# EDGAR Filing Document

**Accession Number:** 0001738079
**File Stem:** 0002071691-25-009497
**Filing Date:** 2025-12
**Character Count:** 430169
**Document Hash:** d98384d4b71ccdd9bddeac79de3a43a0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-009497.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0002071691-25-009497

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20260430

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23340
- **FILM NUMBER:** 251595436

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

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

## Series and Classes Contracts Data

### BlackRock Securitized Income Fund (Series ID: S000062368)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

- **a. Name of Series:** BlackRock Securitized Income Fund

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

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

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

- **a. Date of fiscal year-end:** 2026-04-30

- **b. Date as of which information is reported:** 2025-10-31

**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:** $493826886.40

**Total Liabilities:** $40339882.42

**Net Assets:** $453487003.98

**Cash Not Reported:** $1601836.23

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 22819.14000000 | **1-Year:** 7740.62000000 | **5-Year:** 56714.63000000 | **10-Year:** 4019.25000000 | **30-Year:** 13269.99000000

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

- **3-Month:** 27005.99000000 | **1-Year:** 1772.12000000 | **5-Year:** 7802.53000000 | **10-Year:** 7673.89000000 | **30-Year:** 11974.48000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202319 | 1.25%                | 0.58%                | 0.47%                |
| Class ID C000202318 | 1.32%                | 0.65%                | 0.54%                |
| Class ID C000202320 | 1.34%                | 0.78%                | 0.56%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $461754.97               | $2537067.68                                |
| Month 2  | $533553.49               | $678945.80                                 |
| Month 3  | $8982.07                 | $295143.35                                 |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                     | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $440667.13    | 0.10%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                          | Hilton USA Trust, Series 2025-NVIL, Class A                                                                                  | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607000 | PA      | $609276.25    | 0.13%             | 2042-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                                       | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553023 | PA      | $1554479.07   | 0.34%             | 2040-12-09      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78, Class D                                                            | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526566 | PA      | $89214.31     | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27156 | PA      | $26608.73     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                                                      | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739904 | PA      | $740363.77    | 0.16%             | 2037-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                               | Goldman Home Improvement Trust Issuer Trust, Series 2022-GRN2, Class A                                                       | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174533 | PA      | $178812.10    | 0.04%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-1, Class M4                                                              | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102771 | PA      | $945394.58    | 0.21%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-79CB, Class A1                                                                           | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695114 | PA      | $804471.68    | 0.18%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class E                                            | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299867.39    | 0.07%             | 2039-11-09      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2025 | PA      | $2129.39      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3305034 | PA      | $42658.74     | 0.01%             | 2054-11-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class A                                                        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    470000 | PA      | $469843.40    | 0.10%             | 2034-12-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                 | Santander Mortgage Asset Receivable Trust, Series 2025-NQM3, Class A1                                                        | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623440 | PA      | $627924.90    | 0.14%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2022-3, Class B2                                                                            | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631047 | PA      | $1389258.31   | 0.31%             | 2067-02-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-4, Class M5                                                              | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1704162 | PA      | $1362849.27   | 0.30%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37479 | PA      | $34446.72     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class E                                                                         | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $225925.68    | 0.05%             | 2035-04-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                              | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |    905678 | PA      | $914707.06    | 0.20%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class E                                                                     | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250312.50    | 0.06%             | 2037-10-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401466 | PA      | $379490.71    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6699408 | PA      | $307360.82    | 0.07%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2019-BA, Class A2B                                                                        | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345930 | PA      | $345356.84    | 0.08%             | 2059-12-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2019-J2, Class B6                                                                                          | CUSIP: 12558TBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824792 | PA      | $970514.90    | 0.21%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM2, Class A1                                                              | CUSIP: 36272EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443702 | PA      | $447093.84    | 0.10%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2021-A, Class A                                                       | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247820 | PA      | $232130.21    | 0.05%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class B                                                                     | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $871752.09    | 0.19%             | 2042-11-05      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LBAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1019 | PA      | $1071.07      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M3                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    459116 | PA      | $437479.65    | 0.10%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5846 | PA      | $6165.25      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class B                                                              | CUSIP: 94989YBE2<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $490197.05    | 0.11%             | 2059-01-15      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 2A                                        | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333896 | PA      | $1128482.16   | 0.25%             | 2047-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22908 | PA      | $22993.49     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class B                                                                     | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $388946.46    | 0.09%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2500000 | PA      | $5292.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBC Mortgage Trust                                                        | DBC Mortgage Trust, Series 2025-DBC, Class A                                                                                 | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135000 | PA      | $1136418.75   | 0.25%             | 2038-06-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $797000.00    | 0.18%             | 2041-06-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CWABS Trust                                                               | CWABS Asset-Backed Certificates Trust, Series 2006-26, Class M1                                                              | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    890163 | PA      | $862201.95    | 0.19%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| ORL Trust                                                                 | ORL Trust, Series 2024-GLKS, Class A                                                                                         | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400375.00    | 0.09%             | 2039-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1298858 | PA      | $1300360.94   | 0.29%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                            | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382571 | PA      | $382690.96    | 0.08%             | 2040-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    500000 | PA      | $10082.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $830444.12    | 0.18%             | 2035-05-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                         | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                                                  | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    180459 | PA      | $179839.44    | 0.04%             | 2037-02-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-54CB, Class 3A1                                                                          | CUSIP: 12668APL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1058361 | PA      | $533144.61    | 0.12%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2021-VFN1                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    484308 | PA      | $354913.07    | 0.08%             | 2028-08-28      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST6, Class B                                                                     | CUSIP: 91533QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211000 | PA      | $210768.30    | 0.05%             | 2032-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16006 | PA      | $15487.81     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                             | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-1, Class A3                                                       | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    388075 | PA      | $151007.92    | 0.03%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-INV2, Class B1                                                                         | CUSIP: 12673UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369344 | PA      | $371444.50    | 0.08%             | 2070-02-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1A                                                  | CUSIP: 617932AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322838 | PA      | $326498.11    | 0.07%             | 2069-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class G                                                                                          | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128000 | PA      | $127840.95    | 0.03%             | 2036-10-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-BA, Class A                                                                      | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $410411.83    | 0.09%             | 2036-11-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1930000 | PA      | $1547.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust                                            | PKHL Commercial Mortgage Trust, Series 2021-MF, Class NR                                                                     | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $34009.86     | 0.01%             | 2038-07-15      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| VCC Trust                                                                 | VCC Trust, Series 2025-MC1, Class A1                                                                                         | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622966 | PA      | $619612.07    | 0.14%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| GSAT Trust                                                                | GSAT Trust, Series 2025-BMF, Class A                                                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742000 | PA      | $1743633.13   | 0.38%             | 2040-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9358 | PA      | $8927.06      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                                     | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427434 | PA      | $412119.02    | 0.09%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A5                                                          | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571382 | PA      | $91104.56     | 0.02%             | 2036-07-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                                     | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $333443.36    | 0.07%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2023-SFR1, Class E1                                                                       | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $924927.85    | 0.20%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                                                | OPEN Trust, Series 2023-AIR, Class A                                                                                         | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55260 | PA      | $55260.49     | 0.01%             | 2040-11-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class D                                                                      | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $373889.24    | 0.08%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4971308 | PA      | $293052.66    | 0.06%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class B1A                                                                              | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253421 | PA      | $255961.42    | 0.06%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                                      | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380888 | PA      | $1382614.05   | 0.30%             | 2039-08-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X1, Class B                                                                   | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401116.28    | 0.09%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-48, Class FC                                          | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949337 | PA      | $951803.34    | 0.21%             | 2054-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2007-8, Class 1A4                                                                    | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320847 | PA      | $132213.06    | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                   | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    427056 | PA      | $444706.52    | 0.10%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2025-CES3, Class A1                                                                 | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790045 | PA      | $790037.02    | 0.17%             | 2055-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class A                                                                                         | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $434418.05    | 0.10%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class C                                                                           | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364704 | PA      | $497820.59    | 0.11%             | 2051-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-300P, Class D                                                                     | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503287.20    | 0.11%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92954 | PA      | $96444.73     | 0.02%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class F                                                                                          | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $348410.93    | 0.08%             | 2036-06-15      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-2, Class M5                                                              | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453622 | PA      | $341845.53    | 0.08%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class A3                                                                                             | CUSIP: 06541CBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $216422.92    | 0.05%             | 2064-05-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                 | ALA Trust, Series 2025-OANA, Class A                                                                                         | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671000 | PA      | $673516.25    | 0.15%             | 2040-06-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B2                                                                  | CUSIP: 10569NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $496588.60    | 0.11%             | 2064-11-25      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-B, Class A1B                                                                   | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167520 | PA      | $170858.45    | 0.04%             | 2056-10-16      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR23, Class 6A1                                                                | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658087 | PA      | $622962.21    | 0.14%             | 2035-11-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1554 | PA      | $1640.44      | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-1A, Class A                                                                            | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196523 | PA      | $200265.43    | 0.04%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4504 | PA      | $4405.90      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26896 | PA      | $26311.49     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class B1                                                                                       | CUSIP: 00112EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1022023.90   | 0.23%             | 2064-10-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2015-6R, Class 5A2                                                                                        | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1254570 | PA      | $995418.54    | 0.22%             | 2036-03-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 30 Ltd.                                | Neuberger Berman Loan Advisers CLO 30 Ltd., Series 2018-30A, Class A1R2                                                      | CUSIP: 64132MBA5<br>LEI: 549300WWWM7IDWOVIL36 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003224.80   | 0.44%             | 2037-01-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2018-EA, Class A2                                                                         | CUSIP: 63890BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272194 | PA      | $271937.68    | 0.06%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                     | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-MN1A, Class A1                                            | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040345 | PA      | $600381.97    | 0.13%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 11 Ltd.                                                  | Silver Point CLO 11 Ltd., Series 2025-11A, Class A1                                                                          | CUSIP: 82809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002635.00   | 0.22%             | 2038-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| HIT Trust                                                                 | HIT Trust, Series 2022-HI32, Class A                                                                                         | CUSIP: 40442AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750994 | PA      | $751930.03    | 0.17%             | 2039-07-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                                     | Taco Bell Funding LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219000 | PA      | $217906.05    | 0.05%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3615 | PA      | $3459.74      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class A2B                                                                   | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258931 | PA      | $259062.38    | 0.06%             | 2037-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class F                                                                                          | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190229.37    | 0.04%             | 2041-06-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5052, Class KI                                                                      | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    843873 | PA      | $166138.56    | 0.04%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1552421 | PA      | $1553388.90   | 0.34%             | 2042-08-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                                 | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499688.35    | 0.11%             | 2041-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class B                                            | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $641626.84    | 0.14%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                                                 | EQT Trust, Series 2024-EXTR, Class A                                                                                         | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $813226.73    | 0.18%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                   | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                                          | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348000 | PA      | $349729.91    | 0.08%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140905 | PA      | $133186.06    | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102466 | PA      | $103003.45    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    577020 | PA      | $565096.96    | 0.12%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922781 | PA      | $155793.29    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONNI Commerical Mortgage Trust                                            | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $397505.39    | 0.09%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-3F, Class 4A2                                                                           | CUSIP: 3622MWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3712886 | PA      | $372495.64    | 0.08%             | 2037-05-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       881 | PA      | $902.40       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                              | CUSIP: 36275JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712943 | PA      | $712931.02    | 0.16%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class F                                                                       | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1941032.00   | 0.43%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M4                                                              | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469959 | PA      | $367537.64    | 0.08%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A                                            | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $629697.60    | 0.14%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class A5                                                                               | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1745526.71   | 0.38%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B4, Class ASB                                                                          | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54617 | PA      | $54457.46     | 0.01%             | 2051-07-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class A                                                                          | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $180375.00    | 0.04%             | 2036-01-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23540 | PA      | $22273.88     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                           | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516708 | PA      | $523282.23    | 0.12%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-149, Class KI                                                          | CUSIP: 38382XCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79085 | PA      | $12374.40     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-OMG, Class A                                                                                           | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544000 | PA      | $544340.44    | 0.12%             | 2027-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM3, Class A1                                                                                             | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737535 | PA      | $743509.98    | 0.16%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                     | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111474 | PA      | $98546.86     | 0.02%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3700000 | PA      | $1902.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99379 | PA      | $94501.18     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class E                                                                                         | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $1498.92      | 0.00%             | 2035-10-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                                      | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92518 | PA      | $75030.63     | 0.02%             | 2035-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-WRHS, Class A                                                                               | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954807 | PA      | $954806.95    | 0.21%             | 2026-08-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-NR1, Class A1                                                                                         | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    869837 | PA      | $856668.94    | 0.19%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class D                                                                   | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $211177.51    | 0.05%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class E                                                                                 | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $116769.29    | 0.03%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-V3, Class XA                                                                           | CUSIP: 08163VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19979224 | PA      | $386605.98    | 0.09%             | 2056-07-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class A1                                                                                        | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731534 | PA      | $733550.48    | 0.16%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| DBGS                                                                      | DBGS, Series 2024-SBL, Class A                                                                                               | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $320000.00    | 0.07%             | 2034-08-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-KING, Class A                                                                      | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384932 | PA      | $385173.02    | 0.08%             | 2034-05-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| LUX                                                                       | LUX Trust, Series 2023-LION, Class A                                                                                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128229 | PA      | $129529.28    | 0.03%             | 2040-08-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22824 | PA      | $22806.59     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sofi Professional Loan Program LLC                                        | Sofi Professional Loan Program LLC, Series 2019-C, Class BFX                                                                 | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373000 | PA      | $336587.59    | 0.07%             | 2048-11-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                                      | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $448010.90    | 0.10%             | 2029-11-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                        | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $303646.36    | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class FB                                                  | CUSIP: 3137HFWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    887786 | PA      | $889579.89    | 0.20%             | 2054-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2006-SA2, Class 2A1                                                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87917 | PA      | $61381.31     | 0.01%             | 2036-08-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class A                                                                      | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774000 | PA      | $775664.25    | 0.17%             | 2042-08-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42364 | PA      | $39239.93     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A                                                           | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725600 | PA      | $652600.22    | 0.14%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    206000 | PA      | $209784.22    | 0.05%             | 2033-06-10      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-ROIC, Class E                                                                                          | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241060 | PA      | $239553.21    | 0.05%             | 2030-03-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                | GSAA Trust, Series 2007-3, Class 1A1A                                                                                        | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870251 | PA      | $988364.81    | 0.22%             | 2047-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                      | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1268167.35   | 0.28%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                         | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492000 | PA      | $495649.11    | 0.11%             | 2042-04-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-11, Class A1                                                                           | CUSIP: 03466FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920045 | PA      | $917144.92    | 0.20%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class C                                                                                           | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $439619.41    | 0.10%             | 2041-03-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $461000.50    | 0.10%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-3, Class A1                                                                          | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718886 | PA      | $663824.61    | 0.15%             | 2036-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A1                                                | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2817559 | PA      | $876021.21    | 0.19%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2023-130, Class OD                                                          | CUSIP: 38384ERP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1527331 | PA      | $1175452.14   | 0.26%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2025-1A, Class A2                                                                              | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212000 | PA      | $211862.79    | 0.05%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                               | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $139065.89    | 0.03%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                                   | Regatta 31 Funding Ltd., Series 2025-1A, Class A1                                                                            | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1399565.86   | 0.31%             | 2038-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class D                                                                           | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362000 | PA      | $322267.89    | 0.07%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-BA, Class A                                                                      | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100108.05    | 0.02%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class B                                                             | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $206471.82    | 0.05%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class A                                                                             | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1403614 | PA      | $1402598.10   | 0.31%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43053 | PA      | $39878.46     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-88, Class IA                                                           | CUSIP: 38383R4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25116351 | PA      | $3886466.52   | 0.86%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4300 | PA      | $4282.55      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2025-BNK50, Class A5                                                                                            | CUSIP: 064908AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $154058.60    | 0.03%             | 2068-05-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class APL                                                                   | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269644 | PA      | $267026.53    | 0.06%             | 2053-01-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18509 | PA      | $18646.62     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15289 | PA      | $15255.63     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                                                      | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $262275.00    | 0.06%             | 2027-06-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                                    | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $581689.31    | 0.13%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                                             | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $217598.12    | 0.05%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                                         | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285520 | PA      | $284457.61    | 0.06%             | 2057-03-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class B1                                                                          | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501794.35    | 0.11%             | 2068-05-25      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                     | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542378 | PA      | $501603.19    | 0.11%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                              | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |    546975 | PA      | $546971.55    | 0.12%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                                    | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210452.95    | 0.05%             | 2041-11-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2019-FAX, Class D                                                                                          | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672000 | PA      | $647327.65    | 0.14%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2021-1R, Class A1                                                                    | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133918 | PA      | $129375.95    | 0.03%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2019-2A, Class C                                                                    | CUSIP: 68269BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $291151.41    | 0.06%             | 2036-10-14      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526575 | PA      | $533686.26    | 0.12%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2025-NASH, Class A                                                        | CUSIP: 05494PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771000 | PA      | $771481.88    | 0.17%             | 2040-09-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2005-17, Class 1A6                                                                   | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17398 | PA      | $17328.80     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                           | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321760 | PA      | $324248.61    | 0.07%             | 2055-02-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class E                                                                                               | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149815.37    | 0.03%             | 2041-06-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class D                                                                       | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $441549.84    | 0.10%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1881 | PA      | $1982.72      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-5C37, Class B                                                                              | CUSIP: 05494NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $511455.35    | 0.11%             | 2058-09-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class A                                                                                         | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363795 | PA      | $364022.33    | 0.08%             | 2041-10-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14641 | PA      | $15531.68     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                                    | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $231075.00    | 0.05%             | 2034-09-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2023-A, Class A2                                                                    | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205219 | PA      | $207717.07    | 0.05%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246371 | PA      | $235080.45    | 0.05%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18475 | PA      | $18348.40     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII Ltd.                                     | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2                                                             | CUSIP: 67590GBL2<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    572945 | PA      | $573059.11    | 0.13%             | 2031-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 19 Ltd.                                             | Anchorage Capital CLO 19 Ltd., Series 2021-19A, Class A1R                                                                    | CUSIP: 03328JAL1<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004686.60   | 0.44%             | 2038-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $643033.03    | 0.14%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-3, Class A                                                               | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470913 | PA      | $476429.99    | 0.11%             | 2055-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-11, Class A7                                         | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001529 | PA      | $859723.11    | 0.19%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2023-CRE8, Class A                                                                                         | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    489199 | PA      | $489230.71    | 0.11%             | 2041-08-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class C                                                                             | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457647 | PA      | $462977.82    | 0.10%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-INV1, Class M1                                                                       | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1200648.84   | 0.26%             | 2068-02-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR3, Class F                                                                        | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002122.70   | 0.22%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                                                             | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3460780 | PA      | $60212.73     | 0.01%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class F                                                                                          | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $365420.48    | 0.08%             | 2040-04-13      | Variable      | 10.30%                | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class B                                                           | CUSIP: 38238FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812000 | PA      | $817309.83    | 0.18%             | 2049-06-20      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                                    | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687000 | PA      | $1689108.75   | 0.37%             | 2042-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152450 | PA      | $153210.58    | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XII                                                            | Apidos CLO XII, Series 2013-12A, Class BRR                                                                                   | CUSIP: 03764DAP6<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1199936.40   | 0.26%             | 2031-04-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2                                                             | CUSIP: 126671RF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933853 | PA      | $958327.60    | 0.21%             | 2032-05-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2025-B, Class B                                                                                  | CUSIP: 69335PFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484000 | PA      | $489045.51    | 0.11%             | 2030-02-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class A                                                                                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $337334.25    | 0.07%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152173 | PA      | $146271.56    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                            | ARES Commercial Mortgage Trust, Series 2024-IND, Class A                                                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1092043.75   | 0.24%             | 2041-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66596 | PA      | $69136.83     | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $313754.82    | 0.07%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $344218.84    | 0.08%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6352 | PA      | $6308.04      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2021-2A, Class A                                                                              | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $577328.52    | 0.13%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B3, Class A4                                                                           | CUSIP: 08161BAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2 | PA      | $2.00         | 0.00%             | 2051-04-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                                   | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1957587 | PA      | $1640523.23   | 0.36%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class F                                            | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300444.72    | 0.07%             | 2039-11-09      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class A                                                                     | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125000 | PA      | $1124183.36   | 0.25%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class A                                                                               | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513000 | PA      | $507870.00    | 0.11%             | 2036-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2024-A, Class B                                                                                  | CUSIP: 69335PFD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $320311.07    | 0.07%             | 2028-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class E                                                                        | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251469 | PA      | $251895.81    | 0.06%             | 2039-02-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100411 | PA      | $95591.58     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                                                                     | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633000 | PA      | $1634020.63   | 0.36%             | 2039-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                                              | Imperial Fund Mortgage Trust, Series 2022-NQM3, Class A3                                                                     | CUSIP: 45276KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1011957.04   | 0.22%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-16N, Class AF2                                                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    776275 | PA      | $1092766.19   | 0.24%             | 2047-09-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class B                                                                                          | CUSIP: 05610DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $441100.00    | 0.10%             | 2038-05-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class C                                                                             | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519682 | PA      | $509182.78    | 0.11%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-1, Class B                                                                   | CUSIP: 75908AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111104.07    | 0.02%             | 2034-04-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418RPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13812 | PA      | $13900.93     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2006-AR15, Class A1                                                                 | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499076 | PA      | $496771.08    | 0.11%             | 2036-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -260000 | PA      | $-230343.75   | -0.05%            | 2055-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288000 | PA      | $268683.98    | 0.06%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410TVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6022 | PA      | $6293.99      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38064 | PA      | $34342.18     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                                         | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1150983.31   | 0.25%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49050 | PA      | $50367.60     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48942 | PA      | $45332.29     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class A                                                                     | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892000 | PA      | $895353.03    | 0.20%             | 2039-10-13      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M2                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    236039 | PA      | $226572.18    | 0.05%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class C                                                                     | CUSIP: 05619DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $801575.84    | 0.18%             | 2042-11-05      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class M1                                                                                        | CUSIP: 58004LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236842 | PA      | $238361.72    | 0.05%             | 2070-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVIII Ltd.                                               | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class A1R                                                                      | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002638.80   | 0.44%             | 2038-10-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                                                | DGWD Trust, Series 2025-INFL, Class A                                                                                        | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840000 | PA      | $2852259.14   | 0.63%             | 2035-08-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-TAIL, Class E                                                                                          | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142000 | PA      | $141901.51    | 0.03%             | 2035-06-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class E                                                                                        | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $131911.38    | 0.03%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681234 | PA      | $640916.34    | 0.14%             | 2035-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Sounds Point CLO IV-R Ltd.                                                | Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A                                                                         | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |    774187 | PA      | $774286.14    | 0.17%             | 2031-04-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16572 | PA      | $16443.27     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M6                                                              | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    933431 | PA      | $789911.46    | 0.17%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| KSL Trust 2025-MAK                                                        | KSL Trust                                                                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $184649.39    | 0.04%             | 2030-06-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                          | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15395000 | PA      | $273921.39    | 0.06%             | 2053-03-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class E                                                                                        | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $79901.34     | 0.02%             | 2041-08-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class B1                                                                   | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2216298 | PA      | $2180359.27   | 0.48%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32581 | PA      | $33962.18     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -18 | NC      | $-54589.32    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class C                                                                            | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $151521.32    | 0.03%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PGA Trust                                                                 | PGA Trust, Series 2024-RSR2, Class A                                                                                         | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $380356.25    | 0.08%             | 2039-06-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                           | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                                     | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81661 | PA      | $82284.46     | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31663 | PA      | $28093.56     | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2015-A, Class B4                                                                       | CUSIP: 17323MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735145 | PA      | $692243.90    | 0.15%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-BA, Class C                                                                           | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $150837.96    | 0.03%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144043 | PA      | $147647.58    | 0.03%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18688 | PA      | $18227.04     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAAC Trust                                                                | RAAC Trust, Series 2006-SP3, Class M3                                                                                        | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144319 | PA      | $1189146.20   | 0.26%             | 2036-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3423 | PA      | $3271.58      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                                     | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101044.68    | 0.02%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                                          | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $891102.44    | 0.20%             | 2039-12-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-A, Class C                                                                      | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $214998.50    | 0.05%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class E                                                                                           | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $741602.55    | 0.16%             | 2038-09-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class D                                                                    | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $906653.18    | 0.20%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36686 | PA      | $37344.08     | 0.01%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98877 | PA      | $91692.72     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2018-NPL2                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    543377 | PA      | $521492.00    | 0.11%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 2A                                  | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96777 | PA      | $85652.94     | 0.02%             | 2046-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class B                                                                             | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354998 | PA      | $352992.30    | 0.08%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13027 | PA      | $12403.38     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                   | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                            | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002823.40   | 0.22%             | 2038-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class ASB                                                                             | CUSIP: 054975AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $687877.65    | 0.15%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5119, Class IC                                                                      | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3480053 | PA      | $733058.99    | 0.16%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                                  | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                             | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857508 | PA      | $835844.53    | 0.18%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2025-3A, Class A2                                                                 | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219000 | PA      | $221244.93    | 0.05%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2019-9, Class B6                                                                          | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330251 | PA      | $1289203.02   | 0.28%             | 2050-05-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM4, Class A1                                                                                       | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725051 | PA      | $731350.24    | 0.16%             | 2070-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A                                                         | CUSIP: 63941KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340344 | PA      | $327527.35    | 0.07%             | 2068-11-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class A                                                                      | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $182357.82    | 0.04%             | 2039-05-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19191000 | PA      | $19388603.20  | 4.28%             | 2055-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-2, Class B2                                                                          | CUSIP: 92539UAF7<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507144.50    | 0.11%             | 2069-02-25      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B5, Class A4                                                                           | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $546920.22    | 0.12%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9390 | PA      | $9201.86      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3371 | PA      | $3555.62      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809947 | PA      | $807063.11    | 0.18%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6410000 | PA      | $997.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class A                                                           | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425372 | PA      | $429332.00    | 0.09%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class B                                                                                           | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314901.56    | 0.07%             | 2041-03-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE8, Class 1A3                                                     | CUSIP: 07388JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    579843 | PA      | $570899.95    | 0.13%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210514 | PA      | $216744.85    | 0.05%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A8                                                                          | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749822 | PA      | $125916.93    | 0.03%             | 2037-02-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                             | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $740462.50    | 0.16%             | 2034-10-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2021-A, Class C                                                                      | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $443054.52    | 0.10%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class D                                                                   | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252210.05    | 0.06%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2841480 | PA      | $2732243.26   | 0.60%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                          | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $274817.87    | 0.06%             | 2036-06-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9822 | PA      | $9382.12      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class E                                             | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000 | PA      | $279087.19    | 0.06%             | 2038-04-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class D                                                                            | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208000 | PA      | $207523.08    | 0.05%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22334 | PA      | $23554.32     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1660000 | PA      | $-240.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-64, Class IH                                                           | CUSIP: 38382QME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17279224 | PA      | $2539287.44   | 0.56%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28250 | PA      | $28056.28     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV1, Class B1                                                               | CUSIP: 26846XAE0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    264592 | PA      | $267110.60    | 0.06%             | 2070-03-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    791356 | PA      | $-133191.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST7, Class A                                                                     | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $114948.91    | 0.03%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2                                                              | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $355662.50    | 0.08%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58912 | PA      | $57002.95     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class E10                                                                                        | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $302005.62    | 0.07%             | 2039-06-10      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33943 | PA      | $32831.13     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2018-EA, Class B                                                                          | CUSIP: 63890BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $275589.44    | 0.06%             | 2059-12-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47423 | PA      | $49413.88     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-2, Class A                                                                   | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131000 | PA      | $130662.32    | 0.03%             | 2037-11-16      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. REMICS Variable Rate Notes, Series 2411, Class FJ                                           | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1030.47      | 0.00%             | 2029-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class B                                                                           | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176000 | PA      | $176094.86    | 0.04%             | 2055-05-17      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-J4, Class 2A1                                                                            | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525196 | PA      | $860197.38    | 0.19%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Durst Commercial Mortgage Trust                                           | Durst Commercial Mortgage Trust, Series 2025-151, Class A                                                                    | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1039427.02   | 0.23%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class XS                                                                            | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4654995 | PA      | $157050.21    | 0.03%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-33, Class DV                                                              | CUSIP: 3136BVVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705076 | PA      | $732552.98    | 0.16%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXV Ltd.                                             | Madison Park Funding LXV Ltd., Series 2025-65A, Class A1                                                                     | CUSIP: 55823FAA3<br>LEI: 213800EBRIAZSOKC7K58 | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $3005757.30   | 0.66%             | 2038-07-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                      | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE1, Class 2A3                                                | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1119687 | PA      | $508189.72    | 0.11%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                             | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $646738.24    | 0.14%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28126 | PA      | $27898.74     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88313 | PA      | $90526.35     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                            | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A                                                                    | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $664948.42    | 0.15%             | 2027-11-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                                                                      | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125065.16    | 0.03%             | 2041-10-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class D                                                                    | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260487.50    | 0.06%             | 2042-11-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class A                                                                                         | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1221002.71   | 0.27%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| 1301 Trust                                                                | 1301 Trust, Series 2025-1301, Class F                                                                                        | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419000 | PA      | $423203.32    | 0.09%             | 2042-08-11      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5089 | PA      | $4867.34      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B2                                                            | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223827 | PA      | $223907.42    | 0.05%             | 2033-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVII Ltd.                                    | Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR                                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1002664.60   | 0.22%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2005-SA3, Class 1A                                                                                       | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1399815 | PA      | $549123.25    | 0.12%             | 2035-08-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                                 | BXMT Ltd., Series 2025-FL5, Class A                                                                                          | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1124000 | PA      | $1119039.34   | 0.25%             | 2042-10-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class C                                                                   | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $171644.84    | 0.04%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181701 | PA      | $187831.57    | 0.04%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-NQM1, Class B1                                                                                      | CUSIP: 43761DAH3<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |    392500 | PA      | $395869.42    | 0.09%             | 2070-01-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                  | Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1                                                                           | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494755 | PA      | $432481.02    | 0.10%             | 2047-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20154 | PA      | $19436.23     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55566 | PA      | $55591.87     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18225 | PA      | $17419.65     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641104 | PA      | $641505.03    | 0.14%             | 2041-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                               | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2682261.62   | 0.59%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15348 | PA      | $16133.98     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10590 | PA      | $10083.91     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30758 | PA      | $29360.95     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B3                                                              | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1988767.75   | 0.44%             | 2059-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                              | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998721 | PA      | $1013517.33   | 0.22%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-58, Class IY                                                           | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15158246 | PA      | $2374471.02   | 0.52%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-C, Class A2A                                                                   | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    225226 | PA      | $223985.90    | 0.05%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-C, Class A1B                                                                   | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117086 | PA      | $118252.90    | 0.03%             | 2052-11-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QH5, Class AII                                                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877419 | PA      | $389586.33    | 0.09%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2025-167G, Class E                                                                               | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125169.60    | 0.03%             | 2040-08-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10922 | PA      | $10723.76     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5471, Class FM                                                  | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1375305 | PA      | $1383732.17   | 0.31%             | 2054-11-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                               | Legacy Mortgage Asset Trust, Series 2019-SL2, Class A                                                                        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337274 | PA      | $1293999.73   | 0.29%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                                   | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721769 | PA      | $725504.16    | 0.16%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2022-CRE6, Class A                                                                                       | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    337918 | PA      | $337519.78    | 0.07%             | 2037-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                             | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $282334.08    | 0.06%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QO2, Class A1                                                                                        | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162489 | PA      | $350214.95    | 0.08%             | 2047-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63167 | PA      | $61900.48     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                                                | INCREF LLC, Series 2025-FL1, Class A                                                                                         | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    590000 | PA      | $589965.07    | 0.13%             | 2042-10-19      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                                 | MFT Trust, Series 2020-ABC, Class C                                                                                          | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $139105.61    | 0.03%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class E                                                                         | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000 | PA      | $7996.74      | 0.00%             | 2041-06-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20029 | PA      | $19883.37     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38941 | PA      | $38934.32     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                              | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731654 | PA      | $713710.56    | 0.16%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |   1925369 | PA      | $-196099.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-51, Class TF                                       | CUSIP: 38384KUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1104378 | PA      | $1105115.89   | 0.24%             | 2054-03-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412L5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497 | PA      | $527.11       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                                    | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1                                                                             | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2007743.20   | 0.44%             | 2037-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2025-167G, Class A                                                                               | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687000 | PA      | $689817.66    | 0.15%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78302 | PA      | $79926.59     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-AA, Class D                                                                      | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381000 | PA      | $367674.03    | 0.08%             | 2036-03-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3178 | PA      | $3076.99      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29976 | PA      | $29341.01     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                                                                    | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $594199.86    | 0.13%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                                    | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $410509.84    | 0.09%             | 2034-11-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Houston Galleria Mall Trust                                               | Houston Galleria Mall Trust, Series 2025-HGLR, Class A                                                                       | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1163144.19   | 0.26%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35686 | PA      | $35785.10     | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class B                                                                           | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268841 | PA      | $235577.73    | 0.05%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119871 | PA      | $117330.63    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A                                                                | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348000 | PA      | $348873.62    | 0.08%             | 2041-11-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7192 | PA      | $6872.51      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112646 | PA      | $109003.99    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   2716725 | PA      | $302479.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-6, Class A1                                                                            | CUSIP: 19689BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740091 | PA      | $745526.41    | 0.16%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1255640 | PA      | $1192738.69   | 0.26%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23795 | PA      | $22878.34     | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3029733 | PA      | $139627.06    | 0.03%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18069 | PA      | $16616.64     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class B1B                                                                                         | CUSIP: 12571DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1017736.88   | 0.22%             | 2069-10-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10874 | PA      | $10656.22     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       127 | NC      | $187625.36    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 2A4                                                        | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7797 | PA      | $7678.14      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-6, Class 1A2A                                                                     | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245888 | PA      | $900706.69    | 0.20%             | 2037-03-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2018-3A, Class AR                                                                               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    262447 | PA      | $262439.06    | 0.06%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                          | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $781782.98    | 0.17%             | 2041-12-09      | Fixed         | 3.20%                 | 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        |    490000 | PA      | $493039.57    | 0.11%             | 2041-04-13      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1                                                              | CUSIP: 64832DAG6<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $797023.42    | 0.18%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXIII Ltd.                                           | Madison Park Funding LXIII Ltd., Series 2023-63A, Class A1R                                                                  | CUSIP: 55817GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004055.60   | 0.44%             | 2038-07-21      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class D                                                                     | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500625.00    | 0.11%             | 2037-05-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| LEX Mortgage Trust                                                        | LEX Mortgage Trust, Series 2024-BBG, Class A                                                                                 | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1059538.29   | 0.23%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2022-SSP, Class A                                                                                          | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $370000.00    | 0.08%             | 2039-05-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                     | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96308 | PA      | $94004.53     | 0.02%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2006-S2, Class 1A16                                                                     | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127274 | PA      | $410642.43    | 0.09%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                                                                      | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857413 | PA      | $856883.52    | 0.19%             | 2036-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                                                          | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742787 | PA      | $743019.12    | 0.16%             | 2041-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1314 | PA      | $1386.97      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class E                                                                                          | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71000 | PA      | $65210.77     | 0.01%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                     | DB Master Finance LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    102000 | PA      | $102259.24    | 0.02%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19569 | PA      | $19092.13     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-1C, Class A                                                                      | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $376357.23    | 0.08%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 1A1                                                                             | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92516 | PA      | $26317.33     | 0.01%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A2                                                              | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200844 | PA      | $201462.04    | 0.04%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                            | Banc of America Mortgage Trust, Series 2005-I, Class 2A5                                                                     | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58037 | PA      | $54520.90     | 0.01%             | 2035-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B2                                                                           | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $147741.18    | 0.03%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421000 | PA      | $396792.50    | 0.09%             | 2037-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                                      | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $374650.42    | 0.08%             | 2029-11-10      | Variable      | 9.21%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                            | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B                                                   | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824831 | PA      | $776549.58    | 0.17%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23167 | PA      | $21451.50     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27779 | PA      | $27662.94     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class D                                                                            | CUSIP: 35040WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $208543.65    | 0.05%             | 2050-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31015 | PA      | $31156.90     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK8, Class ASB                                                                                            | CUSIP: 06650AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68223 | PA      | $67676.95     | 0.01%             | 2050-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 12 Ltd.                                                  | Silver Point CLO 12 Ltd., Series 2025-12A, Class A1                                                                          | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005088.60   | 0.44%             | 2038-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class C                                                                             | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3522 | PA      | $2358.21      | 0.00%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A                                                               | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $447716.27    | 0.10%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| VEGAS                                                                     | VEGAS Trust, Series 2024-GCS, Class D                                                                                        | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $346303.55    | 0.08%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2025-1918, Class A                                                             | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4019387.60   | 0.89%             | 2040-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13980 | PA      | $13852.21     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Mortgage Trust                                                        | BPR Mortgage Trust, Series 2025-ALDR, Class A                                                                                | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618000 | PA      | $636504.71    | 0.14%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $704584.61    | 0.16%             | 2036-02-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141430 | PA      | $145157.86    | 0.03%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class F                                                                               | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $125032.41    | 0.03%             | 2033-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2025-A, Class A                                                                      | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $229032.90    | 0.05%             | 2034-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class A                                                                           | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109902 | PA      | $1109528.57   | 0.24%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                                            | BRES Commercial Mortgage Trust, Series 2025-ATCAP, Class A                                                                   | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $786996.10    | 0.17%             | 2042-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL-R Ltd.                                            | Madison Park Funding XL-R Ltd., Series 2025-40RA, Class A                                                                    | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004650.00   | 0.44%             | 2038-10-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class A                                                                                          | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $591106.25    | 0.13%             | 2034-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11338 | PA      | $10971.06     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class B                                                                              | CUSIP: 52604QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $166247.70    | 0.04%             | 2034-09-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                                | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1263124 | PA      | $458002.65    | 0.10%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-IND, Class A                                                                                           | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67962 | PA      | $67983.15     | 0.01%             | 2037-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11514 | PA      | $12143.08     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class E                                                                     | CUSIP: 55616AAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $448110.32    | 0.10%             | 2042-10-15      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5544, Class HV                                                                      | CUSIP: 3137HLP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213636 | PA      | $218524.89    | 0.05%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                                             | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                                                                     | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124533.38    | 0.03%             | 2035-03-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                               | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    282827 | PA      | $282105.01    | 0.06%             | 2068-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                                                                    | CUSIP: 17307GLB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220022 | PA      | $207653.08    | 0.05%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2025-CP1, Class A1                                                                                   | CUSIP: 67121VAA2<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |    726107 | PA      | $697065.61    | 0.15%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class A1B                                                                         | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308973 | PA      | $310154.99    | 0.07%             | 2055-05-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5444, Class FC                                                  | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1593407 | PA      | $1597696.00   | 0.35%             | 2054-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                     | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420845 | PA      | $408257.56    | 0.09%             | 2036-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class 5A1                                         | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911600 | PA      | $749729.50    | 0.17%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class F                                                                    | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199537.02    | 0.04%             | 2034-11-15      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-RTL1, Class A1                                                           | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010894.50   | 0.22%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Trust                                          | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2, Class 1A4                                                                  | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720825 | PA      | $501663.33    | 0.11%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A2                                                                | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156100 | PA      | $128823.68    | 0.03%             | 2037-03-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class C                                                                    | CUSIP: 68269HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103154.14    | 0.02%             | 2036-09-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-3, Class B2                                                                     | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002509.10   | 0.22%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                                      | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $191255.35    | 0.04%             | 2039-06-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class D                                                                     | CUSIP: 12576AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1709000 | PA      | $1710602.19   | 0.38%             | 2037-10-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-1, Class 1A2B                                                                        | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332543 | PA      | $279498.93    | 0.06%             | 2036-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1                                                         | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967842 | PA      | $958362.68    | 0.21%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M2                                                                                         | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $720748.28    | 0.16%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19902 | PA      | $20989.66     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class E                                                                                 | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228817 | PA      | $227711.76    | 0.05%             | 2037-02-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                             | Centex Home Equity Loan Trust, Series 2004-D, Class MV1                                                                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394231 | PA      | $394657.91    | 0.09%             | 2034-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2024-1A, Class B                                                                    | CUSIP: 68269NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $211012.74    | 0.05%             | 2041-05-14      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class A2                                                                           | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $876786.77    | 0.19%             | 2062-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3366 | PA      | $3310.83      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10846 | PA      | $10682.69     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-A, Class A2A                                                                   | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    270186 | PA      | $268606.86    | 0.06%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class A                                                                                           | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3002812.50   | 0.66%             | 2037-08-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2024-1A, Class A1                                                                                      | CUSIP: 73743EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006766.40   | 0.44%             | 2037-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                            | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $413913.61    | 0.09%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1180000 | PA      | $-653.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28313 | PA      | $26052.49     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $276325.00    | 0.06%             | 2035-04-15      | Floating      | 6.31%                 | 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        |    860000 | PA      | $861766.53    | 0.19%             | 2042-11-05      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40432 | PA      | $40667.44     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56986 | PA      | $56542.43     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                                                   | Sandstone Peak III Ltd., Series 2024-1A, Class A1                                                                            | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2007425.00   | 0.44%             | 2037-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2480000 | PA      | $-4943.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1234 | PA      | $1180.21      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-1A, Class A1R                                                                            | CUSIP: 69689QAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002998.80   | 0.44%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                              | Navient Refinance Loan Trust, Series 2025-C, Class A                                                                         | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99936.26     | 0.02%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58224 | PA      | $58774.49     | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10689 | PA      | $11057.71     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10337 | PA      | $10114.81     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class F                                                                      | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210077.74    | 0.05%             | 2042-08-15      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| MAC Trust                                                                 | MAC Trust, Series 2025-801B, Class A                                                                                         | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000514.01   | 0.22%             | 2040-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class B                                                                   | CUSIP: 19033EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249844.35    | 0.06%             | 2036-08-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  19262000 | PA      | $19259955.34  | 4.25%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                                | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $702131.85    | 0.15%             | 2038-09-10      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class F                                                                       | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1797873 | PA      | $1661500.93   | 0.37%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                                      | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311770 | PA      | $311965.07    | 0.07%             | 2041-05-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       173 | NC      | $-21437.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                                 | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302954 | PA      | $871895.10    | 0.19%             | 2037-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class D                                                             | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201727.19    | 0.04%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class C                                                                           | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100439.21    | 0.02%             | 2055-05-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class D                                                                           | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103803.02    | 0.02%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-6CB, Class 2A10                                                                          | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937094 | PA      | $716641.14    | 0.16%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11492 | PA      | $10874.60     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28731 | PA      | $28297.37     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13852 | PA      | $13774.21     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2025 LLC                                              | Greystone CRE Notes 2025 LLC, Series 2025-HC4, Class A                                                                       | CUSIP: 39809NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1125000 | PA      | $1126367.89   | 0.25%             | 2042-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class B                                                                    | CUSIP: 44989YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451000 | PA      | $450782.80    | 0.10%             | 2037-11-05      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 7 Ltd.                                                | Warwick Capital CLO 7 Ltd., Series 2025-7A, Class A1                                                                         | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004773.20   | 0.44%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class D                                                                                          | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206903 | PA      | $207937.81    | 0.05%             | 2041-10-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class B                                                                           | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181872 | PA      | $181992.10    | 0.04%             | 2051-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20675 | PA      | $21262.25     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-VICT, Class A                                                                               | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $652234.38    | 0.14%             | 2041-07-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class A                                            | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $432441.50    | 0.10%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 3CB                                         | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942230 | PA      | $745177.65    | 0.16%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6                                                              | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1221172 | PA      | $913842.45    | 0.20%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2024-CRE9, Class A                                                                                        | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    264298 | PA      | $264272.61    | 0.06%             | 2041-05-17      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class C                                                                      | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202113.32    | 0.04%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST5, Class B                                                                     | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144000 | PA      | $144153.78    | 0.03%             | 2032-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class B1B                                                                              | CUSIP: 22758PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $401902.36    | 0.09%             | 2070-03-25      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust                    | Deutsche Mortgage Securities, Inc., Series 2006-PR1, Class CWA1                                                              | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1816079 | PA      | $901285.49    | 0.20%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-DA, Class B                                                                           | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $630399.63    | 0.14%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7424 | PA      | $7876.33      | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class A                                                                | CUSIP: 36270GAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99708.27     | 0.02%             | 2038-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXIX Ltd.                                                    | Sculptor CLO XXIX Ltd., Series 29A, Class AR                                                                                 | CUSIP: 81124EAQ3<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004928.60   | 0.44%             | 2038-07-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class B                                                                              | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138750.00    | 0.03%             | 2037-03-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class C                                                                              | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $111516.05    | 0.02%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                                                        | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $652731.46    | 0.14%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KPLB2, Class X | CUSIP: 3137HAD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16981600 | PA      | $338399.14    | 0.07%             | 2033-06-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4                                                                     | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    594048 | PA      | $528505.46    | 0.12%             | 2036-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class B                                                                   | CUSIP: 75907AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444000 | PA      | $448138.17    | 0.10%             | 2033-12-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class F                                                                       | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1253328 | PA      | $1233081.78   | 0.27%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80161 | PA      | $80585.60     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                                    | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001553 | PA      | $440457.58    | 0.10%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class B                                                                     | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120065 | PA      | $117253.71    | 0.03%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |      5844 | PA      | $4282.56      | 0.00%             | 2031-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-B, Class B                                                                     | CUSIP: 78449XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $227642.90    | 0.05%             | 2053-07-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KUFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       161 | PA      | $168.08       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5101 | PA      | $5379.69      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B                                                           | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $553280.68    | 0.12%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management                               | Dreyfus Treasury Securities Cash Management                                                                                  | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  19466377 | NS      | $19466376.84  | 4.29%             |  |  |  | No            |                  1 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class A                                                                                              | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1597990.63   | 0.35%             | 2042-06-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M2                                                                             | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    590537 | PA      | $616529.27    | 0.14%             | 2059-07-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Generate CLO 12 Ltd.                                                      | Generate CLO 12 Ltd., Series 2023-12A, Class AR                                                                              | CUSIP: 37147VAL1<br>LEI: 549300OPJWALMOKFT505 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004766.80   | 0.44%             | 2038-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29963 | PA      | $28653.41     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class B                                                                   | CUSIP: 758983AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $205519.78    | 0.05%             | 2036-07-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M3                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1139541.72   | 0.25%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                           | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667624 | PA      | $675257.54    | 0.15%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                      | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $142466.96    | 0.03%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23383 | PA      | $22022.92     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                                  | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    851179 | PA      | $740824.62    | 0.16%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class A                                                                     | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $349529.11    | 0.08%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        93 | NC      | $11961.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                                                                     | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3676000 | PA      | $3679446.25   | 0.81%             | 2037-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                                                       | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $467884.34    | 0.10%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class A                                                                   | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $528621.24    | 0.12%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131072 | PA      | $113887.18    | 0.03%             | 2048-05-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119513 | PA      | $113646.71    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class M1                                                      | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581740 | PA      | $594100.43    | 0.13%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $989197.86    | 0.22%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-8, Class A1                                                                            | CUSIP: 19689DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    567264 | PA      | $572336.97    | 0.13%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163929 | PA      | $163479.19    | 0.04%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-2, Class B1                                                                          | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501930.90    | 0.11%             | 2068-03-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85838 | PA      | $81554.32     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                 | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                                         | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011670 | PA      | $916761.63    | 0.20%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 2CB                                         | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665411 | PA      | $458376.56    | 0.10%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                  | Retained Vantage Data Centers Issuer LLC, Series 2025-1A, Class A2A                                                          | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $156654.73    | 0.03%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2045113.94   | 0.45%             | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5278 | PA      | $5549.68      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-21, Class A11                                                                   | CUSIP: 12543PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155230 | PA      | $483268.92    | 0.11%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5, Class A3                                          | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185340 | PA      | $154367.00    | 0.03%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M4                                                              | CUSIP: 92257HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868241 | PA      | $781738.41    | 0.17%             | 2049-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM3, Class A1                                                                                       | CUSIP: 36171MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711414 | PA      | $716712.66    | 0.16%             | 2070-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                                                               | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $340425.00    | 0.08%             | 2041-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1959 | PA      | $2066.48      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       795 | NC      | $-137470.54   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                                                                      | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280700.00    | 0.06%             | 2041-10-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA1, Class A1A                                       | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578343 | PA      | $541878.76    | 0.12%             | 2047-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1                                                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199174 | PA      | $1190134.36   | 0.26%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                   | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                       | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    418000 | PA      | $419015.10    | 0.09%             | 2039-03-19      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C20, Class XA                                                                              | CUSIP: 07336DAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11847879 | PA      | $548969.11    | 0.12%             | 2056-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                                 | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $295645.31    | 0.07%             | 2041-12-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-5, Class LI                                                            | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60567 | PA      | $11167.35     | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class A                                                                            | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163885 | PA      | $165592.14    | 0.04%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                                       | CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A6                                                               | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    417679 | PA      | $386294.36    | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class F                                                                                        | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629131 | PA      | $628148.11    | 0.14%             | 2038-11-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                    | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260162.50    | 0.06%             | 2041-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17976 | PA      | $17608.45     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A1                                                                | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156100 | PA      | $968204.89    | 0.21%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class E                                                                                          | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439000 | PA      | $440387.28    | 0.10%             | 2034-03-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66223 | PA      | $65711.31     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                             | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528228 | PA      | $528063.97    | 0.12%             | 2038-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM7, Class A1                                                                  | CUSIP: 10570TAP0<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |    579896 | PA      | $584083.23    | 0.13%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                               | Wireless PropCo Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 97655EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $428527.23    | 0.09%             | 2055-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020852 | PA      | $12422.33     | 0.00%             | 2051-11-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42207 | PA      | $40222.73     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-BIO, Class A                                                                                           | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $733621.88    | 0.16%             | 2041-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                                          | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303140.28    | 0.07%             | 2039-12-15      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                                                        | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $205387.37    | 0.05%             | 2039-08-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class C                                                             | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202128.74    | 0.04%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class B                                                                 | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $522275.00    | 0.12%             | 2028-03-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-3BP, Class A                                                                      | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467000 | PA      | $464081.25    | 0.10%             | 2042-02-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MHP                                                                       | MHP, Series 2022-MHIL, Class A                                                                                               | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49504 | PA      | $49458.08     | 0.01%             | 2039-01-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4839601 | PA      | $4469353.81   | 0.99%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576070 | PA      | $576069.73    | 0.13%             | 2037-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70193 | PA      | $65016.73     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class M1                                                              | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1567073 | PA      | $1638199.72   | 0.36%             | 2037-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A                                                              | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $608699.01    | 0.13%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2018-BA, Class A2B                                                              | CUSIP: 63940QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232301 | PA      | $232335.59    | 0.05%             | 2059-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-97, Class LI                                                           | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18119961 | PA      | $3069126.43   | 0.68%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A4                                                               | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |    543926 | PA      | $537238.56    | 0.12%             | 2033-09-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                                                         | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $344123.32    | 0.08%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                                                         | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $420262.50    | 0.09%             | 2041-10-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2022-LTV1, Class M1                                                                       | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $403507.74    | 0.09%             | 2052-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class A1B                                                                         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110620.10    | 0.02%             | 2065-06-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-96, Class FL                                       | CUSIP: 38384PC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1709150 | PA      | $1712588.82   | 0.38%             | 2054-06-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class E                                                                            | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $301368.63    | 0.07%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class E                                                                     | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353000 | PA      | $361651.54    | 0.08%             | 2040-07-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2017-B, Class B                                                                     | CUSIP: 83189DAD2<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $436502.68    | 0.10%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class A                                                                                        | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $907990.76    | 0.20%             | 2033-03-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23870 | PA      | $24516.78     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                                             | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173270 | PA      | $1172375.47   | 0.26%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52829 | PA      | $48933.23     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126790 | PA      | $119519.79    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class B                                                                              | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203000 | PA      | $203431.74    | 0.04%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100752 | PA      | $106253.52    | 0.02%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                                         | Sesac Finance LLC, Series 2025-1, Class A2                                                                                   | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $159578.18    | 0.04%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877247 | PA      | $1139055.97   | 0.25%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd.                                                           | Octagon 66 Ltd., Series 2022-1A, Class A1R                                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $652248.35    | 0.14%             | 2036-11-16      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2021-1A, Class AR                                                                                      | CUSIP: 92918QAN0<br>LEI: 549300TZK6NKU72KPL60 | Long             | ABS-CBDO         | CORP              | KY        |   1135000 | PA      | $1133982.70   | 0.25%             | 2034-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-INV4, Class B1                                                                         | CUSIP: 19688QAE1<br>LEI: 2138008UGM66WOAUY633 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506138.00    | 0.11%             | 2069-05-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94111 | PA      | $94115.96     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1083605 | PA      | $1082928.01   | 0.24%             | 2039-12-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20013 | PA      | $19539.20     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B1                                                                  | CUSIP: 10569NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $508614.05    | 0.11%             | 2064-11-25      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                                  | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578498 | PA      | $566983.13    | 0.13%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-IA, Class A1B                                                         | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504004 | PA      | $501512.17    | 0.11%             | 2069-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-DSC2, Class A1                                                   | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737595 | PA      | $742113.70    | 0.16%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| SCG Trust                                                                 | SCG Trust, Series 2025-SNIP, Class A                                                                                         | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001312.40   | 0.22%             | 2042-09-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M1                                                                             | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    412817 | PA      | $430297.07    | 0.09%             | 2059-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-2, Class B2                                                                     | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994418.00    | 0.22%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7034 | PA      | $6776.78      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A6                                                          | CUSIP: 76113NAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459228 | PA      | $429004.08    | 0.09%             | 2036-07-25      | Floating      | 21.16%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9290 | PA      | $9638.77      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYMT Trust                                                                | NYMT Trust, Series 2024-RR1, Class A                                                                                         | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895604 | PA      | $890439.67    | 0.20%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXII                                                          | Apidos CLO XXXII, Series 2019-32A, Class A1R                                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    249620 | PA      | $249491.68    | 0.06%             | 2033-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class D                                                                         | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $855402.26    | 0.19%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64235 | PA      | $64766.56     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                                           | GreenSky Home Improvement Trust, Series 2024-1, Class B                                                                      | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292327 | PA      | $297679.74    | 0.07%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class D                                                                                         | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386532 | PA      | $387377.69    | 0.09%             | 2041-10-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                              | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495907 | PA      | $500998.43    | 0.11%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39177 | PA      | $38740.92     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                                      | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256000 | PA      | $1254874.62   | 0.28%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance issuance Trust, Series 2025-AA, Class A                                                                      | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372000 | PA      | $375087.30    | 0.08%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-NQM3, Class A1                                                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723573 | PA      | $728171.34    | 0.16%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2024-PARK, Class D                                                                     | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $237169.92    | 0.05%             | 2039-11-05      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                          | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1564510.94   | 0.34%             | 2042-03-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                                        | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867745 | PA      | $868287.79    | 0.19%             | 2039-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1200 | PA      | $1178.95      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77786 | PA      | $77753.49     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO V-R Ltd.                                                  | Sound Point CLO V-R Ltd., Series 2014-1RA, Class A                                                                           | CUSIP: 83607EAA0<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |     86379 | PA      | $86385.45     | 0.02%             | 2031-07-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                                                     | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351708 | PA      | $352302.87    | 0.08%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class F                                                                                         | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $114829.94    | 0.03%             | 2039-06-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class D                                                               | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207000 | PA      | $210679.80    | 0.05%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class AFL                                                                         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276481 | PA      | $275743.36    | 0.06%             | 2062-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class E                                                                                              | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $781060.59    | 0.17%             | 2042-06-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class B                                                                             | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264283 | PA      | $300325.19    | 0.07%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-9T1, Class A4                                                                            | CUSIP: 12668BVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1679623 | PA      | $629730.66    | 0.14%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B2                                                              | CUSIP: 64832DAH4<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    394300 | PA      | $382993.84    | 0.08%             | 2065-01-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2007-9, Class A2A                                                                             | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822189 | PA      | $458766.98    | 0.10%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class B                                                                       | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1083651.46   | 0.24%             | 2039-02-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM5, Class A1                                                                                             | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1262535 | PA      | $1262511.64   | 0.28%             | 2070-11-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class C                                                                     | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $254533.35    | 0.06%             | 2042-08-10      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 22A                                                     | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394561 | PA      | $374549.52    | 0.08%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV5, Class B6                                                                       | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1443420 | PA      | $752663.62    | 0.17%             | 2051-12-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13464 | PA      | $12765.31     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-2A, Class B                                                                            | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760133 | PA      | $760545.58    | 0.17%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                | RASC Trust, Series 2006-EMX9, Class 1A4                                                                                      | CUSIP: 74924VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1107378 | PA      | $929495.50    | 0.20%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM6, Class A1                                                                  | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |    701513 | PA      | $704506.22    | 0.16%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491589 | PA      | $88264.20     | 0.02%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42618 | PA      | $39474.76     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131402 | PA      | $135133.58    | 0.03%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                          | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809000 | PA      | $808999.19    | 0.18%             | 2041-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class B                                                                                 | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100233.43    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AW3Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170177 | PA      | $170442.13    | 0.04%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class A                                                                                               | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1055659.38   | 0.23%             | 2041-06-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-19, Class 1A34                                                                           | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737941 | PA      | $343197.01    | 0.08%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46455 | PA      | $45039.48     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2022-NQM2, Class M1                                                                                       | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $851775.00    | 0.19%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                                         | CarVal CLO I Ltd., Series 2018-1A, Class AR                                                                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1304721 | PA      | $1304837.36   | 0.29%             | 2031-07-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15066 | PA      | $14973.29     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                                                         | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $295930.31    | 0.07%             | 2029-08-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                       | DBWF Mortgage Trust, Series 2024-LCRS, Class A                                                                               | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $604243.75    | 0.13%             | 2037-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class A                                                                              | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149000 | PA      | $150574.23    | 0.03%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XB                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $39732.20     | 0.01%             | 2053-04-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST4, Class A                                                                     | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89944 | PA      | $90166.52     | 0.02%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999531.30    | 0.22%             | 2038-09-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                                                        | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $838950.00    | 0.18%             | 2041-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                                               | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888387 | PA      | $129860.44    | 0.03%             | 2053-04-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                                       | TYSN Mortgage Trust, Series 2023-CRNR, Class A                                                                               | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $400323.69    | 0.09%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2380 | PA      | $2510.53      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M4                                                              | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345763 | PA      | $350540.99    | 0.08%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Silver Point CLO 6 Ltd.                                                   | Silver Point CLO 6 Ltd., Series 2024-6A, Class A1                                                                            | CUSIP: 82808MAA1<br>LEI: 254900RSFBN3VCGBVP05 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001988.80   | 0.22%             | 2037-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QS1, Class 1A5                                                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819988 | PA      | $610687.09    | 0.13%             | 2037-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13532 | PA      | $13695.27     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A2                                                          | CUSIP: 76113NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2609195 | PA      | $455449.42    | 0.10%             | 2036-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WLF2, Class A                                                                                  | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $566059.38    | 0.12%             | 2041-05-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class A                                                                                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $565292.50    | 0.12%             | 2039-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2021-5, Class A1                                                                            | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140542 | PA      | $1872415.55   | 0.41%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3                                                                     | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497935 | PA      | $598693.54    | 0.13%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                                     | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706888 | PA      | $710600.00    | 0.16%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-53, Class V                                                            | CUSIP: 38380M4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128803 | PA      | $124892.67    | 0.03%             | 2031-08-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                            | Mariner Finance issuance Trust, Series 2024-BA, Class D                                                                      | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $215192.19    | 0.05%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans LLC                                             | College Ave Student Loans LLC, Series 2021-C, Class C                                                                        | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114876 | PA      | $108492.89    | 0.02%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2024-RVR, Class E                                                                 | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $418996.73    | 0.09%             | 2041-08-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class A                                                                    | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607000 | PA      | $606617.41    | 0.13%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                                  | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504063.60    | 0.11%             | 2063-09-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31368HNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146973 | PA      | $148189.63    | 0.03%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class D                                                                                           | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $146959.27    | 0.03%             | 2041-03-15      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A5                                                         | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98531.15     | 0.02%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2025-ASHF, Class A                                                                                       | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450562.50    | 0.10%             | 2042-02-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                                                   | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1094555.88   | 0.24%             | 2042-11-10      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                                   | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241512 | PA      | $342310.92    | 0.08%             | 2046-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154606 | PA      | $147512.27    | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4630 | PA      | $4460.37      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A7                                                                          | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499653 | PA      | $589140.19    | 0.13%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class B                                                                     | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $822634.64    | 0.18%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2023-BA, Class A1A                                                                        | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88191 | PA      | $91036.16     | 0.02%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                            | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190112.56    | 0.04%             | 2039-11-09      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class X                                                                                        | CUSIP: 55318EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28000000 | PA      | $58786.00     | 0.01%             | 2038-06-10      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 43 Ltd.                                       | Benefit Street Partners CLO 43 Ltd., Series 2025-43A, Class A                                                                | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001766.80   | 0.22%             | 2038-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-11X, Class A                                                                      | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $850000.00    | 0.19%             | 2040-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A1                                                         | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |     75036 | PA      | $75035.79     | 0.02%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd.                                                           | CQS US CLO Ltd., Series 2025-4A, Class A1                                                                                    | CUSIP: 12674KAC9<br>LEI: 25490009GM1MG9XIPV52 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006795.00   | 0.44%             | 2036-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                                       | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $536283.66    | 0.12%             | 2064-07-25      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2010-6R, Class 2A6B                                                                                       | CUSIP: 12643PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464798 | PA      | $483978.42    | 0.11%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2023-SFR2, Class F1                                                                                       | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $566219.22    | 0.12%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class D                                                                       | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237577 | PA      | $238245.20    | 0.05%             | 2039-02-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                      | SoFi Professional Loan Program Trust, Series 2021-B, Class AFX                                                               | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207522 | PA      | $182441.23    | 0.04%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR31, Class 2A1                                                                | CUSIP: 45660LW39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968803 | PA      | $961419.03    | 0.21%             | 2036-01-25      | Variable      | 4.82%                 | 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        |    347000 | PA      | $347032.58    | 0.08%             | 2041-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                                                                      | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1409995 | PA      | $1411757.30   | 0.31%             | 2041-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19173 | PA      | $18038.65     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386637 | PA      | $46211.78     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9470000 | PA      | $9806040.49   | 2.16%             | 2055-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14804 | PA      | $13935.78     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                             | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1374898 | PA      | $1136086.22   | 0.25%             | 2039-05-28      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15676 | PA      | $14519.68     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2007-BC3, Class 1A                                                             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539889 | PA      | $514203.67    | 0.11%             | 2047-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22067 | PA      | $22052.33     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class B                                                                      | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $186387.50    | 0.04%             | 2027-06-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                                                        | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $448874.60    | 0.10%             | 2066-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                              | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    720476 | PA      | $724426.47    | 0.16%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4456 | PA      | $4118.81      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S2, Class 1A9                                                                      | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1689414 | PA      | $891228.63    | 0.20%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class B                                                                         | CUSIP: 63943EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $206869.03    | 0.05%             | 2055-07-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26953 | PA      | $24994.62     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M4                                                              | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014113 | PA      | $1023302.07   | 0.23%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2012-RR3, Class 3A8                                                                                   | CUSIP: 05539BAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136091 | PA      | $1029168.94   | 0.23%             | 2037-07-26      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| MIC Trust (The)                                                           | MIC Trust (The), Series 2023-MIC, Class A                                                                                    | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $259528.90    | 0.06%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $191434.09    | 0.04%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90764 | PA      | $92629.71     | 0.02%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class B3                                                                            | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378398 | PA      | $211657.16    | 0.05%             | 2060-12-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $435817.15    | 0.10%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 1A4                                                     | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681678 | PA      | $662610.33    | 0.15%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class D                                                                     | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $382359.79    | 0.08%             | 2039-10-13      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587180 | PA      | $105426.24    | 0.02%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    510000 | PA      | $432921.89    | 0.10%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19428 | PA      | $17754.09     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class B                                                                      | CUSIP: 05613QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479590 | PA      | $480189.56    | 0.11%             | 2041-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12586 | PA      | $12190.30     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class E                                                                      | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $377333.79    | 0.08%             | 2039-05-10      | Variable      | 10.26%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39501 | PA      | $39772.65     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class M1B                                                                                      | CUSIP: 00112EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1013956.20   | 0.22%             | 2064-10-25      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                              | Ford Credit Auto Owner Trust, Series 2025-1, Class B                                                                         | CUSIP: 34532MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232000 | PA      | $236969.23    | 0.05%             | 2037-08-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-2, Class B1                                                                          | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503190.25    | 0.11%             | 2070-03-25      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-22, Class M1                                                              | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2197328 | PA      | $2181950.94   | 0.48%             | 2047-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-9911.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UPX HIL Issuer Trust                                                      | UPX HIL Issuer Trust, Series 2025-1, Class A                                                                                 | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198635 | PA      | $199186.70    | 0.04%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class F                                                                        | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2433031.75   | 0.54%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42714 | PA      | $41010.92     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                                                                  | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048608 | PA      | $1042545.18   | 0.23%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                           | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206602 | PA      | $209293.49    | 0.05%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-6, Class ES                                        | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6062400 | PA      | $480842.29    | 0.11%             | 2053-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                           | ChaseFlex Trust, Series 2007-1, Class 2A7                                                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1874704 | PA      | $623700.93    | 0.14%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class B1                                                                 | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2985000 | PA      | $2985640.28   | 0.66%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20195 | PA      | $19802.27     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                                                                       | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849152 | PA      | $850198.43    | 0.19%             | 2039-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-55CW, Class 2A3                                                                          | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546281 | PA      | $392724.13    | 0.09%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class G                                                                      | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186000 | PA      | $186065.97    | 0.04%             | 2042-08-15      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2023-1, Class B1                                                                  | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996170.10    | 0.22%             | 2068-02-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO Ltd.                                                      | Cayuga Park CLO Ltd., Series 2020-1A, Class AR                                                                               | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1500521.10   | 0.33%             | 2034-07-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2006-9F, Class 3A1                                                                           | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478937 | PA      | $445649.06    | 0.10%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2A1                                                                  | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444725 | PA      | $440331.48    | 0.10%             | 2053-01-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                                                                 | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $595500.00    | 0.13%             | 2041-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191155 | PA      | $198965.59    | 0.04%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B1                                                                           | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $223850.28    | 0.05%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |     28717 | PA      | $27560.33     | 0.01%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17111 | PA      | $18153.04     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                                        | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    249481 | PA      | $249500.90    | 0.06%             | 2031-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-27, Class IJ                                                              | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5367179 | PA      | $1038760.64   | 0.23%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                               | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179453 | PA      | $781384.02    | 0.17%             | 2046-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-VIS2, Class A1                                                                       | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    737403 | PA      | $741381.57    | 0.16%             | 2055-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22104 | PA      | $21952.59     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KSL Trust 2025-MAK                                                        | KSL Trust                                                                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $304651.60    | 0.07%             | 2030-06-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-7, Class A1                                                                            | CUSIP: 19689CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382492 | PA      | $385033.66    | 0.08%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6513 | PA      | $6211.84      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class F                                                                                          | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $447021.50    | 0.10%             | 2039-01-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Onemain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2025-1A, Class D                                                                    | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $418966.69    | 0.09%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-7, Class IA                                                               | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19726968 | PA      | $2495964.49   | 0.55%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17517 | PA      | $17671.50     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    547900 | PA      | $547358.02    | 0.12%             | 2039-02-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16852 | PA      | $16732.66     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class D                                                                            | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $390130.75    | 0.09%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2020-43                                                 | CUSIP: 38380PAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1942184 | PA      | $150176.25    | 0.03%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class A                                                                                         | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $550341.88    | 0.12%             | 2039-06-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                                          | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463071 | PA      | $468224.08    | 0.10%             | 2055-05-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class D                                                                           | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100128.34    | 0.02%             | 2055-05-17      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                                            | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1075335.94   | 0.24%             | 2040-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A4                                                             | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70743 | PA      | $71751.78     | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20262 | PA      | $19414.31     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                             | MHP Commercial Mortgage Trust, Series 2025-MHIL2, Class E                                                                    | CUSIP: 59317DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249474.78    | 0.06%             | 2040-09-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10231 | PA      | $10023.04     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49860 | PA      | $47835.31     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-40, Class EV                                                              | CUSIP: 3136BWHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223347 | PA      | $228740.20    | 0.05%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class D                                                                    | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $719536.05    | 0.16%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3596 | PA      | $3427.76      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class AJ                                                                         | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96250.00     | 0.02%             | 2036-01-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-6, Class 3CB1                                        | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2558930 | PA      | $1026374.88   | 0.23%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class C                                                                                         | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $547179.89    | 0.12%             | 2041-12-10      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class E                                                                                          | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219122 | PA      | $218420.11    | 0.05%             | 2041-04-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39626 | PA      | $36703.75     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33757 | PA      | $32139.09     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38180 | PA      | $36582.64     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A                                                          | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128837 | PA      | $125482.68    | 0.03%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1                                                                 | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2552566.80   | 0.56%             | 2065-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3, Class M1                                                       | CUSIP: 004421HQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209304 | PA      | $212522.85    | 0.05%             | 2034-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                                                                  | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $541012.50    | 0.12%             | 2039-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BHMS Commercial Mortgage Trust                                            | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                                    | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666000 | PA      | $667665.00    | 0.15%             | 2042-08-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                        | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $607144.80    | 0.13%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class A                                                                                          | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $760475.00    | 0.17%             | 2038-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                                                          | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108378 | PA      | $108716.60    | 0.02%             | 2041-10-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119470 | PA      | $118857.47    | 0.03%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                                               | Point Broadband Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 73052AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $293656.38    | 0.06%             | 2055-07-20      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2025-5C4, Class A3                                                             | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303000 | PA      | $316891.52    | 0.07%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2024-BOCA, Class A                                                                    | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $802500.00    | 0.18%             | 2041-08-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95258 | PA      | $97718.89     | 0.02%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class F                                                                     | CUSIP: 088921AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $547792.63    | 0.12%             | 2042-10-10      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-31

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

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer