $359286.62    | 0.20%             | 2057-08-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2026-V21, Class A3                               | CUSIP: 08164HBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363000 | PA      | $367483.29    | 0.21%             | 2031-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd.                     | Arbor Realty Collateralized Loan Obligation Ltd., Series 2025-BTR1, Class A       | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450750.15    | 0.26%             | 2041-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                             | Angel Oak Mortgage Trust, Series 2026-1, Class M1                                 | CUSIP: 034947AH4<br>LEI: 2549004SH6MLXHN5ZV45 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1721612.90   | 0.98%             | 2071-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Katayma CLO II Ltd.                                                  | Katayma CLO II Ltd., Series 2024-2A, Class A1                                     | CUSIP: 485862AA4<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $500493.50    | 0.28%             | 2037-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                   | BMO Mortgage Trust, Series 2024-5C6, Class A3                                     | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $254595.08    | 0.14%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1B1                   | CUSIP: 20753GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1264802.00   | 0.72%             | 2044-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                         | BX Commercial Mortgage Trust, Series 2026-ALOHA, Class D                          | CUSIP: 12434HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $290725.00    | 0.16%             | 2043-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIV                                                 | Sound Point CLO XXIV, Series 2019-3A, Class DR                                    | CUSIP: 83614NAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $451476.00    | 0.26%             | 2034-10-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5166, Class DI                                               | CUSIP: 3137H3N99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3221257 | PA      | $384989.78    | 0.22%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                         | GS Mortgage Securities Trust, Series 2013-GC13, Class B                           | CUSIP: 36198EAS4<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $367963.24    | 0.21%             | 2046-07-10      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2025-2, Class C                              | CUSIP: 91679EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505078.00    | 0.29%             | 2035-06-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMICS Trust, Series 2024-DNA1, Class M2                              | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1211516.04   | 0.69%             | 2044-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                              | MF1 LLC, Series 2026-FL21, Class C                                                | CUSIP: 55287NAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    530000 | PA      | $531948.81    | 0.30%             | 2041-02-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2025-6, Class A2                                                 | CUSIP: 69395KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1100253.88   | 0.62%             | 2028-08-25      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2026-5C8, Class A3                  | CUSIP: 95005BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $545812.02    | 0.31%             | 2059-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                                     | TRTX Issuer Ltd., Series 2022-FL5, Class AS                                       | CUSIP: 87277JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250311.00    | 0.14%             | 2039-02-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC REMICS, Series 5004, Class LS                                               | CUSIP: 3137FVB92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993547 | PA      | $120197.06    | 0.07%             | 2050-07-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                   | BMO Mortgage Trust, Series 2025-5C11, Class XA                                    | CUSIP: 096941AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7580548 | PA      | $325641.39    | 0.18%             | 2058-07-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                        | NYC Commercial Mortgage Trust, Series 2026-7W34, Class A                          | CUSIP: 67123XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249368.83    | 0.14%             | 2041-02-05      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-46, Class ES                                                    | CUSIP: 38382P2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2522243 | PA      | $12523.69     | 0.01%             | 2051-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2020-M10, Class X2                                            | CUSIP: 3136B9DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890494 | PA      | $47309.81     | 0.03%             | 2030-12-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2025-4, Class A1                                                 | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081284 | PA      | $1080161.03   | 0.61%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2026-5C40, Class XA                                  | CUSIP: 05557AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5903661 | PA      | $311618.86    | 0.18%             | 2059-02-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FS Trust                                                             | FS Trust, Series 2026-HULA, Class A                                               | CUSIP: 30345AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $270343.12    | 0.15%             | 2041-03-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                               | Velocity Commercial Capital Loan Trust, Series 2019-1, Class M4                   | CUSIP: 92257CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129753 | PA      | $117275.97    | 0.07%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| ACRES LLC                                                            | ACRES LLC, Series 2025-FL3, Class A                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    370000 | PA      | $370940.17    | 0.21%             | 2040-08-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMICS, Series 2024-32                                                       | CUSIP: 3136BSAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415081 | PA      | $63001.24     | 0.04%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-170                                                             | CUSIP: 38381LWG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672487 | PA      | $48356.22     | 0.03%             | 2066-03-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2019-B13, Class A3                               | CUSIP: 08162DAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $353181.19    | 0.20%             | 2057-08-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                 | Cross Mortgage Trust, Series 2024-H1, Class A1                                    | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528860 | PA      | $531447.75    | 0.30%             | 2068-12-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                | BANK5, Series 2025-5YR17, Class AS                                                | CUSIP: 06211GAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $510747.20    | 0.29%             | 2058-11-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | UMBS, 30 Year                                                                     | CUSIP: 31427PWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3059669 | PA      | $3096259.10   | 1.75%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                                                | Switch ABS Issuer LLC, Series 2024-2A, Class C                                    | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $765521.85    | 0.43%             | 2054-06-25      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** DoubleLine ETF Trust

**Signature:** Henry V. Chase

**Name of Signer:** Henry V. Chase

**Title:** Treasurer and Principal Financial and Accounting Officer