# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-26-006015
**Filing Date:** 2026-3
**Character Count:** 233071
**Document Hash:** 505f52376a5d30d5c9f52ad09aa3d264
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-006015.hdr.sgml**: 20260323

**ACCESSION NUMBER**: 0002071691-26-006015

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260323

**DATE AS OF CHANGE**: 20260323

**PERIOD START**: 20261031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 26781976

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $2278377348.24

**Total Liabilities:** $831758131.12

**Net Assets:** $1446619217.12

**Delayed Delivery Securities:** $22221442.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3833.49438173 | **1-Year:** -83223.76535205 | **5-Year:** -203140.51477573 | **10-Year:** -189721.39710803 | **30-Year:** -57680.85911230

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

- **3-Month:** -3037.00127585 | **1-Year:** -48544.42065087 | **5-Year:** -87174.14284160 | **10-Year:** -69221.21996493 | **30-Year:** -9293.70567297

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246278 | 0.78%                | 0.57%                | 0.68%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $639465.84               | $3207129.94                                |
| Month 2  | $390890.84               | $-232632.19                                |
| Month 3  | $2330664.16              | $1830939.70                                |

**Designated Index Information**

- **Index Name:** 50% ICE BofA AA-BBB US ABS/50% ICE BofA AA-BBB US Fixed Rate CMBS

- **Index Identifier:** INTRNL-2732079061

### Schedule of Portfolio Investments

| Name                                           | Title                                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-4A, Class B                            | CUSIP: 57108UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $518506.62     | 0.04%             | 2033-12-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Hilton USA Trust                               | Hilton USA Trust, Series 2025-NVIL, Class A                                | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7400000 | PA      | $7422383.59    | 0.51%             | 2042-07-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                            | UPG HI Issuer Trust, Series 2025-2, Class B                                | CUSIP: 90321EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2665000 | PA      | $2669349.09    | 0.18%             | 2047-09-25      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                          | Taco Bell Funding LLC, Series 2021-1A, Class A2II                          | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1072890 | PA      | $996589.63     | 0.07%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class E                 | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1112403 | PA      | $1117833.69    | 0.08%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Flash Compute LLC                              | Flash Compute LLC                                                          | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4297000 | PA      | $4311579.72    | 0.30%             | 2030-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2021-1, Class C                                | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4447759.57    | 0.31%             | 2051-11-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2024-CES1, Class A1B                    | CUSIP: 46658CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3534462 | PA      | $3561590.43    | 0.25%             | 2054-06-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                       | Rain City Mortgage Trust, Series 2024-RTL1, Class A2                       | CUSIP: 75079KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560000 | PA      | $566129.98     | 0.04%             | 2029-09-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Alloya Auto Receivables Trust                  | Alloya Auto Receivables Trust, Series 2025-1A, Class B                     | CUSIP: 01986QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $908363.30     | 0.06%             | 2030-03-25      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BIO2, Class D                    | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4702000 | PA      | $4569672.87    | 0.32%             | 2041-08-13      | Variable      | 7.71%                 | Yes           |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                  | BLP Commercial Mortgage Trust, Series 2024-IND2, Class A                   | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6236454 | PA      | $6237073.92    | 0.43%             | 2041-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2            | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2677000 | PA      | $2688014.78    | 0.19%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF5, Class A3                                       | CUSIP: 69384AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2012856.80    | 0.14%             | 2055-10-25      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Orion CLO Ltd.                                 | Orion CLO Ltd., Series 2023-1A, Class A1R                                  | CUSIP: 68626CAJ3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |   12500000 | PA      | $12544891.25   | 0.87%             | 2038-10-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                    | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287277 | PA      | $281022.30     | 0.02%             | 2050-02-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2025-A, Class E            | CUSIP: 80290CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1501220.11    | 0.10%             | 2034-01-16      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2025-1A, Class C                                | CUSIP: 30227XAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2562922.34    | 0.18%             | 2054-07-25      | Fixed         | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class D         | CUSIP: 07336QAD4<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     785726 | PA      | $789971.12     | 0.05%             | 2031-12-26      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1        | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1571124 | PA      | $1563251.20    | 0.11%             | 2029-04-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| CENT                                           | CENT, Series 2025-CITY, Class A                                            | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12635000 | PA      | $12801689.25   | 0.88%             | 2040-07-10      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |    2695114 | PA      | $2622790.87    | 0.18%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC             | CyrusOne Data Centers Issuer I LLC, Series 2024-1A, Class A2               | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     735000 | PA      | $723879.38     | 0.05%             | 2049-03-22      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| SCG Trust                                      | SCG Trust, Series 2025-SNIP, Class D                                       | CUSIP: 78398JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3525156.06    | 0.24%             | 2042-09-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class C                     | CUSIP: 525935AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2585884.86    | 0.18%             | 2030-09-15      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B2            | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3172668.55    | 0.22%             | 2042-01-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5222208 | PA      | $5306245.91    | 0.37%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-1A, Class D                 | CUSIP: 36267FAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $426054.52     | 0.03%             | 2030-07-15      | Fixed         | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Corporate One Auto Receivables Trust           | Corporate One Auto Receivables Trust, Series 2026-1A, Class C              | CUSIP: 22004UAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1820000 | PA      | $1817518.10    | 0.13%             | 2031-04-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2025-1A, Class D                   | CUSIP: 97415CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3194000 | PA      | $3214802.04    | 0.22%             | 2033-09-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES11, Class A1A                          | CUSIP: 749423AA7<br>LEI: 254900BTBXWWIQBK4D47 | Long             | ABS-O            | CORP              | US        |    3576960 | PA      | $3585301.34    | 0.25%             | 2055-11-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1A                           | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    1081140 | PA      | $1081865.94    | 0.07%             | 2055-09-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M4                          | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     708570 | PA      | $750661.59     | 0.05%             | 2057-10-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B1                | CUSIP: 20469AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4530241.48    | 0.31%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-WPT, Class D                     | CUSIP: 05612JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1580000 | PA      | $1579991.67    | 0.11%             | 2034-03-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D            | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     233368 | PA      | $237010.10     | 0.02%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R05, Class 1B1            | CUSIP: 207942AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $333066.52     | 0.02%             | 2043-06-25      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -109 | NC      | $296834.90     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class D                  | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $700558.22     | 0.05%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust, Series 2025-LTV1, Class A1                  | CUSIP: 17332XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3959649 | PA      | $3974565.97    | 0.27%             | 2055-12-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                           | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |    2591069 | PA      | $2612941.49    | 0.18%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1B                           | CUSIP: 749421AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1458765 | PA      | $1471244.28    | 0.10%             | 2044-11-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G                 | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     277244 | PA      | $288494.53     | 0.02%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| CPC Asset Securitization III LLC               | CPC Asset Securitization III LLC, Series 2024-1A, Class D                  | CUSIP: 126203AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1014000.00    | 0.07%             | 2030-08-15      | Fixed         | 13.45%                | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC       | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class D          | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4972099.26    | 0.34%             | 2027-08-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK86                         | CUSIP: 05494BBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892604 | PA      | $1472247.76    | 0.10%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class C                                      | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     940946 | PA      | $964865.96     | 0.07%             | 2054-03-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF2, Class C                                      | CUSIP: 316918AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2229751 | PA      | $2224692.63    | 0.15%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class B                   | CUSIP: 62475WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2502993.37    | 0.17%             | 2039-03-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5825474 | PA      | $5767640.32    | 0.40%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Affirm Master Trust                            | Affirm Master Trust, Series 2025-2A, Class D                               | CUSIP: 00833BAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $7556896.59    | 0.52%             | 2033-07-15      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-CES1, Class A1B                                          | CUSIP: 26846VAB0<br>LEI: 254900CMJGXNT3R7H775 | Long             | ABS-O            | CORP              | US        |    2122874 | PA      | $2151089.37    | 0.15%             | 2060-01-25      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                    | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6374296 | PA      | $6386771.36    | 0.44%             | 2041-08-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class C           | CUSIP: 95003PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2521980.70    | 0.17%             | 2035-07-15      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $88831.25      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  136700000 | PA      | $118376048.50  | 8.18%             | 2056-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class E                                        | CUSIP: 74939RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7900000 | PA      | $7984432.50    | 0.55%             | 2034-07-25      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2941750 | PA      | $2974741.73    | 0.21%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                      | Auxilior Term Funding LLC, Series 2023-1A, Class E                         | CUSIP: 05335JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $205902.04     | 0.01%             | 2032-12-15      | Fixed         | 10.97%                | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class D          | CUSIP: 82653BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     466051 | PA      | $458407.10     | 0.03%             | 2041-08-20      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                 | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class C                   | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3027359.19    | 0.21%             | 2042-10-10      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| VERTICAL BRIDGE CC LLC                         | VERTICAL BRIDGE CC LLC, Series 2025-1A, Class C                            | CUSIP: 92535VAU6<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    3144000 | PA      | $3161160.27    | 0.22%             | 2055-08-16      | Fixed         | 7.45%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class A                                       | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12053651 | PA      | $12152197.80   | 0.84%             | 2040-06-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| IRV Trust                                      | IRV Trust, Series 2025-200P, Class C                                       | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4252924.80    | 0.29%             | 2047-03-14      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                      | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1395594 | PA      | $1408759.18    | 0.10%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 Emini Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -64 | NC      | $-48000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1A                           | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    1453059 | PA      | $1461076.95    | 0.10%             | 2055-08-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  210506500 | PA      | $215529185.09  | 14.90%            | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                               | WULF Compute LLC                                                           | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1858000 | PA      | $1937931.16    | 0.13%             | 2030-10-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    1389289 | PA      | $41945.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25576819 | PA      | $23649068.58   | 1.63%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM2, Class A1                             | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2584426 | PA      | $2616830.27    | 0.18%             | 2070-06-25      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M2                        | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |    5510949 | PA      | $5513529.75    | 0.38%             | 2045-05-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                      | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     197273 | PA      | $198339.84     | 0.01%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2026-1A, Class D                      | CUSIP: 83589DAE6<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |    5339000 | PA      | $5347550.94    | 0.37%             | 2033-06-20      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class C                                     | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $1804270.57    | 0.12%             | 2036-08-15      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| CALI Mortgage Trust                            | CALI Mortgage Trust, Series 2019-101C, Class B                             | CUSIP: 129890AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1615020.07    | 0.11%             | 2039-03-10      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 27 Ltd.      | GoldenTree Loan Management US CLO 27 Ltd., Series 2025-27A, Class AJ       | CUSIP: 38140AAE8<br>LEI: 254900H1TTX80VH1NW52 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5007507.50    | 0.35%             | 2039-01-20      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M2            | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     783000 | PA      | $821244.90     | 0.06%             | 2042-06-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust            | GS Mortgage Backed Securities Trust, Series 2025-CES2, Class A1            | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-O            | CORP              | US        |    1925969 | PA      | $1941067.53    | 0.13%             | 2055-09-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1086812 | PA      | $1063838.38    | 0.07%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class B2                        | CUSIP: 35564KSQ3<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    4825000 | PA      | $5157095.62    | 0.36%             | 2042-02-25      | Floating      | 12.20%                | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2021-2, Class G                             | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18137 | PA      | $18176.77      | 0.00%             | 2028-12-26      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    6288000 | PA      | $6466753.10    | 0.45%             | 2041-09-25      | Floating      | 9.95%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4722485 | PA      | $4728226.60    | 0.33%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class E736                         | CUSIP: 05494BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405067 | PA      | $2216240.38    | 0.15%             | 2052-09-27      | Variable      | 0.86%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2024-A, Class E                        | CUSIP: 78437PAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1041757.97    | 0.07%             | 2032-04-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2025-1A, Class C            | CUSIP: 38411WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1502245.95    | 0.10%             | 2028-08-15      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| TVC Mortgage Trust                             | TVC Mortgage Trust, Series 2026-RRTL1, Class M1                            | CUSIP: 87306XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999988.10     | 0.07%             | 2040-04-25      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class B                                      | CUSIP: 31684NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2411567 | PA      | $2410820.30    | 0.17%             | 2055-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2025-1A, Class B                               | CUSIP: 53161AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3111567.96    | 0.22%             | 2039-08-15      | Fixed         | 8.05%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class B          | CUSIP: 67118NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1515658.35    | 0.10%             | 2031-06-17      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class C                | CUSIP: 89617CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11502000 | PA      | $2835660.75    | 0.20%             | 2029-10-15      | Fixed         | 5.72%                 | Yes           |                  3 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class F                   | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1002431.19    | 0.07%             | 2039-03-15      | Floating      | 8.98%                 | Yes           |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust     | Exeter Select Automobile Receivables Trust, Series 2025-2, Class D         | CUSIP: 30185EAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2214758.30    | 0.15%             | 2032-01-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $102893.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class E                                         | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3080000 | PA      | $2958947.38    | 0.20%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                    | Ally Auto Receivables Trust, Series 2024-1, Class D                        | CUSIP: 02008FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $509246.71     | 0.04%             | 2032-02-16      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                          | DB Master Finance LLC, Series 2021-1A, Class A2I                           | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     796800 | PA      | $783120.98     | 0.05%             | 2051-11-20      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                           | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3130000 | PA      | $3137838.46    | 0.22%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $160706.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1498810.95    | 0.10%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust     | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A         | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     189250 | PA      | $190698.22     | 0.01%             | 2048-04-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A3             | CUSIP: 26846MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     852000 | PA      | $854575.77     | 0.06%             | 2060-12-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2            | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3108409 | PA      | $3224830.61    | 0.22%             | 2041-12-25      | Floating      | 9.70%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                        | CarMax Auto Owner Trust, Series 2024-1, Class D                            | CUSIP: 14318WAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1620000 | PA      | $1655039.10    | 0.11%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2            | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467637 | PA      | $469726.52     | 0.03%             | 2041-10-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                  | NYC Commercial Mortgage Trust, Series 2025-1155, Class D                   | CUSIP: 67122BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5158589.24    | 0.36%             | 2042-06-10      | Variable      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust, Series 2025-1A, Class C                      | CUSIP: 43283CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2942167 | PA      | $2982871.39    | 0.21%             | 2042-05-27      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-ROIC, Class E                                        | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2738625 | PA      | $2728514.54    | 0.19%             | 2030-03-15      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | 3 Month SOFR                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        125 | NC      | $216956.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                    | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $2145596.98    | 0.15%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A2                | CUSIP: 20469AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1010009.77    | 0.07%             | 2049-02-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20526620 | PA      | $18185353.72   | 1.26%             | 2056-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1               | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8722114 | PA      | $8779492.26    | 0.61%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                          | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4342469 | PA      | $4472700.49    | 0.31%             | 2057-10-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class B                              | CUSIP: 74690DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1442000 | PA      | $1423937.13    | 0.10%             | 2055-05-25      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A3                     | CUSIP: 46660BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4882000 | PA      | $4887979.96    | 0.34%             | 2056-06-25      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2025-A, Class A             | CUSIP: 55069BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4871264 | PA      | $4869819.21    | 0.34%             | 2032-03-15      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF1, Class A                                      | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     944922 | PA      | $966793.79     | 0.07%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust, Series 2024-PMDW, Class D                                       | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2870000 | PA      | $2867947.36    | 0.20%             | 2041-11-05      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| TVC Mortgage Trust                             | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                            | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1222773.24    | 0.08%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                 | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class B                  | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2490226.40    | 0.17%             | 2034-09-15      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-P1, Class D             | CUSIP: 96043LAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2379000 | PA      | $2425321.07    | 0.17%             | 2032-07-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-DNA3, Class M2                        | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | CORP              | US        |     820490 | PA      | $821179.13     | 0.06%             | 2044-10-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class B                                     | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $232562.48     | 0.02%             | 2036-08-15      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                  | BLP Commercial Mortgage Trust, Series 2025-IND2, Class D                   | CUSIP: 05556WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4009664.93    | 0.28%             | 2042-12-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-FLWR, Class E                   | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2867000 | PA      | $2879892.34    | 0.20%             | 2042-08-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D           | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     468947 | PA      | $482178.69     | 0.03%             | 2032-05-20      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D      | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511014.35     | 0.04%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class C            | CUSIP: 90945DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     770918 | PA      | $772822.36     | 0.05%             | 2029-10-10      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| SF Abs Issuer LLC                              | SF Abs Issuer LLC, Series 2025-1A, Class A2                                | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3164437.12    | 0.22%             | 2055-11-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-FNX, Class A                                         | CUSIP: 05593TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9892917 | PA      | $9898510.70    | 0.68%             | 2041-11-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust      | Santander Consumer Auto Receivables Trust, Series 2021-CA, Class C         | CUSIP: 80281HAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35451 | PA      | $35429.51      | 0.00%             | 2028-06-15      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30738000 | PA      | $31163106.54   | 2.15%             | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class D           | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     953626 | PA      | $963319.38     | 0.07%             | 2032-10-20      | Floating      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class C            | CUSIP: 38410KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500174.45     | 0.03%             | 2028-03-01      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class F            | CUSIP: 80290CCF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     350052 | PA      | $364609.26     | 0.03%             | 2033-12-15      | Fixed         | 12.24%                | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2025-X2, Class D                 | CUSIP: 00835DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4007943.15    | 0.28%             | 2030-10-15      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |      43572 | PA      | $43608.54      | 0.00%             | 2034-01-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                           | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     557652 | PA      | $562649.20     | 0.04%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                  | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                   | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6449056 | PA      | $6437164.52    | 0.44%             | 2042-03-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-2, Class A1                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3057619 | PA      | $3056982.23    | 0.21%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class B                           | CUSIP: 09531MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $203659.12     | 0.01%             | 2030-11-15      | Fixed         | 9.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1B2            | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432557 | PA      | $497159.44     | 0.03%             | 2042-06-25      | Floating      | 15.70%                | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -226 | NC      | $245773.84     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class A         | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3082516 | PA      | $3184016.63    | 0.22%             | 2053-08-25      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                       | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $300059.88     | 0.02%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class B                | CUSIP: 68237DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4544493.75    | 0.31%             | 2032-04-19      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-2A, Class B                     | CUSIP: 525920AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2650000 | PA      | $2698884.94    | 0.19%             | 2029-07-16      | Fixed         | 6.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M2                        | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |     888100 | PA      | $922815.81     | 0.06%             | 2042-04-25      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class C                             | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1252223.81    | 0.09%             | 2041-06-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund     | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A2       | CUSIP: 67181DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     388794 | PA      | $348294.71     | 0.02%             | 2050-11-20      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class D                                   | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1063204.60    | 0.07%             | 2031-07-15      | Fixed         | 8.83%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1945522 | PA      | $1934745.89    | 0.13%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  3 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM5, Class A1                             | CUSIP: 00250AAC8<br>LEI: 984500B1KGB67O4A0631 | Long             | ABS-MBS          | CORP              | US        |    3321752 | PA      | $3334453.14    | 0.23%             | 2070-12-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88579 | PA      | $88978.86      | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | S&P 500 Emini Index                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -64 | NC      | $-162400.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-B, Class E                 | CUSIP: 02007G6S7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4438655 | PA      | $4435846.05    | 0.31%             | 2033-09-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                        | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |    4062628 | PA      | $4069610.87    | 0.28%             | 2045-09-25      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust                            | DROP Mortgage Trust, Series 2021-FILE, Class A                             | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3650000 | PA      | $3567883.96    | 0.25%             | 2043-10-15      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A             | CUSIP: 55068XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     178454 | PA      | $179513.75     | 0.01%             | 2030-07-15      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                   | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4240000 | PA      | $4238872.98    | 0.29%             | 2039-03-15      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2025-1A, Class D                | CUSIP: 89617CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3240000 | PA      | $668167.25     | 0.05%             | 2031-04-15      | Fixed         | 6.84%                 | Yes           |                  3 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2022-1A, Class D                              | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40642 | PA      | $40363.92      | 0.00%             | 2036-08-20      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class C                | CUSIP: 89616LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $374471.39     | 0.03%             | 2028-01-18      | Fixed         | 6.99%                 | Yes           |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class E            | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2832852 | PA      | $2873941.94    | 0.20%             | 2032-06-15      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class B                           | CUSIP: 02157JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1648268 | PA      | $1650567.17    | 0.11%             | 2039-05-16      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class F            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2485503 | PA      | $2548588.05    | 0.18%             | 2032-06-15      | Fixed         | 10.17%                | Yes           |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked Notes           | Truist Bank Auto Credit-Linked Notes, Series 2025-1, Class C               | CUSIP: 897926CC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4045588 | PA      | $4045876.42    | 0.28%             | 2033-09-26      | Fixed         | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2024-1A, Class B                     | CUSIP: 525935AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $510030.02     | 0.04%             | 2029-09-15      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2025-EDU1, Class C         | CUSIP: 07337GAC7<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    3293267 | PA      | $3293254.85    | 0.23%             | 2048-07-27      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1488960 | PA      | $1488889.01    | 0.10%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class F                 | CUSIP: 02007GZ97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     453288 | PA      | $465630.39     | 0.03%             | 2032-05-17      | Fixed         | 9.89%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class E         | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     555676 | PA      | $564102.61     | 0.04%             | 2031-12-26      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2024-1A, Class D                        | CUSIP: 501689AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $512856.19     | 0.04%             | 2031-06-16      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6411000 | PA      | $6430524.06    | 0.44%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2            | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1143931 | PA      | $1163494.09    | 0.08%             | 2042-01-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                              | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1673278 | PA      | $1749375.40    | 0.12%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class C                                        | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081816 | PA      | $1084034.72    | 0.07%             | 2041-04-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class E                                             | CUSIP: 362414AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4322000 | PA      | $4332782.16    | 0.30%             | 2041-05-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                        | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |    2993598 | PA      | $2998160.78    | 0.21%             | 2045-02-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class A                      | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10014843.44   | 0.69%             | 2040-03-15      | Variable      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                       | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2174633 | PA      | $2118925.96    | 0.15%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2025-1A, Class B1                | CUSIP: 20469CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4971527.11    | 0.34%             | 2050-05-25      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                           | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2621401 | PA      | $2641945.69    | 0.18%             | 2044-11-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M3                          | CUSIP: 46591HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     362433 | PA      | $377359.66     | 0.03%             | 2057-10-25      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class D                      | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3675000 | PA      | $3706159.73    | 0.26%             | 2042-10-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4229431 | PA      | $4269223.54    | 0.30%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1239727 | PA      | $1192466.20    | 0.08%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2024-1A, Class D                          | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1155226 | PA      | $1218431.54    | 0.08%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class E                      | CUSIP: 30227TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3675000 | PA      | $3710069.39    | 0.26%             | 2042-10-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B1            | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2286054.82    | 0.16%             | 2041-12-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class F                            | CUSIP: 05493VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399958 | PA      | $397535.93     | 0.03%             | 2048-11-27      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5353181 | PA      | $4944561.99    | 0.34%             | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES2, Class A1A              | CUSIP: 12674UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1244057 | PA      | $1256045.49    | 0.09%             | 2060-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class D                            | CUSIP: 91823ABE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1530026.70    | 0.11%             | 2054-05-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321901 | PA      | $323776.40     | 0.02%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FinBe USA Trust                                | FinBe USA Trust, Series 2025-1A, Class B                                   | CUSIP: 317967AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2250000 | PA      | $2252869.17    | 0.16%             | 2030-12-16      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1            | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689163 | PA      | $690443.75     | 0.05%             | 2045-05-25      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                        | Carmax Auto Owner Trust, Series 2025-4, Class D                            | CUSIP: 14320HAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1758238.50    | 0.12%             | 2032-05-17      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                   | Olympic Tower Mortgage Trust, Series 2017-OT, Class A                      | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9025000 | PA      | $8705368.90    | 0.60%             | 2039-05-10      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC-VBTEL                         | VB-S1 Issuer LLC-VBTEL, Series 2024-1A, Class F                            | CUSIP: 91823ABG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1150000 | PA      | $1189317.93    | 0.08%             | 2054-05-15      | Fixed         | 8.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                       | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4761923 | PA      | $4806112.01    | 0.33%             | 2055-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                           | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $703146.50     | 0.05%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class D                      | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4825727 | PA      | $4839344.94    | 0.33%             | 2039-02-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization IV LLC             | OnDeck Asset Securitization IV LLC, Series 2025-1A, Class C                | CUSIP: 68237DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2534103.75    | 0.18%             | 2032-04-19      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class D            | CUSIP: 38410KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $600490.26     | 0.04%             | 2028-03-01      | Floating      | 11.34%                | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class M1            | CUSIP: 36277LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3209148.86    | 0.22%             | 2056-05-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1            | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3045000.00    | 0.21%             | 2041-10-25      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                  | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class D                   | CUSIP: 62475WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1175000 | PA      | $1177197.92    | 0.08%             | 2039-03-15      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Pear LLC                                       | Pear LLC, Series 2024-1, Class A                                           | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     262487 | PA      | $265282.11     | 0.02%             | 2036-02-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| DC Trust                                       | DC Trust, Series 2024-HLTN, Class C                                        | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1508052.12    | 0.10%             | 2040-04-13      | Variable      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class D         | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     727309 | PA      | $743080.51     | 0.05%             | 2047-06-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    8438053 | PA      | $8794241.76    | 0.61%             | 2041-10-25      | Floating      | 11.20%                | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class E                     | CUSIP: 46591HCV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4559056 | PA      | $4546086.03    | 0.31%             | 2033-02-25      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                          | Taco Bell Funding LLC, Series 2021-1A, Class A2I                           | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6405900 | PA      | $6256082.11    | 0.43%             | 2051-08-25      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Lmdv Issuer Co. LLC                            | Lmdv Issuer Co. LLC, Series 2025-1A, Class B                               | CUSIP: 538908AC8<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |    2652000 | PA      | $2685613.33    | 0.19%             | 2055-12-15      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                 | SWCH Commercial Mortgage Trust, Series 2025-DATA, Class E                  | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5340000 | PA      | $5321659.65    | 0.37%             | 2042-02-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-CNYN, Class D                                        | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5769688 | PA      | $5789656.86    | 0.40%             | 2041-04-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2026-ESH2, Class D                     | CUSIP: 30227WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5152000 | PA      | $5179221.42    | 0.36%             | 2043-02-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2026-1, Class D            | CUSIP: 90945FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4067000 | PA      | $4070590.98    | 0.28%             | 2031-07-10      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class C10                    | CUSIP: 44422PBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859000 | PA      | $805146.63     | 0.06%             | 2034-08-05      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class C                    | CUSIP: 958250AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1389000 | PA      | $1392290.87    | 0.10%             | 2035-11-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                    | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1850000 | PA      | $1859219.89    | 0.13%             | 2041-10-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1B       | CUSIP: 79581XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5031995.05    | 0.35%             | 2055-10-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class C                                      | CUSIP: 30249NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1165000 | PA      | $1166801.21    | 0.08%             | 2056-01-25      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX1, Class A1                      | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |    4658828 | PA      | $4675739.58    | 0.32%             | 2065-09-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2025-1A, Class D                            | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5368000 | PA      | $5400220.37    | 0.37%             | 2035-07-16      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1640000 | PA      | $1650656.88    | 0.11%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839000 | PA      | $842157.32     | 0.06%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class C           | CUSIP: 446438SZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2344525 | PA      | $2342799.54    | 0.16%             | 2033-03-21      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2025-3, Class C                       | CUSIP: 91684FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2473000 | PA      | $2460364.81    | 0.17%             | 2035-09-20      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES1, Class A2                            | CUSIP: 74939BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4229000 | PA      | $4229626.16    | 0.29%             | 2056-01-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-CGS, Class B                    | CUSIP: 20267XAC7<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |      98238 | PA      | $93786.91      | 0.01%             | 2046-02-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P3, Class D                    | CUSIP: 14688AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2977827.66    | 0.21%             | 2033-09-12      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 24 Ltd.                     | OHA Credit Funding 24 Ltd., Series 2025-24A, Class A2                      | CUSIP: 67123CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $12016732.80   | 0.83%             | 2039-01-20      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B2            | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2024099 | PA      | $2196580.33    | 0.15%             | 2042-03-25      | Floating      | 13.20%                | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2025-A, Class F            | CUSIP: 80290CCV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1172000 | PA      | $1173645.96    | 0.08%             | 2034-01-16      | Fixed         | 7.34%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1             | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572551 | PA      | $1571785.53    | 0.11%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class D                                  | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2373000 | PA      | $2395743.52    | 0.17%             | 2031-09-15      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Zais CLO 11 Ltd.                               | Zais CLO 11 Ltd., Series 2018-11A, Class BR                                | CUSIP: 98887YAQ0<br>LEI: 549300FPW2E2MXLOFH93 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2504380.75    | 0.17%             | 2032-01-20      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2017-AGS, Class B                    | CUSIP: 20267VAC1<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |     172925 | PA      | $159746.54     | 0.01%             | 2041-05-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES4, Class A1A                           | CUSIP: 74937YAA6<br>LEI: 254900VY2F6O6C6XTD40 | Long             | ABS-O            | CORP              | US        |    4675601 | PA      | $4746887.46    | 0.33%             | 2055-04-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL5, Class D                     | CUSIP: 05612GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3570000 | PA      | $3573819.51    | 0.25%             | 2041-03-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2024-1A, Class A                               | CUSIP: 53161XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1999877.60    | 0.14%             | 2038-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A3                                     | CUSIP: 69383VAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2003106.00    | 0.14%             | 2056-01-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A           | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4333000 | PA      | $4356489.19    | 0.30%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                         | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1479063 | PA      | $1492614.02    | 0.10%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-3A, Class D                          | CUSIP: 35042TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1275000 | PA      | $1277719.72    | 0.09%             | 2052-08-15      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2023-1PL, Class D                                   | CUSIP: 00091XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     506837 | PA      | $510839.73     | 0.04%             | 2030-03-18      | Fixed         | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2026-1A, Class D             | CUSIP: 96043BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1708000 | PA      | $1705928.92    | 0.12%             | 2031-07-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class D                              | CUSIP: 90367VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2537320.44    | 0.18%             | 2032-12-15      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-1A, Class C                                  | CUSIP: 30340RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2854000 | PA      | $2841527.05    | 0.20%             | 2031-08-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class C                                      | CUSIP: 31684UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     706896 | PA      | $709909.83     | 0.05%             | 2054-09-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| 1301 Trust                                     | 1301 Trust, Series 2025-1301, Class D                                      | CUSIP: 682461AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2464000 | PA      | $2499485.98    | 0.17%             | 2042-08-11      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                      | Jersey Mike's Funding LLC, Series 2019-1A, Class A2                        | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     982500 | PA      | $982400.64     | 0.07%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2201997 | PA      | $2153310.63    | 0.15%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP2, Class F                                     | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2334000 | PA      | $2332009.88    | 0.16%             | 2036-11-15      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class C           | CUSIP: 44644NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1354737 | PA      | $1365264.90    | 0.09%             | 2032-05-20      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class D          | CUSIP: 82653HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3357105 | PA      | $3316114.01    | 0.23%             | 2044-04-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -263 | NC      | $-8218.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class D                                        | CUSIP: 74939RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1747530.86    | 0.12%             | 2034-07-25      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class B                                            | CUSIP: 751313AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     391654 | PA      | $391853.28     | 0.03%             | 2039-02-15      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -189990000 | PA      | $-161232543.63 | -11.15%           | 2056-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                            | Life Mortgage Trust, Series 2021-BMR, Class E                              | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050000 | PA      | $1046630.62    | 0.07%             | 2038-03-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1738000 | PA      | $1659100.01    | 0.11%             | 2056-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-HE1, Class A2                       | CUSIP: 89183LAD7<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4342456.45    | 0.30%             | 2065-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2026-NQM1, Class A2                             | CUSIP: 00040DAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2904360.65    | 0.20%             | 2071-02-25      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                     | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class B10                    | CUSIP: 44422PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2430808.41    | 0.17%             | 2034-08-05      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class D                    | CUSIP: 05613QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2489072 | PA      | $2502919.35    | 0.17%             | 2041-10-15      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                   | Drive Auto Receivables Trust, Series 2025-1, Class D                       | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4077000 | PA      | $4128391.51    | 0.29%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       2419 | NC      | $-361664.17    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-AIR2, Class C                    | CUSIP: 05613QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1918360 | PA      | $1925015.42    | 0.13%             | 2041-10-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class D                      | CUSIP: 92943PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $503285.96     | 0.03%             | 2040-03-15      | Variable      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2024-1A, Class C                               | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1555842.90    | 0.11%             | 2054-06-20      | Fixed         | 9.19%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2025-2A, Class C                     | CUSIP: 52611JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2921000 | PA      | $2882551.96    | 0.20%             | 2031-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                      | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1802912 | PA      | $1814329.80    | 0.13%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                        | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808470 | PA      | $1802646.25    | 0.12%             | 2026-10-15      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class A                        | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     149651 | PA      | $152532.94     | 0.01%             | 2035-04-17      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class C                              | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     605764 | PA      | $614179.16     | 0.04%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                     | Flagship Credit Auto Trust, Series 2021-1, Class D                         | CUSIP: 33843WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1174061 | PA      | $1167463.62    | 0.08%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC       | OnDeck Asset Securitization Trust IV LLC, Series 2024-1A, Class C          | CUSIP: 67118NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1021400.30    | 0.07%             | 2031-06-17      | Fixed         | 8.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                      | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12262690 | PA      | $12357453.78   | 0.85%             | 2055-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A2                     | CUSIP: 46660BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3003671.40    | 0.21%             | 2056-06-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class C           | CUSIP: 44644NAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1499312 | PA      | $1504722.08    | 0.10%             | 2032-10-20      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class C         | CUSIP: 07336PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     748701 | PA      | $748299.45     | 0.05%             | 2047-06-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson AAA CLO ETF                    | Janus Henderson AAA CLO ETF                                                | CUSIP: 47103U845<br>LEI: 549300N7UZ9PO4OVKA94 | Long             |  | RF                | US        |    1383590 | NS      | $70106505.30   | 4.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-A, Class 1D                 | CUSIP: 00834BAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500346.79     | 0.03%             | 2029-02-15      | Fixed         | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-1A, Class D                            | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $712649.58     | 0.05%             | 2033-04-15      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Lmdv Issuer Co. LLC                            | Lmdv Issuer Co. LLC, Series 2025-1A, Class C                               | CUSIP: 538908AE4<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |    1889000 | PA      | $1922040.50    | 0.13%             | 2055-12-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Mello Warehouse Securitization Trust           | Mello Warehouse Securitization Trust, Series 2024-1, Class F               | CUSIP: 58553FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     542000 | PA      | $541138.82     | 0.04%             | 2057-10-25      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                 | Chase Auto Credit Linked Notes, Series 2025-1, Class F                     | CUSIP: 46591HCW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2013717 | PA      | $2038412.02    | 0.14%             | 2033-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                        | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1620495.68    | 0.11%             | 2041-12-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2023-K511, Class C                            | CUSIP: 30334FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3766341.20    | 0.26%             | 2028-11-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                        | MVW LLC, Series 2025-1A, Class C                                           | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1240037 | PA      | $1265516.04    | 0.09%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6057721 | PA      | $5938736.94    | 0.41%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF4, Class A2                                       | CUSIP: 69382WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4707386.88    | 0.33%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE3, Class C                                      | CUSIP: 31684GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2529553 | PA      | $2577647.37    | 0.18%             | 2054-07-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| TSC SPV Funding LLC                            | TSC SPV Funding LLC, Series 2024-1A, Class A2                              | CUSIP: 898912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1485000 | PA      | $1509533.37    | 0.10%             | 2054-08-20      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2                        | CUSIP: 35564KQZ5<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |    2350000 | PA      | $2473866.30    | 0.17%             | 2042-01-25      | Floating      | 10.80%                | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2026-1, Class C            | CUSIP: 90945FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2305000 | PA      | $2306449.95    | 0.16%             | 2031-06-10      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust        | United Auto Credit Securitization Trust, Series 2024-1, Class D            | CUSIP: 90945DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1012393.59    | 0.07%             | 2029-11-12      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-2A, Class A2                                 | CUSIP: 30343DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4891000 | PA      | $4947104.33    | 0.34%             | 2030-05-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class E                                        | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4147000 | PA      | $4142073.47    | 0.29%             | 2041-06-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-2A, Class B2                | CUSIP: 20469AAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3225602.15    | 0.22%             | 2049-08-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class C                                      | CUSIP: 31684NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2951185 | PA      | $2947794.91    | 0.20%             | 2055-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class F                    | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2660000 | PA      | $2659999.01    | 0.18%             | 2038-04-15      | Floating      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                          | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6011321 | PA      | $6204806.28    | 0.43%             | 2057-10-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    3856000 | PA      | $4031743.73    | 0.28%             | 2042-03-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                       | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2235702 | PA      | $2257619.24    | 0.16%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     956013 | PA      | $944909.52     | 0.07%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                  | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                   | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4904000 | PA      | $4887609.16    | 0.34%             | 2035-03-15      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                      | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1703384 | PA      | $1719676.03    | 0.12%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust, Series 2023-3, Class B                       | CUSIP: 91684MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $514840.97     | 0.04%             | 2033-10-20      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   44899899 | NS      | $44913369.22   | 3.10%             |  |  |  | No            |                  2 | On Loan: No      |
| QTS Issuer ABS I LLC                           | QTS Issuer ABS I LLC, Series 2025-1A, Class A2                             | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5517000 | PA      | $5531334.36    | 0.38%             | 2055-05-25      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Issuer LLC                             | ExteNet Issuer LLC, Series 2024-1A, Class C                                | CUSIP: 30227XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1552538.52    | 0.11%             | 2054-07-25      | Fixed         | 9.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8723764 | PA      | $8707206.30    | 0.60%             | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A2        | CUSIP: 79585UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2516000 | PA      | $2557034.20    | 0.18%             | 2030-07-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                          | Theorem Funding Trust, Series 2022-3A, Class B                             | CUSIP: 882925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     655510 | PA      | $666333.64     | 0.05%             | 2029-04-15      | Fixed         | 8.95%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A2                           | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1175000 | PA      | $1185790.50    | 0.08%             | 2029-03-25      | Variable      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-MF, Class C                      | CUSIP: 05612EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309909 | PA      | $310525.36     | 0.02%             | 2039-02-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A         | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3787629 | PA      | $3907184.05    | 0.27%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class G                    | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1020000 | PA      | $1019998.19    | 0.07%             | 2038-04-15      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Cipher Compute LLC                             | Cipher Compute LLC                                                         | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4811000 | PA      | $4957307.32    | 0.34%             | 2030-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Corporate One Auto Receivables Trust           | Corporate One Auto Receivables Trust, Series 2026-1A, Class D              | CUSIP: 22004UAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1997271.21    | 0.14%             | 2034-07-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1            | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907037 | PA      | $907049.04     | 0.06%             | 2044-07-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                   | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24694 | PA      | $24873.70      | 0.00%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC             | MetroNet Infrastructure Issuer LLC, Series 2025-2A, Class A2               | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8320593.58    | 0.58%             | 2055-08-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                | Western Funding Auto Loan Trust, Series 2025-1, Class D                    | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2541637.71    | 0.18%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1   | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     858977 | PA      | $846312.81     | 0.06%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Libra Solutions LLC                            | Libra Solutions LLC, Series 2025-1A, Class A                               | CUSIP: 53161AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10200000 | PA      | $10262536.20   | 0.71%             | 2039-08-15      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class A                                      | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10236485 | PA      | $10395513.50   | 0.72%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A2        | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6705500 | PA      | $6711140.67    | 0.46%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1   | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |    2741273 | PA      | $2682596.05    | 0.19%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust, Series 2023-2A, Class D                            | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $917171.20     | 0.06%             | 2033-06-15      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust     | Exeter Select Automobile Receivables Trust, Series 2025-3, Class D         | CUSIP: 30185FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1818356.32    | 0.13%             | 2032-05-17      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class B                                      | CUSIP: 30249NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     782000 | PA      | $783214.06     | 0.05%             | 2056-01-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class D          | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     416028 | PA      | $415844.42     | 0.03%             | 2041-06-20      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                   | Hilton Grand Vacations Trust, Series 2025-2A, Class C                      | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2414937 | PA      | $2429510.63    | 0.17%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                          | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4370921 | PA      | $4367760.95    | 0.30%             | 2028-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2018-BGS, Class C                    | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |      84418 | PA      | $73211.69      | 0.01%             | 2045-09-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-VLT4, Class D                                        | CUSIP: 05612TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1096942.04    | 0.08%             | 2041-06-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                           | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    3766000 | PA      | $3779118.86    | 0.26%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                           | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2311000 | PA      | $2313552.96    | 0.16%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2025-P3, Class C                    | CUSIP: 14688AAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $998847.82     | 0.07%             | 2032-01-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1            | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5584483 | PA      | $5594175.69    | 0.39%             | 2045-01-25      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                   | JW Commercial Mortgage Trust, Series 2024-MRCO, Class C                    | CUSIP: 46657XAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1504092.76    | 0.10%             | 2039-06-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | ETRS                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |    1169022 | PA      | $196700.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC         | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1            | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     615000 | PA      | $516157.02     | 0.04%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A3            | CUSIP: 36277LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3005168.40    | 0.21%             | 2056-05-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2025-1A, Class E                   | CUSIP: 73747LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2029904.60    | 0.14%             | 2032-05-17      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Oceanview Mortgage Trust, Series 2025-4, Class AF1                         | CUSIP: 67647DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125187 | PA      | $1125184.00    | 0.08%             | 2055-12-25      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                 | BOCA Commercial Mortgage Trust, Series 2025-BOCA, Class D                  | CUSIP: 05619RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2010478.56    | 0.14%             | 2042-12-15      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class B                 | CUSIP: 224092AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $254385.83     | 0.02%             | 2032-03-15      | Fixed         | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class D                | CUSIP: 89616LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $890525.79     | 0.06%             | 2028-04-17      | Fixed         | 8.61%                 | Yes           |                  3 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class E                   | CUSIP: 737473AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $459166.01     | 0.03%             | 2031-12-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1594 | NC      | $-1321521.64   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A1B            | CUSIP: 26846MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     546000 | PA      | $546363.09     | 0.04%             | 2060-12-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class C                                  | CUSIP: 31568AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1003071.01    | 0.07%             | 2031-05-15      | Fixed         | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Dext ABS LLC                                   | Dext ABS LLC, Series 2023-2, Class D                                       | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $317549.82     | 0.02%             | 2034-05-15      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B1                        | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1020265.11    | 0.07%             | 2041-11-25      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2026-1A, Class A2                    | CUSIP: 525952AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1788000 | PA      | $1788928.98    | 0.12%             | 2030-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5113380 | PA      | $4526834.41    | 0.31%             | 2056-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1B                           | CUSIP: 74942JAB0<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    3734464 | PA      | $3732250.34    | 0.26%             | 2055-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class A2                                 | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     905879 | PA      | $911606.75     | 0.06%             | 2030-06-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A2 | CUSIP: 61780XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1502634.01    | 0.10%             | 2070-12-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class F            | CUSIP: 80280BAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     767513 | PA      | $780764.24     | 0.05%             | 2033-01-18      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -545 | NC      | $-25546.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Coinstar Funding LLC                           | Coinstar Funding LLC, Series 2017-1A, Class A2                             | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2737500 | PA      | $3107844.06    | 0.21%             | 2047-04-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-FL1, Class A2                                     | CUSIP: 31684QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3934011 | PA      | $3955175.87    | 0.27%             | 2055-07-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES1, Class A1A              | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3690477 | PA      | $3737150.24    | 0.26%             | 2060-05-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX2, Class A1                      | CUSIP: 89183RAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |    2246671 | PA      | $2256484.44    | 0.16%             | 2065-10-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-2A, Class C                                   | CUSIP: 75525QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2593000 | PA      | $2617058.85    | 0.18%             | 2032-08-18      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3458408 | PA      | $3467285.61    | 0.24%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4692219 | PA      | $4704986.46    | 0.33%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                        | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1574021 | PA      | $1323740.24    | 0.09%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1   | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |    2126788 | PA      | $2090151.86    | 0.14%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-3A, Class E               | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2849006.13    | 0.20%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                    | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3991885 | PA      | $4001145.88    | 0.28%             | 2041-10-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-3, Class D                   | CUSIP: 83390JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1818181.23    | 0.13%             | 2034-08-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E            | CUSIP: 80290CCE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1166840 | PA      | $1187733.92    | 0.08%             | 2033-12-15      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                | Post Road Equipment Finance LLC, Series 2024-1A, Class D                   | CUSIP: 737473AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $407627.07     | 0.03%             | 2030-10-15      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A2             | CUSIP: 10637YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2560000 | PA      | $2473051.65    | 0.17%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-TAIL, Class D                                        | CUSIP: 123912AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6007841.29    | 0.42%             | 2035-06-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class A                 | CUSIP: 224092AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      60679 | PA      | $61105.27      | 0.00%             | 2032-03-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                      | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1703384 | PA      | $1726636.82    | 0.12%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60613000 | PA      | $62770216.67   | 4.34%             | 2056-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-A, Class B                      | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     103500 | PA      | $101177.50     | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2025-SF1, Class D                      | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1774474.67    | 0.12%             | 2031-09-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust      | Bayview Opportunity Master Fund VII Trust, Series 2024-SN1, Class D        | CUSIP: 072926AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $513169.86     | 0.04%             | 2029-07-16      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Acacia LLC                                     | Acacia LLC, Series 2025-1, Class A                                         | CUSIP: 00401PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1942130 | PA      | $1944656.10    | 0.13%             | 2037-11-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| ALA Trust                                      | ALA Trust, Series 2025-OANA, Class D                                       | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2333000 | PA      | $2348351.43    | 0.16%             | 2040-06-15      | Floating      | 6.77%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432301 | PA      | $2386265.06    | 0.16%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2021-AGS, Class B                    | CUSIP: 20268WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     184707 | PA      | $144583.90     | 0.01%             | 2052-03-25      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class F                      | CUSIP: 30227TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1750000 | PA      | $1769013.78    | 0.12%             | 2042-10-15      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class C                                | CUSIP: 39152MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1260000 | PA      | $1265349.20    | 0.09%             | 2039-03-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-WCL1, Class D                             | CUSIP: 20047DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $4253852.35    | 0.29%             | 2041-06-15      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                  | Commonbond Student Loan Trust, Series 2016-B, Class B                      | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     106143 | PA      | $102245.49     | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES1, Class A3                            | CUSIP: 74939BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3400000 | PA      | $3398875.78    | 0.23%             | 2056-01-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2016-667M, Class A                             | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2120000 | PA      | $1875986.64    | 0.13%             | 2036-10-10      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                        | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   16814815 | PA      | $16846726.70   | 1.16%             | 2045-02-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXVI Funding Ltd.                      | Regatta XXVI Funding Ltd., Series 2023-2A, Class A2R                       | CUSIP: 75900QAQ8<br>LEI: 2549005JVL4XLCX5SY63 | Long             | ABS-CBDO         | CORP              | KY        |    8300000 | PA      | $8316440.64    | 0.57%             | 2039-01-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                        | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    1596344 | PA      | $1720646.56    | 0.12%             | 2042-06-25      | Floating      | 10.45%                | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Lease Trust         | Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class B             | CUSIP: 55068XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $302827.44     | 0.02%             | 2030-07-15      | Fixed         | 10.49%                | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class M1               | CUSIP: 21689GAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $1708051.73    | 0.12%             | 2061-01-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54836236 | PA      | $54809146.90   | 3.79%             | 2056-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIII LLC    | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class E       | CUSIP: 03237CAF9<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |     375000 | PA      | $384316.46     | 0.03%             | 2032-04-20      | Fixed         | 9.66%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                           | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2293115 | PA      | $2300742.13    | 0.16%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-RTL1, Class A2                                           | CUSIP: 26846FAB5<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    1717000 | PA      | $1718903.98    | 0.12%             | 2040-11-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| RAD CLO 31 Ltd.                                | RAD CLO 31 Ltd., Series 2025-31A, Class A1B                                | CUSIP: 74939NAC4<br>LEI: 254900F50S9DCHTOVI65 | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6611574.42    | 0.46%             | 2039-04-17      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                          | QTS Issuer ABS II LLC, Series 2026-1A, Class B                             | CUSIP: 74690FAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4041536.34    | 0.28%             | 2056-01-05      | Fixed         | 6.73%                 | Yes           |                  2 | On Loan: No      |
| CBAMR Ltd.                                     | CBAMR Ltd., Series 2019-11RA, Class A2R                                    | CUSIP: 14988AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $8016237.60    | 0.55%             | 2038-03-20      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3040000 | PA      | $3063996.24    | 0.21%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2026-NQM1, Class A1                             | CUSIP: 00040DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2486000 | PA      | $2490010.56    | 0.17%             | 2071-02-25      | Variable      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| CP EF Asset Securitization II LLC              | CP EF Asset Securitization II LLC, Series 2023-1A, Class C                 | CUSIP: 224092AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $249895.83     | 0.02%             | 2032-03-15      | Fixed         | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class F                 | CUSIP: 02007G5J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     598373 | PA      | $599490.23     | 0.04%             | 2033-06-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust          | Westlake Automobile Receivables Trust, Series 2025-2A, Class D             | CUSIP: 96041KAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6450000 | PA      | $6516561.17    | 0.45%             | 2031-05-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2024-X1, Class C                 | CUSIP: 00834XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     986286 | PA      | $987738.66     | 0.07%             | 2029-05-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                            | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5160000 | PA      | $5193938.87    | 0.36%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class E                            | CUSIP: 05493VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $397865.12     | 0.03%             | 2048-11-27      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HOMES Trust                                    | HOMES Trust, Series 2026-INV1, Class A1D                                   | CUSIP: 43761FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1413000 | PA      | $1415308.22    | 0.10%             | 2060-08-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B         | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1714602 | PA      | $1728498.26    | 0.12%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                           | CUSIP: 74943AAB8<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    1325419 | PA      | $1334605.27    | 0.09%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1079658 | PA      | $1094899.89    | 0.08%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| TVC Mortgage Trust                             | TVC Mortgage Trust, Series 2026-RRTL1, Class A2                            | CUSIP: 87306XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999984.00     | 0.07%             | 2040-04-25      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Ares LXXI CLO Ltd.                             | Ares LXXI CLO Ltd., Series 2024-71A, Class A2                              | CUSIP: 04020MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5014640.50    | 0.35%             | 2037-04-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| APLD ComputeCo LLC                             | APLD ComputeCo LLC                                                         | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5428000 | PA      | $5638303.84    | 0.39%             | 2030-12-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class E                 | CUSIP: 02007G5H2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1356312 | PA      | $1353829.11    | 0.09%             | 2033-06-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust                           | USB Auto Owner Trust, Series 2025-1A, Class C                              | CUSIP: 90367VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1522100.82    | 0.11%             | 2031-03-17      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-PF2, Class B                                      | CUSIP: 316918AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2322657 | PA      | $2324113.65    | 0.16%             | 2055-10-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                           | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class EK73                         | CUSIP: 05494BAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1784783 | PA      | $1379271.02    | 0.10%             | 2051-02-27      | Variable      | 0.01%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     235600 | PA      | $236127.25     | 0.02%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21729299 | PA      | $21281371.23   | 1.47%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A2                                     | CUSIP: 69383VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2003177.20    | 0.14%             | 2056-01-25      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1B                           | CUSIP: 74939WAB6<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    1241923 | PA      | $1246169.45    | 0.09%             | 2055-08-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-DIME, Class E                                        | CUSIP: 05613UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4990279.19    | 0.34%             | 2035-02-15      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                   | Bain Capital Credit CLO Ltd., Series 2025-5A, Class A2                     | CUSIP: 056917AC1<br>LEI: 254900UZIWHOC1Z47I85 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $7996032.00    | 0.55%             | 2039-01-19      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                    | Extended Stay America Trust, Series 2025-ESH, Class B                      | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7534700.95    | 0.52%             | 2042-10-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                           | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1090080 | PA      | $1093371.26    | 0.08%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                     | PRM7 Trust, Series 2025-PRM7, Class E                                      | CUSIP: 74290HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2385000 | PA      | $2388894.76    | 0.17%             | 2042-11-10      | Variable      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class C                          | CUSIP: 35042NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5000780.63    | 0.35%             | 2052-04-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4150701 | PA      | $4060456.46    | 0.28%             | 2056-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC       | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class C          | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2537278 | PA      | $2516581.78    | 0.17%             | 2044-08-22      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                      | FHF Trust, Series 2023-1A, Class A2                                        | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     314112 | PA      | $315676.41     | 0.02%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-ARIA, Class C                                        | CUSIP: 05619TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7050000 | PA      | $7160617.16    | 0.49%             | 2042-12-13      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| VERTICAL BRIDGE CC LLC                         | VERTICAL BRIDGE CC LLC, Series 2025-1A, Class D                            | CUSIP: 92535VAW2<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |    3100000 | PA      | $3190222.40    | 0.22%             | 2055-08-16      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| CONE Trust                                     | CONE Trust, Series 2024-DFW1, Class A                                      | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2165000 | PA      | $2166451.03    | 0.15%             | 2041-08-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF6, Class A3                                       | CUSIP: 69393BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6852000 | PA      | $6860040.14    | 0.47%             | 2055-12-25      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B      | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1526367.42    | 0.11%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| TYSN Mortgage Trust                            | TYSN Mortgage Trust, Series 2023-CRNR, Class A                             | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $524800.45     | 0.04%             | 2033-12-10      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-1A, Class C                                   | CUSIP: 75526PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2295000 | PA      | $2357627.88    | 0.16%             | 2031-02-18      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class D                                             | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $3759759.13    | 0.26%             | 2041-06-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class F                 | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1056783 | PA      | $1070686.98    | 0.07%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class G            | CUSIP: 80280BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     767513 | PA      | $800655.96     | 0.06%             | 2033-01-18      | Fixed         | 12.23%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                       | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369875 | PA      | $371646.66     | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                      | BXP Trust, Series 2017-GM, Class D                                         | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2310000 | PA      | $2248161.45    | 0.16%             | 2039-06-13      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIV LLC     | Amur Equipment Finance Receivables XIV LLC, Series 2024-2A, Class E        | CUSIP: 03238BAF0<br>LEI: 254900VBZK8DVZNJFJ70 | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $511386.05     | 0.04%             | 2032-10-20      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Jersey Mike's Funding                          | Jersey Mike's Funding, Series 2025-1A, Class A2                            | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4588500 | PA      | $4640179.07    | 0.32%             | 2055-08-16      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1903455.34    | 0.13%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class G                                | CUSIP: 39152MAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2756732.92    | 0.19%             | 2039-03-15      | Floating      | 9.12%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class E                                      | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $295636.88     | 0.02%             | 2038-11-15      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class D                      | CUSIP: 83589CAE8<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1003224.50    | 0.07%             | 2031-12-22      | Fixed         | 7.91%                 | Yes           |                  2 | On Loan: No      |
| Kinetic ABS Issuer LLC                         | Kinetic ABS Issuer LLC, Series 2026-1A, Class A2                           | CUSIP: 49459AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2006067.04    | 0.14%             | 2056-02-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XV LLC      | Amur Equipment Finance Receivables XV LLC, Series 2025-1A, Class D         | CUSIP: 03237FAE5<br>LEI: 254900UXD59DZRJ7U848 | Long             | ABS-O            | CORP              | US        |    3129000 | PA      | $3178633.82    | 0.22%             | 2032-08-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| AB BSL CLO 1 Ltd.                              | AB BSL CLO 1 Ltd., Series 2020-1A, Class A2R2                              | CUSIP: 00038KBL4<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |   11000000 | PA      | $11049346.00   | 0.76%             | 2038-10-15      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A2          | CUSIP: 05601DAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1500894.91    | 0.10%             | 2027-07-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-2A, Class C                                  | CUSIP: 30336NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1202000 | PA      | $1218314.56    | 0.08%             | 2030-07-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust                   | WB Commercial Mortgage Trust, Series 2024-HQ, Class C                      | CUSIP: 92943PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2504704.07    | 0.17%             | 2040-03-15      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-6, Class A2                          | CUSIP: 034937AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1706276 | PA      | $1726276.39    | 0.12%             | 2070-04-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class D           | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1013282 | PA      | $1013272.63    | 0.07%             | 2033-03-21      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF5, Class A2                                       | CUSIP: 69384AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5535465.10    | 0.38%             | 2055-10-25      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class B           | CUSIP: 22689LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     727273 | PA      | $735201.99     | 0.05%             | 2031-01-20      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2            | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5331472 | PA      | $5365600.98    | 0.37%             | 2041-12-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -263 | NC      | $-32875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -545 | NC      | $-17031.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class F                                            | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2025000 | PA      | $1999906.45    | 0.14%             | 2039-01-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                               | Great Wolf Trust, Series 2024-WOLF, Class D                                | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5103000 | PA      | $5141454.10    | 0.36%             | 2039-03-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                           | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3047608 | PA      | $3076866.66    | 0.21%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class A1                | CUSIP: 20469AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $301395.14     | 0.02%             | 2049-02-25      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                               | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3307861 | PA      | $3325545.07    | 0.23%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Chase Auto Owner Trust                         | Chase Auto Owner Trust, Series 2025-1A, Class D                            | CUSIP: 16145NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3600000 | PA      | $3627209.33    | 0.25%             | 2032-11-26      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                          | HPEFS Equipment Trust, Series 2025-2A, Class D                             | CUSIP: 442927AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5981316.98    | 0.41%             | 2033-05-20      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class C                           | CUSIP: 09531MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     546000 | PA      | $536101.89     | 0.04%             | 2030-11-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust               | SoFi Consumer Loan Program Trust, Series 2025-1, Class D                   | CUSIP: 83406YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3052634.13    | 0.21%             | 2034-02-27      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A2             | CUSIP: 26846MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     777000 | PA      | $779352.83     | 0.05%             | 2060-12-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class E                 | CUSIP: 02007GZ89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     355831 | PA      | $361414.49     | 0.02%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A2                           | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1416249.66    | 0.10%             | 2029-05-25      | Variable      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-VLT7, Class E                                        | CUSIP: 123913AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9966000 | PA      | $9937239.33    | 0.69%             | 2044-07-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                           | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-O            | CORP              | US        |    3869426 | PA      | $3918518.49    | 0.27%             | 2055-05-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                     | Flagship Credit Auto Trust, Series 2022-1, Class C                         | CUSIP: 33845VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     595276 | PA      | $593166.71     | 0.04%             | 2028-03-15      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-B, Class E            | CUSIP: 80280BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     213198 | PA      | $214595.26     | 0.01%             | 2033-01-18      | Fixed         | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Crockett Partners Equipment Co. IIA LLC        | Crockett Partners Equipment Co. IIA LLC, Series 2024-1C, Class C           | CUSIP: 22689LAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     727273 | PA      | $757923.66     | 0.05%             | 2031-01-20      | Fixed         | 10.16%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2            | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1054000 | PA      | $1054574.43    | 0.07%             | 2045-01-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class D                              | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2092632.92    | 0.14%             | 2040-02-12      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M2            | CUSIP: 20755TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5168240 | PA      | $5189937.26    | 0.36%             | 2045-05-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                        | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2029711.74    | 0.14%             | 2041-09-25      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B            | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1724000 | PA      | $1724499.44    | 0.12%             | 2028-03-01      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class D               | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $508754.05     | 0.04%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class D            | CUSIP: 94990GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2776000 | PA      | $2788426.02    | 0.19%             | 2038-03-15      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   10489989 | PA      | $10791842.26   | 0.75%             | 2042-02-25      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                           | SMRT, Series 2022-MINI, Class D                                            | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $6242325.16    | 0.43%             | 2039-01-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class D                          | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     936581 | PA      | $996621.61     | 0.07%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                     | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10613938 | PA      | $10617096.26   | 0.73%             | 2039-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2023-1A, Class D                              | CUSIP: 96033EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     118555 | PA      | $121068.16     | 0.01%             | 2037-12-20      | Fixed         | 10.14%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                        | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    4263254 | PA      | $4455283.41    | 0.31%             | 2041-12-25      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                          | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11515981 | PA      | $11499338.53   | 0.79%             | 2030-07-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust             | Prosper Marketplace Issuance Trust, Series 2024-1A, Class C                | CUSIP: 74363CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $753842.88     | 0.05%             | 2029-08-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -294 | NC      | $325164.29     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Westgate Resorts LLC                           | Westgate Resorts LLC, Series 2024-1A, Class D                              | CUSIP: 96034KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     605764 | PA      | $615723.60     | 0.04%             | 2038-01-20      | Fixed         | 9.26%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                         | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3672000 | PA      | $3729596.79    | 0.26%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                     | CSMC Trust, Series 2021-BHAR, Class C                                      | CUSIP: 12659VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3446000 | PA      | $3417906.48    | 0.24%             | 2038-11-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E            | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1735000 | PA      | $1747366.39    | 0.12%             | 2038-03-15      | Variable      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                    | BXHPP Trust, Series 2021-FILM, Class A                                     | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820000 | PA      | $783231.69     | 0.05%             | 2036-08-15      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2            | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2616339 | PA      | $2627081.52    | 0.18%             | 2044-09-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| MKT Mortgage Trust                             | MKT Mortgage Trust, Series 2020-525M, Class F                              | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1541000 | PA      | $1121417.88    | 0.08%             | 2040-02-12      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Ares LXXVIII CLO Ltd.                          | Ares LXXVIII CLO Ltd., Series 2025-78A, Class A2                           | CUSIP: 03990NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10017759.00   | 0.69%             | 2039-01-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                             | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96588 | PA      | $95652.22      | 0.01%             | 2035-08-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2025-LUNR, Class D                                        | CUSIP: 05594CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3417727 | PA      | $3430584.18    | 0.24%             | 2040-06-15      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2024-GPA3, Class C                    | CUSIP: 123910AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2165574 | PA      | $2171202.62    | 0.15%             | 2039-12-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class B                       | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1269000 | PA      | $1308407.14    | 0.09%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust                   | Sotheby's Artfi Master Trust, Series 2024-1A, Class C                      | CUSIP: 83589CAD0<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |    4250000 | PA      | $4260752.93    | 0.29%             | 2031-12-22      | Fixed         | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust            | Exeter Automobile Receivables Trust, Series 2024-1A, Class E               | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $778800.31     | 0.05%             | 2031-08-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class C                                         | CUSIP: 90357PAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48653 | PA      | $49466.89      | 0.00%             | 2032-08-25      | Fixed         | 9.79%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE5, Class B                                      | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4946299 | PA      | $4950650.72    | 0.34%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                  | NYC Commercial Mortgage Trust, Series 2025-1155, Class A                   | CUSIP: 67122BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7007000 | PA      | $7168910.60    | 0.50%             | 2042-06-10      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class D           | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     512002 | PA      | $512380.96     | 0.04%             | 2033-09-20      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                 | Carvana Auto Receivables Trust, Series 2021-N3, Class E                    | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3555182 | PA      | $3473373.98    | 0.24%             | 2028-06-12      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Reach Abs Trust                                | Reach Abs Trust, Series 2026-1A, Class D                                   | CUSIP: 75526XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2389000 | PA      | $2388019.26    | 0.17%             | 2033-02-15      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| RCKTL                                          | RCKTL, Series 2025-2A, Class C                                             | CUSIP: 74939HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2508236.11    | 0.17%             | 2034-11-27      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES10, Class A1A                          | CUSIP: 74939LAA2<br>LEI: 2549008ADDIO9CIJ8W08 | Long             | ABS-O            | CORP              | US        |    1022338 | PA      | $1024598.33    | 0.07%             | 2055-11-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class A3               | CUSIP: 21689GAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4948000 | PA      | $4964951.39    | 0.34%             | 2061-01-01      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                       | BHG Securitization Trust, Series 2024-1CON, Class B                        | CUSIP: 08862HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     309789 | PA      | $318452.73     | 0.02%             | 2035-04-17      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FS Commercial Mortgage Trust                   | FS Commercial Mortgage Trust, Series 2023-4SZN, Class D                    | CUSIP: 30334RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5750000 | PA      | $5877533.94    | 0.41%             | 2039-11-10      | Variable      | 9.08%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2026-1A, Class B                     | CUSIP: 525952AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     298000 | PA      | $298895.99     | 0.02%             | 2030-12-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                          | Switch ABS Issuer LLC, Series 2025-2A, Class A22                           | CUSIP: 871044AU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2985017.10    | 0.21%             | 2055-10-25      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class B2                        | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |    5076923 | PA      | $5325909.38    | 0.37%             | 2041-11-25      | Floating      | 11.50%                | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2025-1A, Class C                                   | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2029658.13    | 0.14%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                | Wingspire Equipment Finance LLC, Series 2024-1A, Class D                   | CUSIP: 97415AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2548670.68    | 0.18%             | 2032-09-20      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                 | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class B                  | CUSIP: 669985AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4516904.77    | 0.31%             | 2040-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class M1             | CUSIP: 26846MAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     234000 | PA      | $233903.62     | 0.02%             | 2060-12-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Kinetic ABS Issuer LLC                         | Kinetic ABS Issuer LLC, Series 2026-1A, Class B                            | CUSIP: 49459AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $6004821.94    | 0.42%             | 2056-02-25      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2026-1A, Class C                     | CUSIP: 525952AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     383000 | PA      | $383602.91     | 0.03%             | 2031-09-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                        | Sandstone Peak III Ltd., Series 2024-1A, Class C                           | CUSIP: 799928AJ5<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2512812.75    | 0.17%             | 2037-04-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2024-BIO, Class C                                         | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3107000 | PA      | $3080849.58    | 0.21%             | 2041-02-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                            | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     739806 | PA      | $740100.76     | 0.05%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

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

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

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