# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001193125-26-070972
**Filing Date:** 2026-2
**Character Count:** 222628
**Document Hash:** 9e3cbfa5860d02b55deec009bf6225ea
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-070972.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001193125-26-070972

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 26677530

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/DoubleLine Total Return Fund (Series ID: S000068111)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000218180 | JNL/DoubleLine Total Return Fund (A) |  |
| C000218181 | JNL/DoubleLine Total Return Fund (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/DoubleLine Total Return Fund

- **b. EDGAR series identifier (if any):** S000068111

- **c. LEI of Series:** 5493001TIT2IUM88SU79

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $1796727143.61

**Total Liabilities:** $7904480.53

**Net Assets:** $1788822663.08

**Cash Not Reported:** $11709992.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1627.490105594391 | **1-Year:** -12038.084396339660 | **5-Year:** -59962.702875331116 | **10-Year:** -158344.800388074582 | **30-Year:** -393452.922699381490

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

- **3-Month:** -2034.646782601269 | **1-Year:** -10434.632509354506 | **5-Year:** -19189.436600346486 | **10-Year:** -83501.830824256606 | **30-Year:** -37750.677396143557

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218180 | 0.61%                | 0.69%                | -0.09%               |
| Class ID C000218181 | 0.51%                | 0.76%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-339866.33              | $4648702.65                                |
| Month 2  | $253765.45               | $4525445.65                                |
| Month 3  | $236416.95               | $-4460466.13                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LHMN0001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO BOARD OF TRADE                                                         | FUTURE - PHYSICALLY DELIVERED                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      2275 | NC      | $117885.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | FUTURE - PHYSICALLY DELIVERED                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      3950 | NC      | $709170.80    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | FUTURE - PHYSICALLY DELIVERED                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      1550 | NC      | $-714013.27   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | FUTURE - PHYSICALLY DELIVERED                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -410 | NC      | $72864.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                         | FUTURE - PHYSICALLY DELIVERED                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -270 | NC      | $298509.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2022-Fl1, Ltd.                       | Arbor Realty Commercial Real Estate Notes 2022-Fl1, Ltd.                       | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1082570 | PA      | $1082570.24   | 0.06%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-LP2                                          | BX Commercial Mortgage Trust 2022-LP2                                          | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340107 | PA      | $338831.72    | 0.02%             | 2039-02-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO 46 Ltd                                             | Benefit Street Partners CLO 46 Ltd                                             | CUSIP: 08186HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.28%             | 2039-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-RPL1 Trust                                                           | CSMC 2019-RPL1 Trust                                                           | CUSIP: 12654RAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13033950 | PA      | $11231972.38  | 0.63%             | 2058-09-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                             | Credit Suisse Securities (USA) LLC                                             | CUSIP: 225470AB9<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   4023015 | PA      | $1151908.74   | 0.06%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132M3KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    166189 | PA      | $162021.38    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436000 | PA      | $344367.84    | 0.02%             | 2031-07-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382USE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  31266686 | PA      | $5233624.35   | 0.29%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2025-CRE8 Issuer LLC                                                  | LoanCore 2025-CRE8 Issuer LLC                                                  | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2709999.19   | 0.15%             | 2029-11-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                    | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                    | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360000 | PA      | $2161612.97   | 0.12%             | 2026-10-19      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-BNC3                               | Structured Asset Investment Loan Trust 2006-BNC3                               | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4479420 | PA      | $2602056.87   | 0.15%             | 2036-09-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2024-1                                            | Upstart Securitization Trust 2024-1                                            | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1100870 | PA      | $1101281.48   | 0.06%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust 2025-HUB                                        | BSTN Commercial Mortgage Trust 2025-HUB                                        | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1084885.49   | 0.06%             | 2031-04-15      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DSND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16596157 | PA      | $17295254.81  | 0.97%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                | Ginnie Mae REMIC Trust 2020-095                                                | CUSIP: 38382GAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  11315413 | PA      | $1891857.77   | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NP SPE II LLC                                                                  | NP SPE II LLC                                                                  | CUSIP: 62954JAB0<br>LEI: 549300M4DFCB4G0UM882 | Long             | ABS-CBDO         | CORP              | US        |   7474429 | PA      | $6307561.91   | 0.35%             | 2026-09-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL6, LLC                                                            | PRET 2024-NPL6, LLC                                                            | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |  12264776 | PA      | $12271526.05  | 0.69%             | 2054-09-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-3                                  | Structured Asset Investment Loan Trust 2006-3                                  | CUSIP: 863587AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4351147 | PA      | $2671174.95   | 0.15%             | 2036-06-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2025-4                                            | Upstart Securitization Trust 2025-4                                            | CUSIP: 91684AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3250000 | PA      | $3255185.05   | 0.18%             | 2026-11-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C1 Mortgage Trust                                                   | DBJPM 2016-C1 Mortgage Trust                                                   | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13281873 | PA      | $7872.17      | 0.00%             | 2049-05-12      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3132DQLN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10801692 | PA      | $11178542.13  | 0.62%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382NPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  13602794 | PA      | $2254098.60   | 0.13%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2021-FL3, Ltd.                                             | Greystone CRE Notes 2021-FL3, Ltd.                                             | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    213219 | PA      | $213085.54    | 0.01%             | 2039-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Starm Mortgage Loan Trust 2007-2                                               | Starm Mortgage Loan Trust 2007-2                                               | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364605 | PA      | $156963.73    | 0.01%             | 2037-04-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                     | Starwood Mortgage Residential Trust 2021-2                                     | CUSIP: 85573HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5537000 | PA      | $4999787.52   | 0.28%             | 2065-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank 2020-BNK25                                                                | Bank 2020-BNK25                                                                | CUSIP: 06539WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306000 | PA      | $281066.36    | 0.02%             | 2030-01-17      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Benchmark 2025-V19 Mortgage Trust                                              | Benchmark 2025-V19 Mortgage Trust                                              | CUSIP: 08164DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2450000 | PA      | $2527925.68   | 0.14%             | 2030-12-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners Clo XXXVII Ltd                                         | Benefit Street Partners Clo XXXVII Ltd                                         | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500806.50    | 0.03%             | 2038-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2020-RPL1                                      | Bravo Residential Funding Trust 2020-RPL1                                      | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4325910.75   | 0.24%             | 2059-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT 2023-1 Mortgage Loan Trust                                                | COLT 2023-1 Mortgage Loan Trust                                                | CUSIP: 19688NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3850368 | PA      | $3868467.82   | 0.22%             | 2068-04-25      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137BLFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    563136 | PA      | $464474.52    | 0.03%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137FMES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4322669 | PA      | $3997499.59   | 0.22%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust 2024-1                               | GoodLeap Home Improvement Solutions Trust 2024-1                               | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    992056 | PA      | $998231.70    | 0.06%             | 2033-04-20      | Fixed         | 5.35%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381DFX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  72456722 | PA      | $3534489.63   | 0.20%             | 2061-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                          | Home Partners of America 2018-1 Trust                                          | CUSIP: 437300AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2128941 | PA      | $1953514.36   | 0.11%             | 2029-09-19      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust 2006-AR2                                      | IndyMac INDA Mortgage Loan Trust 2006-AR2                                      | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492437 | PA      | $467785.61    | 0.03%             | 2036-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | CUSIP: 46629VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3834730 | PA      | $3614499.49   | 0.20%             | 2034-01-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 Ltd.                                                              | MF1 2022-FL8 Ltd.                                                              | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    610355 | PA      | $610185.77    | 0.03%             | 2037-02-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A6                                 | Residential Asset Securitization Trust 2006-A6                                 | CUSIP: 76113FBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2382773 | PA      | $1143937.99   | 0.06%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2025-3                                            | Upstart Securitization Trust 2025-3                                            | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2991930.60   | 0.17%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                  | Velocity Commercial Capital Loan Trust 2017-2                                  | CUSIP: 92258VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112739 | PA      | $112461.50    | 0.01%             | 2026-07-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| ACRES 2025-FL3, LLC                                                            | ACRES 2025-FL3, LLC                                                            | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2550000 | PA      | $2553188.01   | 0.14%             | 2040-08-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Cedar Funding IX CLO Ltd                                                       | Cedar Funding IX CLO Ltd                                                       | CUSIP: 15033EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002593.00   | 0.06%             | 2037-07-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                           | Credit Suisse First Boston Mortgage Securities Corp.                           | CUSIP: 2254W0PC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4888652 | PA      | $2419088.57   | 0.14%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381DBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  38098398 | PA      | $2223384.42   | 0.12%             | 2063-08-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Grace Trust                                                                    | Grace Trust                                                                    | CUSIP: 38406JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1845000 | PA      | $1615464.29   | 0.09%             | 2030-12-12      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Resecuritization Trust, Series 2009-10 Trust                       | J.P. Morgan Resecuritization Trust, Series 2009-10 Trust                       | CUSIP: 46634ABH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757506 | PA      | $848682.08    | 0.05%             | 2037-03-26      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Katayma CLO II, Ltd.                                                           | Katayma CLO II, Ltd.                                                           | CUSIP: 485862AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001688.00   | 0.06%             | 2037-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S6 Trust                                                     | RFMSI Series 2006-S6 Trust                                                     | CUSIP: 74957VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140795 | PA      | $125316.03    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C54                                 | Wells Fargo Commercial Mortgage Trust 2019-C54                                 | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  33680569 | PA      | $931729.15    | 0.05%             | 2052-12-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1                                                                   | AASET 2024-1                                                                   | CUSIP: 00255JAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    817000 | PA      | $827866.28    | 0.05%             | 2031-05-16      | Fixed         | 6.90%                 | No            |                  3 | On Loan: No      |
| CSAIL 2019-C16 Commercial Mortgage Trust                                       | CSAIL 2019-C16 Commercial Mortgage Trust                                       | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8520508 | PA      | $359182.87    | 0.02%             | 2052-06-17      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust, Series 2007-RFC1                               | Carrington Mortgage Loan Trust, Series 2007-RFC1                               | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1665685 | PA      | $1641589.29   | 0.09%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Aircraft Lease Securitisation Limited                                          | Aircraft Lease Securitisation Limited                                          | CUSIP: 16165YAU6<br>LEI: 549300U0MLTIRZBG3244 | Long             | ABS-MBS          | CORP              | US        |   2027386 | PA      | $1724355.14   | 0.10%             | 2028-12-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HCLV Mortgage Trust                                                  | COMM 2018-HCLV Mortgage Trust                                                  | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $1954152.13   | 0.11%             | 2033-09-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9331068 | PA      | $9601207.81   | 0.54%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136B1R30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18644629 | PA      | $15746619.47  | 0.88%             | 2048-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CommonBond Student Loan Trust 2018-B-GS                                        | CommonBond Student Loan Trust 2018-B-GS                                        | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-CBDO         | CORP              | US        |     85378 | PA      | $69693.55     | 0.00%             | 2028-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137BRRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21347561 | PA      | $19119874.52  | 1.07%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140XTBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6539389 | PA      | $5340350.58   | 0.30%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140W0SF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13705490 | PA      | $13984918.90  | 0.78%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4171890 | PA      | $3713285.21   | 0.21%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR5 Trust                                           | Progress Residential 2021-SFR5 Trust                                           | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15840000 | PA      | $15604036.27  | 0.87%             | 2026-07-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A8                                 | Residential Asset Securitization Trust 2007-A8                                 | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15332628 | PA      | $7156606.90   | 0.40%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A12                                | Residential Asset Securitization Trust 2006-A12                                | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9074783 | PA      | $3233645.54   | 0.18%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Databank Issuer, LLC                                                           | Databank Issuer, LLC                                                           | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1991364.40   | 0.11%             | 2026-02-25      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27076266 | PA      | $24319839.43  | 1.36%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137B4J49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5607834 | PA      | $5462428.51   | 0.31%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S4 Trust                                                     | RFMSI Series 2007-S4 Trust                                                     | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542026 | PA      | $446126.71    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AASET 2024-2 Ltd                                                               | AASET 2024-2 Ltd                                                               | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3633122 | PA      | $3674539.28   | 0.21%             | 2031-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38378DY25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    919555 | PA      | $867135.98    | 0.05%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust 2007-1                                            | MASTR Alternative Loan Trust 2007-1                                            | CUSIP: 55275SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2577571 | PA      | $766152.45    | 0.04%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1                    | Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1                    | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9552693 | PA      | $2529586.67   | 0.14%             | 2047-10-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136B9L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  26403516 | PA      | $2778634.73   | 0.16%             | 2058-01-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137HHCN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15210425 | PA      | $15239359.64  | 0.85%             | 2054-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381EGK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  82846783 | PA      | $5593383.97   | 0.31%             | 2063-11-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382LR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  32420772 | PA      | $4507469.70   | 0.25%             | 2050-12-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                        | Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                        | CUSIP: 863579B31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2399420 | PA      | $1962428.40   | 0.11%             | 2035-11-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                          | Treasury, United States Department of                                          | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4340000 | PA      | $5628631.28   | 0.31%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                          | Wells Fargo & Company                                                          | CUSIP: 94989YBF9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |   1577000 | PA      | $1514542.13   | 0.08%             | 2026-01-16      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                       | BX Trust                                                                       | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1092731 | PA      | $1101509.45   | 0.06%             | 2030-12-13      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2025-BCAT                                         | BX Commercial Mortgage Trust 2025-BCAT                                         | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1207439 | PA      | $1205929.48   | 0.07%             | 2027-08-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CIM Trust 2023-R4                                                              | CIM Trust 2023-R4                                                              | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6001488 | PA      | $6058120.81   | 0.34%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  35057875 | PA      | $4969411.77   | 0.28%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd.                                                             | KREF 2021-FL2 Ltd.                                                             | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | US        |   1099991 | PA      | $1097378.92   | 0.06%             | 2039-02-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 4 Ltd.                                                     | Warwick Capital CLO 4 Ltd.                                                     | CUSIP: 93655QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3009132.00   | 0.17%             | 2037-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-5CB                                                | Alternative Loan Trust 2007-5CB                                                | CUSIP: 02150EAF0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   2989202 | PA      | $1120326.72   | 0.06%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-8                                         | CHL Mortgage Pass-Through Trust 2007-8                                         | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122216 | PA      | $784703.75    | 0.04%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-45                                                 | Alternative Loan Trust 2005-45                                                 | CUSIP: 12668AKP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12080340 | PA      | $7326674.16   | 0.41%             | 2035-11-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-P3                                    | Citigroup Commercial Mortgage Trust 2016-P3                                    | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9329570 | PA      | $29442.26     | 0.00%             | 2049-04-16      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1330389 | PA      | $1205346.02   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  28707470 | PA      | $4456432.83   | 0.25%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 31427MV81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11676103 | PA      | $9999364.47   | 0.56%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                    | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                    | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5868877 | PA      | $160.81       | 0.00%             | 2049-01-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2024-1 Ltd                                                  | Rockford Tower CLO 2024-1 Ltd                                                  | CUSIP: 77342BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2003772.00   | 0.11%             | 2037-04-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS4                                | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                | CUSIP: 94989XBL8<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |    376061 | PA      | $371366.81    | 0.02%             | 2048-12-17      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd.                       | Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd.                       | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1201224 | PA      | $1201237.17   | 0.07%             | 2036-11-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-GC36                                  | Citigroup Commercial Mortgage Trust 2016-GC36                                  | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5603120 | PA      | $14228.00     | 0.00%             | 2049-02-12      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6741009 | PA      | $6215051.22   | 0.35%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    508907 | PA      | $496191.49    | 0.03%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Labrador Aviation Finance Limited                                              | Labrador Aviation Finance Limited                                              | CUSIP: 50543LAA0<br>LEI: 549300FTBC83WH0X4750 | Long             | ABS-CBDO         | CORP              | BM        |   6303985 | PA      | $6283812.27   | 0.35%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A6                                 | Residential Asset Securitization Trust 2007-A6                                 | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2915827 | PA      | $542580.08    | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO III Ltd                                                            | Vibrant CLO III Ltd                                                            | CUSIP: 92557UAW7<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |     35436 | PA      | $35438.94     | 0.00%             | 2031-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Benchmark 2025-V18 Mortgage Trust                                              | Benchmark 2025-V18 Mortgage Trust                                              | CUSIP: 08164EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1698524.85   | 0.09%             | 2030-10-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR8                                         | Citigroup Mortgage Loan Trust 2007-AR8                                         | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145005 | PA      | $982134.00    | 0.05%             | 2047-07-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3132DQGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14469809 | PA      | $14588226.72  | 0.82%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11832219 | PA      | $11855100.45  | 0.66%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GWT Commercial Mortgage Trust 2024-WLF2                                        | GWT Commercial Mortgage Trust 2024-WLF2                                        | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2507002.25   | 0.14%             | 2026-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  22393484 | PA      | $3244766.55   | 0.18%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust 2017-5                                         | LSTAR Commercial Mortgage Trust 2017-5                                         | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  29323376 | PA      | $129480.30    | 0.01%             | 2050-03-11      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-9                                              | Verus Securitization Trust 2024-9                                              | CUSIP: 92540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4044032.40   | 0.23%             | 2069-11-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-19CB                                               | Alternative Loan Trust 2006-19CB                                               | CUSIP: 02147QAR3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   4835700 | PA      | $2565444.98   | 0.14%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-5CB                                                | Alternative Loan Trust 2007-5CB                                                | CUSIP: 02150EAE3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-CBDO         | CORP              | US        |   2989202 | PA      | $294475.51    | 0.02%             | 2037-04-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  36326694 | PA      | $1597190.30   | 0.09%             | 2061-12-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V10 Mortgage Trust                                              | Benchmark 2024-V10 Mortgage Trust                                              | CUSIP: 08163UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2725535.60   | 0.15%             | 2029-09-17      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V9 Mortgage Trust                                               | Benchmark 2024-V9 Mortgage Trust                                               | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636000 | PA      | $2736074.42   | 0.15%             | 2029-08-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                                                | COMM 2013-CCRE12 Mortgage Trust                                                | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-CBDO         | CORP              | US        |   2173138 | PA      | $11482.21     | 0.00%             | 2046-10-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6811598 | PA      | $6277992.14   | 0.35%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DSSB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21808005 | PA      | $22747092.31  | 1.27%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  32884995 | PA      | $1789775.69   | 0.10%             | 2031-09-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137H8RE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24493314 | PA      | $21452696.85  | 1.20%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5676142 | PA      | $5142642.86   | 0.29%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QU6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3337209 | PA      | $3434866.05   | 0.19%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31422M2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  38395402 | PA      | $5556640.14   | 0.31%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $82500.00     | 0.00%             | 2031-07-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust 2011-4R                                          | Nomura Resecuritization Trust 2011-4R                                          | CUSIP: 65539CAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5124458 | PA      | $4460994.48   | 0.25%             | 2041-07-26      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                               | Aligned Data Centers Issuer, LLC                                               | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1513373.70   | 0.08%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  62149000 | PA      | $56236970.72  | 3.14%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140X8GW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18847292 | PA      | $16270315.22  | 0.91%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383GY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8687872 | PA      | $6842406.27   | 0.38%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                                                       | HalseyPoint CLO II, Ltd.                                                       | CUSIP: 40638TAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6010290.00   | 0.34%             | 2037-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.                                                             | Nassau 2018-I Ltd.                                                             | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | KY        |     43252 | PA      | $43253.55     | 0.00%             | 2031-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2023-4                                              | Verus Securitization Trust 2023-4                                              | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   2274674 | PA      | $2275798.49   | 0.13%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust 2025-2                           | Bridgecrest Lending Auto Securitization Trust 2025-2                           | CUSIP: 10807HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2021097.00   | 0.11%             | 2028-01-18      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CENT 2025-CITY                                                                 | CENT 2025-CITY                                                                 | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1703000 | PA      | $1720541.07   | 0.10%             | 2030-07-12      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                 | Alternative Loan Trust 2005-43                                                 | CUSIP: 12667GLC5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   1398565 | PA      | $1130410.31   | 0.06%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd.                                                            | CAL Funding IV Ltd.                                                            | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1651875 | PA      | $1583427.39   | 0.09%             | 2028-03-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  17138002 | PA      | $1088203.17   | 0.06%             | 2063-05-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL15 LLC                                                              | MF1 2024-FL15 LLC                                                              | CUSIP: 58003MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2504683.25   | 0.14%             | 2041-08-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007 S7 Trust                                                     | RFMSI Series 2007 S7 Trust                                                     | CUSIP: 76200RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904451 | PA      | $751146.00    | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                     | Sound Point CLO IV-R, Ltd.                                                     | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |    929025 | PA      | $929867.47    | 0.05%             | 2031-04-18      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| VEGAS Trust 2024-TI                                                            | VEGAS Trust 2024-TI                                                            | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937000 | PA      | $951817.34    | 0.05%             | 2027-11-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust 2006-4                                  | Banc of America Alternative Loan Trust 2006-4                                  | CUSIP: 05950AAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067108 | PA      | $1896312.15   | 0.11%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM 2016-DC2 Mortgage Trust                                                   | COMM 2016-DC2 Mortgage Trust                                                   | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1333102.75   | 0.07%             | 2026-02-12      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GC45                                         | GS Mortgage Securities Trust 2020-GC45                                         | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  45297631 | PA      | $904811.12    | 0.05%             | 2053-02-14      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381HMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  74944278 | PA      | $2673824.48   | 0.15%             | 2063-11-16      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381L5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  39512830 | PA      | $2747817.03   | 0.15%             | 2065-04-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                            | HSI Asset Securitization Corporation Trust 2007-NC1                            | CUSIP: 40430TAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8102101 | PA      | $5294361.14   | 0.30%             | 2037-04-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C33                            | JPMBB Commercial Mortgage Securities Trust 2015-C33                            | CUSIP: 46645JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224000 | PA      | $2146562.77   | 0.12%             | 2048-12-17      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK Mortgage Trust                                                  | MRCD 2019-PARK Mortgage Trust                                                  | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018000 | PA      | $629150.57    | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2020-1                                                 | Mosaic Solar Loan Trust 2020-1                                                 | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1190546 | PA      | $1055657.79   | 0.06%             | 2032-11-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                 | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651175 | PA      | $708658.59    | 0.04%             | 2037-04-25      | Floating      | 16.90%                | No            |                  2 | On Loan: No      |
| STWD 2021-FL2, Ltd.                                                            | STWD 2021-FL2, Ltd.                                                            | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2128411 | PA      | $2128524.18   | 0.12%             | 2038-04-16      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-LC20                                | Wells Fargo Commercial Mortgage Trust 2015-LC20                                | CUSIP: 94989EAL1<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |    560696 | PA      | $546508.20    | 0.03%             | 2050-04-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Rate Adjustable Mortgage Trust                                                 | Rate Adjustable Mortgage Trust                                                 | CUSIP: 007036KH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2588035 | PA      | $2226050.41   | 0.12%             | 2035-08-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-3T1                                                | Alternative Loan Trust 2007-3T1                                                | CUSIP: 02149VAF6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |  10894180 | PA      | $4861922.33   | 0.27%             | 2037-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2004292 | PA      | $1879111.12   | 0.11%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137B4HG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3032703 | PA      | $2999242.32   | 0.17%             | 2033-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   1526628 | PA      | $96500.17     | 0.01%             | 2035-02-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381LVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  49136509 | PA      | $3124870.66   | 0.17%             | 2065-10-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383DA99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  17260516 | PA      | $3277247.31   | 0.18%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                              | IndyMac MBS, Inc.                                                              | CUSIP: 45660LSU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6215501 | PA      | $3087950.19   | 0.17%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                        | Structured Asset Securities Corporation                                        | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4834107 | PA      | $2230015.72   | 0.12%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                          | Wells Fargo & Company                                                          | CUSIP: 95000HBM3<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1888345.40   | 0.11%             | 2026-09-17      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XLVIII Ltd                                                          | Apidos CLO XLVIII Ltd                                                          | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2006074.00   | 0.11%             | 2037-07-27      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                             | Credit Suisse Securities (USA) LLC                                             | CUSIP: 225470YH0<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   2235464 | PA      | $869214.30    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OC8                                                | Alternative Loan Trust 2006-OC8                                                | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2418115 | PA      | $2337352.13   | 0.13%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136A0R33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    639346 | PA      | $58270.88     | 0.00%             | 2041-09-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136B1VR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   4513884 | PA      | $339756.00    | 0.02%             | 2042-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   1741395 | PA      | $180956.02    | 0.01%             | 2054-01-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140J7XW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1771818 | PA      | $1709820.39   | 0.10%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  31265518 | PA      | $4473198.28   | 0.25%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-RPL1                                  | New Residential Mortgage Loan Trust 2020-RPL1                                  | CUSIP: 64828XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4724247.22   | 0.26%             | 2059-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006-QS5 Trust                                                     | RALI Series 2006-QS5 Trust                                                     | CUSIP: 75114TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1207191 | PA      | $1057449.18   | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Limited                                          | Shenton Aircraft Investment I Limited                                          | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-CBDO         | CORP              | KY        |   4645826 | PA      | $4514814.09   | 0.25%             | 2027-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer, LLC                                               | Vantage Data Centers Issuer, LLC                                               | CUSIP: 92212KAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2440000 | PA      | $2418137.60   | 0.14%             | 2055-11-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1                                                                   | AASET 2024-1                                                                   | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2292321 | PA      | $2346649.07   | 0.13%             | 2031-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C10                                                  | BBCMS Mortgage Trust 2021-C10                                                  | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20898015 | PA      | $1014322.76   | 0.06%             | 2054-07-17      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $140000.00    | 0.01%             | 2031-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC38                                         | GS Mortgage Securities Trust 2019-GC38                                         | CUSIP: 36252SAX5<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  36900560 | PA      | $1010890.85   | 0.06%             | 2052-02-12      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | CUSIP: 46630BAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19161450 | PA      | $9441467.28   | 0.53%             | 2036-12-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S5 Trust                                                     | RFMSI Series 2007-S5 Trust                                                     | CUSIP: 749580AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3686245 | PA      | $3064893.95   | 0.17%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFO Commercial Mortgage Trust 2021-555                                         | SFO Commercial Mortgage Trust 2021-555                                         | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330000 | PA      | $1323476.08   | 0.07%             | 2028-05-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-4                                  | Structured Asset Investment Loan Trust 2006-4                                  | CUSIP: 86360WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $7230321.30   | 0.40%             | 2036-07-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C4 Mortgage Trust                                                   | CFCRE 2016-C4 Mortgage Trust                                                   | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25977056 | PA      | $40752.81     | 0.00%             | 2058-05-10      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                                          | GS Mortgage Securities Trust 2017-GS7                                          | CUSIP: 36254CAX8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  30480675 | PA      | $317221.53    | 0.02%             | 2050-08-12      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Ixis Real Estate Capital Trust 2006-HE1                                        | Ixis Real Estate Capital Trust 2006-HE1                                        | CUSIP: 45071KDE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3804901 | PA      | $1870065.00   | 0.10%             | 2036-03-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-12                                     | Morgan Stanley Mortgage Loan Trust 2007-12                                     | CUSIP: 61755GBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081709 | PA      | $358134.68    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR3 Trust                                           | Progress Residential 2021-SFR3 Trust                                           | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8500000 | PA      | $8415060.35   | 0.47%             | 2026-05-19      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2006-18                                        | CHL Mortgage Pass-Through Trust 2006-18                                        | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882008 | PA      | $829330.29    | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137HNTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17971402 | PA      | $18029418.97  | 1.01%             | 2055-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Goodgreen 2020-1 Trust                                                         | Goodgreen 2020-1 Trust                                                         | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000777 | PA      | $1657640.35   | 0.09%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Marble Point Clo XXV Ltd                                                       | Marble Point Clo XXV Ltd                                                       | CUSIP: 565923BC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2002492.00   | 0.11%             | 2036-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                          | QTS Issuer ABS II LLC                                                          | CUSIP: 74690FAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3462210.85   | 0.19%             | 2055-10-05      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust | CUSIP: 93936HAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790523 | PA      | $788179.25    | 0.04%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-7                                                | Angel Oak Mortgage Trust 2025-7                                                | CUSIP: 03466TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2072051 | PA      | $2090953.76   | 0.12%             | 2029-06-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2023-NQM5                                      | BRAVO Residential Funding Trust 2023-NQM5                                      | CUSIP: 10569UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10362000 | PA      | $10413821.40  | 0.58%             | 2063-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3133BHLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6841632 | PA      | $6711925.93   | 0.38%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137FWTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7006976 | PA      | $3184824.70   | 0.18%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382LNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  12906071 | PA      | $1979864.82   | 0.11%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                              | Master Asset Securitization Trust                                              | CUSIP: 57643MMK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697881 | PA      | $986302.71    | 0.06%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 Trust                                                            | OBX 2023-NQM4 Trust                                                            | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2662441 | PA      | $2666043.12   | 0.15%             | 2063-03-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128M9VU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5816807 | PA      | $5365528.86   | 0.30%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                            | OCP CLO 2017-13 Ltd                                                            | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002441.00   | 0.06%             | 2037-11-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CBAM 2017-2 Ltd                                                                | CBAM 2017-2 Ltd                                                                | CUSIP: 12481KAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1500826.50   | 0.08%             | 2034-07-17      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132E0BJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6774438 | PA      | $7055571.52   | 0.39%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132JMEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2313654 | PA      | $2130751.76   | 0.12%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6573187 | PA      | $6230755.64   | 0.35%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10865336 | PA      | $9844105.52   | 0.55%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 36179RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074583 | PA      | $978546.29    | 0.05%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $82500.00     | 0.00%             | 2031-07-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382RCV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  46133024 | PA      | $1128275.36   | 0.06%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates, WaMu Series 200X-HEX Trust        | Washington Mutual Asset-Backed Certificates, WaMu Series 200X-HEX Trust        | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13212531 | PA      | $4129464.25   | 0.23%             | 2036-04-25      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| NJ 2025-WBRK Mortgage Trust                                                    | NJ 2025-WBRK Mortgage Trust                                                    | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1814000 | PA      | $1881402.44   | 0.11%             | 2030-03-07      | Fixed         | 5.87%                 | No            |                  3 | On Loan: No      |
| PR Mortgage Loan Trust                                                         | PR Mortgage Loan Trust                                                         | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3962330 | PA      | $3724965.71   | 0.21%             | 2047-09-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                               | RBSGC Mortgage Loan Trust 2007-B                                               | CUSIP: 74927XBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2206381 | PA      | $248042.72    | 0.01%             | 2037-01-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol II Issuer, LLC                                                     | Sunnova Sol II Issuer, LLC                                                     | CUSIP: 86745PAA1<br>LEI: 549300JK1Y1VVC3JU540 | Long             | ABS-CBDO         | CORP              | US        |   3222309 | PA      | $2759869.60   | 0.15%             | 2030-10-30      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                    | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875245 | PA      | $777721.94    | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                               | Aligned Data Centers Issuer, LLC                                               | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3930162.80   | 0.22%             | 2026-08-17      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1           | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1           | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6585092 | PA      | $6364122.25   | 0.36%             | 2036-02-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11728306 | PA      | $11292031.37  | 0.63%             | 2030-05-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                          | Home Partners of America 2018-1 Trust                                          | CUSIP: 437300AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    973487 | PA      | $889231.26    | 0.05%             | 2029-09-19      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S2 Trust                                                     | RFMSI Series 2007-S2 Trust                                                     | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451724 | PA      | $342284.04    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO 2017-1, Ltd.                                                      | Trestles CLO 2017-1, Ltd.                                                      | CUSIP: 89532WAN9<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2001386.00   | 0.11%             | 2038-11-01      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ABFC 2007-WMC1 Trust                                                           | ABFC 2007-WMC1 Trust                                                           | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3042303 | PA      | $2192833.70   | 0.12%             | 2037-06-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Bank5 2024-5YR10                                                               | Bank5 2024-5YR10                                                               | CUSIP: 06604AAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2747000 | PA      | $2826981.38   | 0.16%             | 2029-10-17      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                    | CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                    | CUSIP: 12566WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666236 | PA      | $625235.43    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136ALB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13789369 | PA      | $12694947.72  | 0.71%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140LLYQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6907000 | PA      | $7097187.70   | 0.40%             | 2031-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C2                    | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C2                    | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2479000 | PA      | $2540239.73   | 0.14%             | 2030-11-18      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL9, LLC                                                            | PRET 2024-NPL9, LLC                                                            | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6852164 | PA      | $6855612.21   | 0.38%             | 2027-12-25      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| SoFi Consumer Loan Program 2025-2 Trust                                        | SoFi Consumer Loan Program 2025-2 Trust                                        | CUSIP: 83407HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5054599.00   | 0.28%             | 2034-06-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIII                                                          | Sound Point CLO XXIII                                                          | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2002672.00   | 0.11%             | 2034-07-17      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2025-5C7                                 | Wells Fargo Commercial Mortgage Trust 2025-5C7                                 | CUSIP: 95004XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2463000 | PA      | $2532992.06   | 0.14%             | 2058-12-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO, Ltd.                                                       | Bayswater Park CLO, Ltd.                                                       | CUSIP: 072929AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.06%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO 2014-2 Ltd                                                    | BlueMountain CLO 2014-2 Ltd                                                    | CUSIP: 09626QBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3007248.00   | 0.17%             | 2030-10-21      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136AED46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    803456 | PA      | $777242.60    | 0.04%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140LLYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8267518 | PA      | $8653830.25   | 0.48%             | 2028-12-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381LVJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  47918887 | PA      | $3705970.08   | 0.21%             | 2065-12-16      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382KG56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  32469125 | PA      | $4616210.20   | 0.26%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                          | Treasury, United States Department of                                          | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6710000 | PA      | $7431254.84   | 0.42%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  10380532 | PA      | $565838.65    | 0.03%             | 2063-04-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Visio 2021-1R Trust                                                            | Visio 2021-1R Trust                                                            | CUSIP: 92837UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6161000 | PA      | $5476810.48   | 0.31%             | 2056-05-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7916788 | PA      | $7264084.57   | 0.41%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137HHG70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16242658 | PA      | $16324781.13  | 0.91%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11024551 | PA      | $10210008.24  | 0.57%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383CFY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17553874 | PA      | $11255986.62  | 0.63%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust 2006-AR1                             | First Horizon Mortgage Pass-Through Trust 2006-AR1                             | CUSIP: 32051G2W4<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   2459134 | PA      | $894766.39    | 0.05%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                     | CD 2017-CD6 Mortgage Trust                                                     | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $228370.74    | 0.01%             | 2027-11-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CLI Funding IX LLC                                                             | CLI Funding IX LLC                                                             | CUSIP: 12571WAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1899167 | PA      | $1915118.74   | 0.11%             | 2037-06-22      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO 2017-2, Ltd.                                                    | Carlyle US CLO 2017-2, Ltd.                                                    | CUSIP: 14315JBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2506387.50   | 0.14%             | 2037-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Carval CLO X-C Ltd.                                                            | Carval CLO X-C Ltd.                                                            | CUSIP: 146918AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4008400.00   | 0.22%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1969983 | PA      | $1802636.23   | 0.10%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2478403 | PA      | $2245458.39   | 0.13%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36000 | PA      | $19640.16     | 0.00%             | 2042-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137BF4T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2316520 | PA      | $2224460.84   | 0.12%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140HYAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9882213 | PA      | $9077926.64   | 0.51%             | 2030-05-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6300000 | PA      | $5289587.10   | 0.30%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QVEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9476520 | PA      | $9741986.96   | 0.54%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1486357 | PA      | $1391866.57   | 0.08%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 1345 Trust 2025-AOA                                                            | 1345 Trust 2025-AOA                                                            | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260000 | PA      | $1263930.44   | 0.07%             | 2027-06-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-Nc3                        | Securitized Asset Backed Receivables LLC Trust 2006-Nc3                        | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15228328 | PA      | $4871275.60   | 0.27%             | 2036-09-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2025-FL1, LLC                        | Arbor Realty Commercial Real Estate Notes 2025-FL1, LLC                        | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2496965.25   | 0.14%             | 2029-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C9                                                   | BBCMS Mortgage Trust 2021-C9                                                   | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  33937586 | PA      | $2016472.96   | 0.11%             | 2054-02-18      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                            | Merrill Lynch Mortgage Capital Inc.                                            | CUSIP: 59020VAS2<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-CBDO         | CORP              | US        |  27055010 | PA      | $9142818.50   | 0.51%             | 2037-03-25      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9735 | PA      | $9716.08      | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM3 Trust                                                            | MFA 2023-NQM3 Trust                                                            | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8898976 | PA      | $8960819.94   | 0.50%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QVLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9754824 | PA      | $10061619.38  | 0.56%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-8XS                                    | Morgan Stanley Mortgage Loan Trust 2007-8XS                                    | CUSIP: 61754PAA2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |    897333 | PA      | $468420.09    | 0.03%             | 2037-04-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                 | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4993672 | PA      | $1884663.66   | 0.11%             | 2037-04-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2006-OA1                                               | GSR Mortgage Loan Trust 2006-OA1                                               | CUSIP: 362631AF0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |  12564100 | PA      | $1907222.80   | 0.11%             | 2046-08-25      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2020-COR7                           | JPMDB Commercial Mortgage Securities Trust 2020-COR7                           | CUSIP: 46652JAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  34223308 | PA      | $1545514.31   | 0.09%             | 2053-05-15      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty 2021-FL1 Issuer, Ltd.                                  | ACRES Commercial Realty 2021-FL1 Issuer, Ltd.                                  | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177796 | PA      | $177657.58    | 0.01%             | 2036-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140HWQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16158713 | PA      | $15247472.97  | 0.85%             | 2029-11-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                    | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849911 | PA      | $732724.66    | 0.04%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529590 | PA      | $1231840.65   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AREIT 2024-CRE9 Ltd                                                            | AREIT 2024-CRE9 Ltd                                                            | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    394477 | PA      | $394477.42    | 0.02%             | 2029-01-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DNAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9091906 | PA      | $8143599.45   | 0.46%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 35564K2G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3092244.00   | 0.17%             | 2043-06-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                         | GS Mortgage Securities Trust 2015-GC34                                         | CUSIP: 36250VAJ1<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    782000 | PA      | $599049.15    | 0.03%             | 2048-10-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2025-SFR2 Trust                                             | Tricon Residential 2025-SFR2 Trust                                             | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3343609 | PA      | $3392967.49   | 0.19%             | 2044-07-31      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Allegro CLO V-S Ltd                                                            | Allegro CLO V-S Ltd                                                            | CUSIP: 01750RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3008961.00   | 0.17%             | 2037-07-24      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B19 Mortgage Trust                                              | Benchmark 2020-B19 Mortgage Trust                                              | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  30996790 | PA      | $1391352.93   | 0.08%             | 2053-09-17      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137A4T98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   3708745 | PA      | $354736.61    | 0.02%             | 2040-12-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137BXHY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8228440 | PA      | $7197751.37   | 0.40%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3083009 | PA      | $2887979.63   | 0.16%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  52094163 | PA      | $3051644.79   | 0.17%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C12                                                  | BBCMS Mortgage Trust 2021-C12                                                  | CUSIP: 05552XBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12077879 | PA      | $442596.29    | 0.02%             | 2054-11-18      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  63814731 | PA      | $3160067.19   | 0.18%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383MQQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  10266227 | PA      | $232676.85    | 0.01%             | 2050-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                         | Morgan Stanley Capital I Trust 2019-L3                                         | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3847000 | PA      | $3649386.15   | 0.20%             | 2029-11-16      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                    | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                    | CUSIP: 61766NBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13424543 | PA      | $66569.62     | 0.00%             | 2049-09-17      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 Trust                                                            | OBX 2023-NQM3 Trust                                                            | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3020092 | PA      | $3020037.70   | 0.17%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd                                                         | Sound Point CLO IX Ltd                                                         | CUSIP: 83609GBQ7<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $850535.50    | 0.05%             | 2032-07-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382CS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   8229437 | PA      | $1688916.70   | 0.09%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 2025-FL17 LLC                                                              | MF1 2025-FL17 LLC                                                              | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2704920.65   | 0.15%             | 2040-02-21      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust                                                  | ARDN 2025-ARCP Mortgage Trust                                                  | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1269998.22   | 0.07%             | 2027-06-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C11                                                  | BBCMS Mortgage Trust 2021-C11                                                  | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  41346743 | PA      | $2080051.28   | 0.12%             | 2054-09-17      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XXIII Ltd.                                                       | Battalion CLO XXIII Ltd.                                                       | CUSIP: 07135LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003976.00   | 0.06%             | 2037-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                    | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8755672 | PA      | $7655474.06   | 0.43%             | 2047-09-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust, Series 2007-FF2                            | First Franklin Mortgage Loan Trust, Series 2007-FF2                            | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4723391 | PA      | $2531019.95   | 0.14%             | 2037-03-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383FRS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  24465172 | PA      | $4388251.88   | 0.25%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6, LLC.                                                              | PRPM 2024-6, LLC.                                                              | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8764256 | PA      | $8768089.60   | 0.49%             | 2027-11-25      | Fixed         | 5.70%                 | No            |                  3 | On Loan: No      |
| Wells Fargo & Company                                                          | Wells Fargo & Company                                                          | CUSIP: 95000LBC6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-CBDO         | CORP              | US        |   4419407 | PA      | $2652.97      | 0.00%             | 2059-03-17      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2025-5C37                                                 | BBCMS Mortgage Trust 2025-5C37                                                 | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512000 | PA      | $2568244.18   | 0.14%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                                                        | Bridge Street CLO I Ltd                                                        | CUSIP: 10805YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10026230.00  | 0.56%             | 2037-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1           | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1           | CUSIP: 251510MH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2562209 | PA      | $2375925.18   | 0.13%             | 2036-02-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382M3T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  42741530 | PA      | $6168342.16   | 0.34%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382RPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  14722771 | PA      | $100662.53    | 0.01%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                                 | Upgrade Master Pass-Thru Trust                                                 | CUSIP: 91533KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    702983 | PA      | $707833.30    | 0.04%             | 2029-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C56                                 | Wells Fargo Commercial Mortgage Trust 2020-C56                                 | CUSIP: 95002RBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  47602096 | PA      | $1956369.97   | 0.11%             | 2053-06-17      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO 3 Ltd                                                      | Warwick Capital CLO 3 Ltd                                                      | CUSIP: 93655PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1003415.00   | 0.06%             | 2037-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust 2015-SBC5                                  | Waterfall Commercial Mortgage Trust 2015-SBC5                                  | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165247 | PA      | $165273.50    | 0.01%             | 2026-01-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XLIII Ltd                                                           | Apidos CLO XLIII Ltd                                                           | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000501.00   | 0.06%             | 2038-10-21      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BDS 2024-FL13 LLC                                                              | BDS 2024-FL13 LLC                                                              | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | PA      | $2606498.18   | 0.15%             | 2029-06-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2025-5C38                                                 | BBCMS Mortgage Trust 2025-5C38                                                 | CUSIP: 05556RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2469000 | PA      | $2538481.61   | 0.14%             | 2030-10-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Global SC Finance VI SRL                                                       | Global SC Finance VI SRL                                                       | CUSIP: 37959PAA5<br>LEI: 549300NP8065N4YHMG91 | Long             | ABS-CBDO         | CORP              | US        |    839786 | PA      | $806531.44    | 0.05%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO 2023-3 Ltd                                                      | Carlyle US CLO 2023-3 Ltd                                                      | CUSIP: 14318FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $999125.00    | 0.06%             | 2038-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2391718 | PA      | $2181258.30   | 0.12%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136BTN33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  36109093 | PA      | $5793133.48   | 0.32%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381DUB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  76495450 | PA      | $5067961.26   | 0.28%             | 2063-06-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd.                                      | Halcyon Loan Advisors Funding 2013-2 Ltd.                                      | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |     53691 | PA      | $53691.20     | 0.00%             | 2026-08-01      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                        | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                        | CUSIP: 590212AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16015568 | PA      | $4030658.72   | 0.23%             | 2037-06-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO 2016-1, Ltd.                                                  | Steele Creek CLO 2016-1, Ltd.                                                  | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | KY        |     77699 | PA      | $77731.47     | 0.00%             | 2031-06-16      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2025-CRE10 LTD                                                           | AREIT 2025-CRE10 LTD                                                           | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2710000 | PA      | $2707461.54   | 0.15%             | 2038-07-19      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| BFLD Trust 2025-EWEST                                                          | BFLD Trust 2025-EWEST                                                          | CUSIP: 05494JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1270002.29   | 0.07%             | 2027-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                             | BX Trust 2019-OC11                                                             | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $1716075.62   | 0.10%             | 2029-12-11      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-XL2                                          | BX Commercial Mortgage Trust 2021-XL2                                          | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682506 | PA      | $679093.25    | 0.04%             | 2038-10-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B29 Mortgage Trust                                              | Benchmark 2021-B29 Mortgage Trust                                              | CUSIP: 08163JAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38734000 | PA      | $1303817.43   | 0.07%             | 2054-09-17      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31422M2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  15708908 | PA      | $2904344.57   | 0.16%             | 2052-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2018-GS9                                          | GS Mortgage Securities Trust 2018-GS9                                          | CUSIP: 36255NAZ8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1831003.00   | 0.10%             | 2028-03-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2020-2PAC                         | Natixis Commercial Mortgage Securities Trust 2020-2PAC                         | CUSIP: 63875DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3938909.36   | 0.22%             | 2038-12-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                               | RBSGC Mortgage Loan Trust 2007-B                                               | CUSIP: 74927XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2206381 | PA      | $1170053.74   | 0.07%             | 2036-12-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2025-4 Trust                                        | SoFi Consumer Loan Program 2025-4 Trust                                        | CUSIP: 83405UAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3300000 | PA      | $3311335.50   | 0.19%             | 2035-08-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2007-7 Trust                            | Wells Fargo Mortgage Backed Securities 2007-7 Trust                            | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455771 | PA      | $422409.65    | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-RC1                                 | Wells Fargo Commercial Mortgage Trust 2017-RC1                                 | CUSIP: 95001FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14471422 | PA      | $158997.51    | 0.01%             | 2060-01-16      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132DPTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2380537 | PA      | $2450199.31   | 0.14%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132M3YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1186331 | PA      | $1156769.27   | 0.06%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38381HKJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  28264698 | PA      | $1415227.58   | 0.08%             | 2064-06-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Magnetite XL, Limited                                                          | Magnetite XL, Limited                                                          | CUSIP: 55955RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2004686.00   | 0.11%             | 2037-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MP CLO VIII Ltd                                                                | MP CLO VIII Ltd                                                                | CUSIP: 62481WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1501020.00   | 0.08%             | 2034-04-28      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                  | CSMC 2021-B33                                                                  | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831380 | PA      | $782346.42    | 0.04%             | 2031-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382QS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   8059778 | PA      | $1354307.88   | 0.08%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2025-NQM5                                  | New Residential Mortgage Loan Trust 2025-NQM5                                  | CUSIP: 64832GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806455 | PA      | $808294.12    | 0.05%             | 2065-08-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2021-4                                            | Upstart Securitization Trust 2021-4                                            | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    807662 | PA      | $805527.74    | 0.05%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer LLC                                                           | Bojangles Issuer LLC                                                           | CUSIP: 09748RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1995000 | PA      | $2016176.33   | 0.11%             | 2029-11-20      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 Mortgage Trust                                                   | COMM 2015-DC1 Mortgage Trust                                                   | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1874807 | PA      | $1726.70      | 0.00%             | 2048-02-12      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2021-JL1                                         | Citigroup Mortgage Loan Trust 2021-JL1                                         | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    535429 | PA      | $518093.26    | 0.03%             | 2062-02-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3133KPT65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11000090 | PA      | $10501745.66  | 0.59%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    646641 | PA      | $609776.53    | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2016-JP2                            | JPMCC Commercial Mortgage Securities Trust 2016-JP2                            | CUSIP: 46590MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5081000 | PA      | $4742229.91   | 0.27%             | 2026-07-17      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                | CUSIP: 466317AA2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |   2536042 | PA      | $2504912.71   | 0.14%             | 2037-04-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 Ltd.                                                              | MF1 2021-FL7 Ltd.                                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    646283 | PA      | $645893.28    | 0.04%             | 2036-10-21      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust 2025-11MD                                        | MAD Commercial Mortgage Trust 2025-11MD                                        | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1261361.88   | 0.07%             | 2030-10-18      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2025-NQM5                                  | New Residential Mortgage Loan Trust 2025-NQM5                                  | CUSIP: 64832GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1151231.88   | 0.06%             | 2065-08-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios III Issuer, LLC                                                 | Sunnova Helios III Issuer, LLC                                                 | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1404786 | PA      | $1312745.04   | 0.07%             | 2029-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DOLP Trust 2021-NYC                                                            | DOLP Trust 2021-NYC                                                            | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $471871.35    | 0.03%             | 2031-05-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136A7XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8334122 | PA      | $7682250.76   | 0.43%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                   | GS Mortgage Securities Corp.                                                   | CUSIP: 362334QE7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |   3538038 | PA      | $1247838.29   | 0.07%             | 2046-03-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38382WPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  16435980 | PA      | $2314292.79   | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                           | Progress Residential 2021-SFR8 Trust                                           | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $4997740.41   | 0.28%             | 2026-10-19      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006-QS4 Trust                                                     | RALI Series 2006-QS4 Trust                                                     | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1217453 | PA      | $995378.84    | 0.06%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V6 Mortgage Trust                                               | Benchmark 2024-V6 Mortgage Trust                                               | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2477000 | PA      | $2585803.46   | 0.14%             | 2029-03-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| COLT 2023-2 Mortgage Loan Trust                                                | COLT 2023-2 Mortgage Loan Trust                                                | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |   2645307 | PA      | $2660779.96   | 0.15%             | 2068-07-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136AEUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207464 | PA      | $196482.90    | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                            | HSI Asset Securitization Corporation Trust 2007-NC1                            | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1721575 | PA      | $1118563.17   | 0.06%             | 2037-04-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| ROCK Trust 2024-CNTR                                                           | ROCK Trust 2024-CNTR                                                           | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1376000 | PA      | $1410730.93   | 0.08%             | 2041-11-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust 2021-OVA                                                      | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAL9<br>LEI: 549300Z8X84XIDB6JE13 | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $1858401.17   | 0.10%             | 2031-07-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 Trust                                                            | OBX 2022-NQM7 Trust                                                            | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3139892 | PA      | $3136409.37   | 0.18%             | 2062-08-25      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C31                                 | Wells Fargo Commercial Mortgage Trust 2015-C31                                 | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    639829 | PA      | $628444.78    | 0.04%             | 2048-11-18      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2017-C1                                          | UBS Commercial Mortgage Trust 2017-C1                                          | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12526185 | PA      | $175911.48    | 0.01%             | 2050-06-17      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C7 Mortgage Trust                                                    | BMO 2024-5C7 Mortgage Trust                                                    | CUSIP: 09660WAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1834000 | PA      | $1884430.23   | 0.11%             | 2057-11-19      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-15CB                                               | Alternative Loan Trust 2006-15CB                                               | CUSIP: 02147RAG5<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |    871247 | PA      | $866655.60    | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CBAM 2017-1 Ltd                                                                | CBAM 2017-1 Ltd                                                                | CUSIP: 14987LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3010614.00   | 0.17%             | 2038-01-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140NYBS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13449590 | PA      | $13657914.73  | 0.76%             | 2030-05-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QTUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7956314 | PA      | $8094658.75   | 0.45%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC24                                         | GS Mortgage Securities Trust 2014-GC24                                         | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2433133 | PA      | $689.79       | 0.00%             | 2047-09-12      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                                    | HOMES Trust                                                                    | CUSIP: 43761KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200116 | PA      | $3207336.36   | 0.18%             | 2068-02-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                                | PRPM 2024-7 LLC                                                                | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937474 | PA      | $1938532.39   | 0.11%             | 2027-11-25      | Fixed         | 5.87%                 | No            |                  3 | On Loan: No      |
| COMM 2016-DC2 Mortgage Trust                                                   | COMM 2016-DC2 Mortgage Trust                                                   | CUSIP: 12594CBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3219061 | PA      | $198.29       | 0.00%             | 2049-02-12      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132JNU21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    763029 | PA      | $746534.30    | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140XN2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14391019 | PA      | $14997227.75  | 0.84%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38384TDX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        | 100340036 | PA      | $7308738.09   | 0.41%             | 2067-09-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| NBC Funding LLC                                                                | NBC Funding LLC                                                                | CUSIP: 62878YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1488750 | PA      | $1523362.84   | 0.09%             | 2031-07-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                               | Aligned Data Centers Issuer, LLC                                               | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4908237.00   | 0.27%             | 2026-08-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO 2022-6, Limited                                        | Bain Capital Credit CLO 2022-6, Limited                                        | CUSIP: 05685LAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1502259.00   | 0.08%             | 2038-01-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1447286 | PA      | $1311255.66   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance III Limited                                           | Horizon Aircraft Finance III Limited                                           | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2343750 | PA      | $2350781.25   | 0.13%             | 2031-09-15      | Fixed         | 5.38%                 | No            |                  3 | On Loan: No      |
| Sound Point Clo XXI Ltd                                                        | Sound Point Clo XXI Ltd                                                        | CUSIP: 83613HAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1232100 | PA      | $1232188.99   | 0.07%             | 2031-10-27      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust        | Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust        | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50003 | PA      | $17333.75     | 0.00%             | 2036-10-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2025-7                                                | Angel Oak Mortgage Trust 2025-7                                                | CUSIP: 03466TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3859146.62   | 0.22%             | 2029-06-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                  | CSMC 2021-B33                                                                  | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130000 | PA      | $1902522.18   | 0.11%             | 2031-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO IV Ltd                                                       | Bridge Street CLO IV Ltd                                                       | CUSIP: 107934AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1001836.00   | 0.06%             | 2037-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4126196 | PA      | $3774218.90   | 0.21%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18003690 | PA      | $18032878.95  | 1.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11028960 | PA      | $10830209.13  | 0.61%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INCREF 2025-FL1 LLC                                                            | INCREF 2025-FL1 LLC                                                            | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2530000 | PA      | $2534743.24   | 0.14%             | 2042-10-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4   | Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4   | CUSIP: 65535VSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332479 | PA      | $212291.79    | 0.01%             | 2036-02-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO 38, Ltd.                                                       | Sound Point CLO 38, Ltd.                                                       | CUSIP: 835937AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1501482.00   | 0.08%             | 2037-02-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS3                                          | GS Mortgage Securities Trust 2016-GS3                                          | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21135532 | PA      | $52555.61     | 0.00%             | 2049-10-13      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383L7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  24317281 | PA      | $3177570.71   | 0.18%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | CUSIP: 46629VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3706822 | PA      | $3499566.83   | 0.20%             | 2036-11-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust 2024-1                                          | Tesla Sustainable Energy Trust 2024-1                                          | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2450000 | PA      | $2466471.84   | 0.14%             | 2031-12-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3132L6CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    936931 | PA      | $914574.30    | 0.05%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    689574 | PA      | $625622.89    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3138YJJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2472958 | PA      | $2384404.36   | 0.13%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38383V3J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  35143788 | PA      | $4962970.57   | 0.28%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                         | Morgan Stanley Capital I Trust 2019-L3                                         | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  65319417 | PA      | $1345077.03   | 0.08%             | 2052-11-18      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust 2025-C                                            | Navient Refinance Loan Trust 2025-C                                            | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2908736 | PA      | $2908432.47   | 0.16%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA5 Trust                                    | Wells Fargo Alternative Loan 2007-PA5 Trust                                    | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312192 | PA      | $261096.79    | 0.01%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Benchmark 2025-V17 Mortgage Trust                                              | Benchmark 2025-V17 Mortgage Trust                                              | CUSIP: 081934AR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2505000 | PA      | $2565787.08   | 0.14%             | 2030-08-16      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 Trust                                                           | CSMC 2021-RPL3 Trust                                                           | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6792918 | PA      | $6046296.84   | 0.34%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3142GT2Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11687463 | PA      | $12183439.47  | 0.68%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27968336 | PA      | $24142612.01  | 1.35%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                               | JNL Government Money Market Fund                                               | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  39268742 | NS      | $39268741.78  | 2.20%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                | CUSIP: 46629VAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1433305 | PA      | $1354598.40   | 0.08%             | 2036-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2007-R5                                  | MASTR Adjustable Rate Mortgages Trust 2007-R5                                  | CUSIP: 57645WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8114439 | PA      | $3623741.38   | 0.20%             | 2035-11-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust, 2007-A                                              | RBSGC Mortgage Loan Trust, 2007-A                                              | CUSIP: 74927WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2143039 | PA      | $2017984.98   | 0.11%             | 2037-01-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                                         | Switch ABS Issuer, LLC                                                         | CUSIP: 871044AY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $748146.90    | 0.04%             | 2030-10-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14581063 | PA      | $13046555.08  | 0.73%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                                 | Wells Fargo Commercial Mortgage Trust 2017-C39                                 | CUSIP: 95000XAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  63389547 | PA      | $872804.33    | 0.05%             | 2050-09-16      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust 2018-CBM                                                           | BBCMS Trust 2018-CBM                                                           | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599000 | PA      | $1565528.93   | 0.09%             | 2037-07-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137HNNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18033177 | PA      | $18093604.71  | 1.01%             | 2055-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2024-NSTB                                       | Morgan Stanley Capital I Trust 2024-NSTB                                       | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2451689 | PA      | $2442253.59   | 0.14%             | 2032-07-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                              | BPR Trust 2021-TY                                                              | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1698936.14   | 0.09%             | 2038-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I LLC                                     | Bear Stearns Asset Backed Securities I LLC                                     | CUSIP: 07387UGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118736 | PA      | $117981.79    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-SPT1 Trust                                                           | CSMC 2020-SPT1 Trust                                                           | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6867868.00   | 0.38%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2021-FL2 Issuer, Ltd.                                                | FS Rialto 2021-FL2 Issuer, Ltd.                                                | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1107303 | PA      | $1107546.16   | 0.06%             | 2038-05-18      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137H3SR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  16570402 | PA      | $2571945.17   | 0.14%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2006-16AX                                   | Morgan Stanley Mortgage Loan Trust 2006-16AX                                   | CUSIP: 61749KAE3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |  16791460 | PA      | $5966660.73   | 0.33%             | 2036-07-25      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| ELP Commercial Mortgage Trust 2025-ELP                                         | ELP Commercial Mortgage Trust 2025-ELP                                         | CUSIP: 290154AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1198260.96   | 0.07%             | 2030-11-15      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137AXTB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3198018 | PA      | $2354894.78   | 0.13%             | 2043-01-15      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| Pret 2025-NPL7 LLC                                                             | Pret 2025-NPL7 LLC                                                             | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4789225 | PA      | $4800056.86   | 0.27%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                         | Taco Bell Funding, LLC                                                         | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3930000 | PA      | $3451799.17   | 0.19%             | 2031-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9625284 | PA      | $7902538.13   | 0.44%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5, LLC                                                               | PRPM 2025-5, LLC                                                               | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6915424 | PA      | $6909516.23   | 0.39%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                               | Residential Accredit Loans, Inc.                                               | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3579798 | PA      | $2565484.11   | 0.14%             | 2036-01-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                                         | Switch ABS Issuer, LLC                                                         | CUSIP: 871044AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2202641.10   | 0.12%             | 2054-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2006-S2                                    | Chase Mortgage Finance Trust Series 2006-S2                                    | CUSIP: 16163BAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6298352 | PA      | $2195395.14   | 0.12%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2024-5C29                                                 | BBCMS Mortgage Trust 2024-5C29                                                 | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2629000 | PA      | $2701450.77   | 0.15%             | 2029-09-17      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2024-R04                                   | Connecticut Avenue Securities Trust 2024-R04                                   | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12975676 | PA      | $12988531.26  | 0.73%             | 2044-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: N/A<br>LEI: 549300M8ZYFG0OCMTT87       | Long             | ABS-MBS          | USGA              | US        |  15000000 | PA      | $14997880.50  | 0.84%             | 2055-12-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust 2016-4A                                                     | HERO Funding Trust 2016-4A                                                     | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1280188 | PA      | $1250507.56   | 0.07%             | 2037-09-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 Issuer, Ltd.                                                     | TRTX 2022-FL5 Issuer, Ltd.                                                     | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1687933 | PA      | $1687238.00   | 0.09%             | 2039-02-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bank5 2025-5YR13                                                               | Bank5 2025-5YR13                                                               | CUSIP: 06604CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1514000 | PA      | $1555448.48   | 0.09%             | 2030-11-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31398NRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222726 | PA      | $215234.46    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11463552 | PA      | $9777930.30   | 0.55%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2016-C2                             | JPMDB Commercial Mortgage Securities Trust 2016-C2                             | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12118266 | PA      | $38910.54     | 0.00%             | 2049-06-17      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Luminace Abs-2024 Issuer LLC                                                   | Luminace Abs-2024 Issuer LLC                                                   | CUSIP: 55026NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1157222 | PA      | $1173350.18   | 0.07%             | 2031-10-30      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B27 Mortgage Trust                                              | Benchmark 2021-B27 Mortgage Trust                                              | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19626613 | PA      | $920821.81    | 0.05%             | 2054-07-17      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                       | Government National Mortgage Association                                       | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  53419720 | PA      | $3876263.07   | 0.22%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                          | Home Partners of America 2018-1 Trust                                          | CUSIP: 437300AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1121183 | PA      | $1034773.49   | 0.06%             | 2029-09-19      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2019-COR6                           | JPMDB Commercial Mortgage Securities Trust 2019-COR6                           | CUSIP: 48129RAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3902525.78   | 0.22%             | 2029-11-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C55                                 | Wells Fargo Commercial Mortgage Trust 2020-C55                                 | CUSIP: 95002EBF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  55762694 | PA      | $2440024.92   | 0.14%             | 2053-02-18      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                    | Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                    | CUSIP: 17309VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908202 | PA      | $809904.61    | 0.05%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                          | FMC GMSR Issuer Trust                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $10137696.45  | 0.57%             | 2026-07-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3136BDXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  11996089 | PA      | $2259469.38   | 0.13%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140QPZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8272185 | PA      | $8422604.31   | 0.47%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14202780 | PA      | $13264375.05  | 0.74%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                          | Treasury, United States Department of                                          | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4280000 | PA      | $5630663.34   | 0.31%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO 2024-6 Ltd                                             | Bain Capital Credit CLO 2024-6 Ltd                                             | CUSIP: 05685XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5012200.00   | 0.28%             | 2038-01-21      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Carval CLO IX-C Ltd.                                                           | Carval CLO IX-C Ltd.                                                           | CUSIP: 14688HAA0<br>LEI: 2549009HBUYMF23IOB57 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002275.00   | 0.06%             | 2037-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Empower CLO 2024-1 Ltd                                                         | Empower CLO 2024-1 Ltd                                                         | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5012445.00   | 0.28%             | 2037-04-27      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                          | FMC GMSR Issuer Trust                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11300000 | PA      | $10936210.06  | 0.61%             | 2026-10-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140X7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25994850 | PA      | $22245630.66  | 1.24%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 31424UPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  18199857 | PA      | $4647550.09   | 0.26%             | 2052-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856571 | PA      | $689831.00    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B7 Mortgage Trust                                               | Benchmark 2018-B7 Mortgage Trust                                               | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  83505094 | PA      | $737366.68    | 0.04%             | 2053-05-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 3137AX2D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6696651 | PA      | $5828013.49   | 0.33%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                    | Federal National Mortgage Association, Inc.                                    | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7966847 | PA      | $6540930.02   | 0.37%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                         | Federal Home Loan Mortgage Corporation                                         | CUSIP: 35564NFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8450000 | PA      | $8458442.40   | 0.47%             | 2044-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                         | GS Mortgage Securities Trust 2015-GC34                                         | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-CBDO         | CORP              | US        |   1817226 | PA      | $8998.36      | 0.00%             | 2048-10-13      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                     | GS Mortgage Securities Corp Trust 2018-TWR                                     | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $100000.00    | 0.01%             | 2031-07-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                | Ginnie Mae REMIC Trust 2020-095                                                | CUSIP: 38382GDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  23138448 | PA      | $3855205.60   | 0.22%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2021-1 Trust                                        | SoFi Consumer Loan Program 2021-1 Trust                                        | CUSIP: 83406GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150414 | PA      | $145183.18    | 0.01%             | 2030-05-25      | Variable      | 10.20%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust | CUSIP: 93935HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16453030 | PA      | $4394094.39   | 0.25%             | 2036-09-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer